Narrow search
Showing 1 - 10 of 4,134
Cover Image
Phase transition in the S&P stock market
Raddant, Matthias; Wagner, Friedrich - 2013
We analyze the stock prices of the S&P market from 1987 to 2012 with the covariance matrix of the firm returns determined in time windows of several years. The eigenvector belonging to the leading eigenvalue (market) exhibits in its long term time dependence a phase transition with an order...
Persistent link: https://www.econbiz.de/10009762492
Cover Image
Transitions in the stock markets of the US, UK, and Germany
Raddant, Matthias; Wagner, Friedrich - 2014
In this paper we analyze transitions in the stock markets of the US, the UK, and Germany. For all this markets we find that while the markets were focused on stocks from the IT and technology sector around the year 2000, this focus has vanished and the markets have mostly moved towards a focus...
Persistent link: https://www.econbiz.de/10010461235
Cover Image
Phase transition in the S&P stock market
Raddant, Matthias; Wagner, Friedrich - In: Journal of economic interaction and coordination : JEIC 11 (2016) 2, pp. 229-246
Persistent link: https://www.econbiz.de/10011700964
Cover Image
Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011 - Diese Version: 14. November 2011
extension of the Capital Asset Pricing Model. -- CAPM ; multi-factor models ; Asset Pricing ; Asset Pricing Anomalies …
Persistent link: https://www.econbiz.de/10009380299
Cover Image
Does beta explain global equity market volatility : some empirical evidence
Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66
this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …
Persistent link: https://www.econbiz.de/10009770247
Cover Image
Common risk factors in equity markets
Atanasov, Victoria - 2014 - This version: May 26, 2014
Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...
Persistent link: https://www.econbiz.de/10010362976
Cover Image
Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries
Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...
Persistent link: https://www.econbiz.de/10011437764
Cover Image
The Cross-Section of Equity Returns and Assets’ Fundamental Cash-Flow Risk
Galsband, Victoria - 2011
The decomposition of consumption beta into a component driven by assets' cash-flow news and one related to assets' discount-rate news reveals that macroeconomic risks embodied in cash flows largely account for the cross-sectional dynamics of average stock returns. Empirically, we find that...
Persistent link: https://www.econbiz.de/10013132049
Cover Image
Stochastic Discount Factor in the Brazilian Equity Market (Fator de Desconto Estocástico no Mercado Acionário Brasileiro) (Portuguese)
Catalão, André Borges - 2010
This article implements the minimum variance frontier for the stochastic discount factor, according to both Hansen and Jagannathan (1991) and Cochrane and Hansen (1992), for the Brazilian stock market. Two approaches are considered in terms of equity returns and equity premium, respectively, the...
Persistent link: https://www.econbiz.de/10013138283
Cover Image
A Higher Moment Downside Framework for Conditional and Unconditional CAPM in The Russian Stock Market
Mikova, Evgeniya - 2012
The article presents an empirical validation for mean-variance CAPM, using a Downside and Higher-moment framework of … CAPM in the Russian stock market. The authors test the unconditional and conditional CAPM specifications on a sample of … cross-sectional return variations. The unconditional classical CAPM (where market risk is approximated by the beta …
Persistent link: https://www.econbiz.de/10013113429