Showing 1 - 10 of 3,214
Persistent link: https://www.econbiz.de/10013258864
research is to examine if DDM models offer relevant and safe valuation of long-term securities at Macedonian Stock Exchange … use of DDM valuation models at MSE, to determine causes for differences between the intrinsic values and the stock market … prices and to determine basic parameters for implementation of valuation on Macedonian financial market. We find that DDM …
Persistent link: https://www.econbiz.de/10011298772
We add discrete jumps in the time-to-maturity of a firm's debt to the model of Engle and Siriwardane (2015), such that changes in equity volatility can be explained by the volatility of the firm's assets, its market leverage and investors' perception of the time-to-maturity of the firm's debt....
Persistent link: https://www.econbiz.de/10011740702
unserer Ergebnisse für eine länderspezifische Erweiterung des Capital Asset Pricing Models. … factors of standard multi-factor models. Based on the returns of all stocks listed in the German composite index CDAX (all … portfolios, sorted by market capitalization and book-to-market equity, are captured substantially better by multi-factor models …
Persistent link: https://www.econbiz.de/10010307494
(GARCH) models, of differing lag and parameter terms, to forecast the variance of the market used in the denominator of the … squared forecast error (MSE) were used to compare the forecasting ability of the ex-ante GARCH models, Artificial Neural …-of-sample testing than the other ex-ante models. Although the simplest approach, constant ex-post beta, performed as well or better …
Persistent link: https://www.econbiz.de/10011709010
of a zero intercept for the full period. Extended tests reveal a structural change in asset prices in the year 1998. When …
Persistent link: https://www.econbiz.de/10011753224
This study aims to investigate the market timing strategy in different market conditions (i.e. up, down, normal and in-financial-crisis situation) in the emerging market of Pakistan over the period 1995 to 2015. Furthermore, this study tests the validity of the capital asset pricing model (CAPM)...
Persistent link: https://www.econbiz.de/10013192143
Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM en España. Específicamente, se han realizado variadas simulaciones históricas y regresiones de corte transversal de los retornos de las acciones componentes de la muestra...
Persistent link: https://www.econbiz.de/10005413097
The decomposition of national CAPM market betas of European countries’ value and growth portfolio returns into cashflow and discount rate news driven components reveals that i) high average returns on value portfolios are associated with disproportionately high sensitivity to national cashflow...
Persistent link: https://www.econbiz.de/10005463544
This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market of Nigeria. The evidence suggests that liquidity factors...
Persistent link: https://www.econbiz.de/10011108128