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The neglect effect in security beta estimates - an observation of the US stock market from 1933 until 2016
Scheler, Fabian; Ecker, Frank; Werner, Jan - 2017
Persistent link: https://www.econbiz.de/10011921132
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Estimating bull and bear betas for the Nigerian stock market using logistic smooth threshold model
Tumala, Mohammed M.; Yaya, OlaOluwa S. - In: CBN journal of applied statistics 6 (2015) 1, pp. 263-284
In this paper, we examine the Nigerian stock market sector returns and estimate the bull and bear betas using the Logistic Smooth Threshold Market (LSTM) model. The LSTM model specification follows from the linear Constant Risk Market (CRM) model. We estimate the LSTM model for the overall...
Persistent link: https://www.econbiz.de/10011473527
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Sectoral differences in the choice of the time horizon during estimation of the unconditional stock beta
Dadakas, Dimitrios; Karpetis, Christos; Fassas, Athanasios - In: International Journal of Financial Studies : open … 4 (2016) 4, pp. 1-13
The stock beta coefficient literature extensively discusses the proper methods for the estimation of beta as well as … beta estimation, differentiating our results by sector according to the Industry Classification Benchmark. We employ data …
Persistent link: https://www.econbiz.de/10011606725
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Impact of COVID-19 on global stock market volatility
Kusumahadi, Teresia Angelia; Permana, Fikri C. - In: Journal of economic integration : jei 36 (2021) 1, pp. 20-45
Persistent link: https://www.econbiz.de/10012593273
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The calendar anomalies on performance and volatility of stock market : the effects of Ramadan on Karachi Stock Exchange
Khan, Kalimullah; Nasir, Muhammad Ali; Rossi, Matteo - In: Global business & economics review 19 (2017) 1, pp. 54-69
Persistent link: https://www.econbiz.de/10011665604
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Wavelet-Based Beta Estimation : Applications to Indian Stock Market
M., Aasif - 2012
This paper applies the multi-scale beta estimation approach based on wavelet analysis to all stocks comprising BSE … shown that the multi-scale beta estimation approach is useful in certain cases …
Persistent link: https://www.econbiz.de/10013103832
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Wavelet-Based Beta Estimation : Applications to Indian Stock Market
M., Aasif - 2012
This paper applies the multi-scale beta estimation approach based on wavelet analysis to all stocks comprising BSE … shown that the multi-scale beta estimation approach is useful in certain cases …
Persistent link: https://www.econbiz.de/10013104218
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The Bayesian method in estimating Polish and German industry betas : a comparative nalysis of the risk between the main economic sectors from 2001-2020
Feder-Sempach, Ewa; Szczepocki, Piotr - In: Comparative economic research : Central and Eastern Europe 25 (2022) 2, pp. 45-60
estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and …
Persistent link: https://www.econbiz.de/10013334984
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Empirical test of single factor and multi-factor asset pricing models : evidence from non financial firms on the Ghana stock exchange (GSE)
Acheampong, Prince; Swanzy, Sydney Kwesi - In: International journal of economics and finance 8 (2016) 1, pp. 99-110
Persistent link: https://www.econbiz.de/10011427796
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Asset pricing in the Indian capital market : a study of positive and negative return periods
Singla, Ravi; Pasricha, J. S. - In: Journal of academic research in economics 4 (2012) 1, pp. 90-101
Persistent link: https://www.econbiz.de/10010247066