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Autoregressive multifactor APT model for U.S. Equity Markets
Malhotra, Karan - Volkswirtschaftliche Fakultät, … - 2010
Arbitrage Pricing Theory is a one period asset pricing model used to predict equity returns based on a multivariate …
Persistent link: https://www.econbiz.de/10008564504
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WACC and CAPM According to Utilities Regulators : Confusions, Errors and Inconsistencies
Fernandez, Pablo - 2019
Regulators of many countries try to find the “true” WACC of Electricity, Gas, Water… activities. All their documents have in common a main confusion: they do not differentiate among expected, required, historical, and regulator allowed returns, which are 4 very different concepts. Most of...
Persistent link: https://www.econbiz.de/10012893723
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Price of Regulations : Regulatory Costs and the Cross-section of Stock Returns
Ince, Baris - 2020
Regulations introduce significant fixed costs and add to operating leverage. Fixed regulatory costs that contribute to operating leverage should generate a risk premium. To explore whether such a premium exists, we introduce a measure of "regulatory operating leverage" that reflects the...
Persistent link: https://www.econbiz.de/10012827897
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Regulatory changes and the cost of capital for banks
Kovner, Anna; Van Tassel, Peter - 2018
We estimate the cost of capital for the banking industry and find that while the cost of capital soared for banks in the financial crisis, after the passage of the Dodd-Frank Act, the value-weighted cost of capital for banks fell differentially more than did the cost of capital for nonbanks. The...
Persistent link: https://www.econbiz.de/10011868475
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Asset-Pricing Evidence of Regulatory Capture
Eskildsen, Marc - 2022
I test theories of regulation using comprehensive datasets on regulatory changes, equity returns, and firm fundamentals …. I find that firms in industries subject to more regulation earn significantly higher returns than firms in deregulated …
Persistent link: https://www.econbiz.de/10014236617
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Regulatory Revenues and the Choice of the CAPM : Australia Versus New Zealand
Lally, Martin - 2010
This paper compares the revenues resulting from the Officer model, which is generally used by Australian regulatory bodies, the simplified Brennan-Lally model, which is used by the New Zealand regulatory body, the Sharpe-Lintner-Mossin model, which is widely used in other regulatory regimes, and...
Persistent link: https://www.econbiz.de/10013149167
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The stable long-run CAPM and the cross-section of expected returns
Kim, Jeong-Ryeol - 2002
The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence …Das Capital-Asset-Pricing-Modell (CAPM) ist einer der populärsten empirischen Ansätze zur Analyse der Finanzmarktdaten …
Persistent link: https://www.econbiz.de/10010295722
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003
of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a …
Persistent link: https://www.econbiz.de/10010295747
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Environmentally oriented energy policy and stock returns: an empirical analysis
Oberndorfer, Ulrich; Ziegler, Andreas - 2006
This paper analyzes the effect of environmental regulation on stock returns (as a measure of economic performance) for … that the 2002 Bundestag elections and therefore stringent environmental regulation had at least no general negative effect …
Persistent link: https://www.econbiz.de/10010297850
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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
Anlehnung an das klassische Capital Asset Pricing Model. Der zusätzliche Erklärungsbeitrag des Momentumfaktors in Anlehnung an … unserer Ergebnisse für eine länderspezifische Erweiterung des Capital Asset Pricing Models. … by Fama/French (1993) or Carhart (1997) than by the one-factor model based on the standard Capital Asset Pricing Model …
Persistent link: https://www.econbiz.de/10010307494