Fama's (1970) efficient market hypothesis (EMH) and the capital asset pricing model (CAPM) jointly ascribed to Markowitz (1952), Treynor (1961), Sharpe (1964), Lintner (1965) and Mossin (1966) remain the foundation of most finance and investment courses. This is surprising, given the sustained...

This study investigates the impact of the macroeconomic environment on South African industrial sector returns. Using standardized coefficients, we find that global influences are the most important drivers of returns and that industrial sectors are highly integrated with the global economy. We...

This paper examines the evidence regarding predictability in the market risk premium using artificial neural networks (ANNs), namely the Elman Network (EN) and the Higher Order Neural network (HONN), univariate ARMA and exponential smoothing techniques, such as Single Exponential Smoothing (SES)...

This paper examines the evidence regarding predictability in the market risk premium using artificial neural networks (ANNs), namely the Elman Network (EN) and the Higher Order Neural network (HONN), univariate ARMA and exponential smoothing techniques, such as Single Exponential Smoothing (SES)...

Purpose: Global merger and acquisition and capital market activity have increased over the last decade. A key determinant of the value of these transactions are the results of corporate valuations, which require technical expertise as well as professional judgement. The purpose of this research...

Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich erhöhten Streubesitz mündeten. In der vorliegenden Arbeit untersuchen wir, inwieweit dies die aus klassischen...

The study adds an empirical outlook on the predicting power of using data from the future to predict future returns. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of the beta coefficient. This study instead uses a battery...

Using new data on returns and risk factors the paper considers the stock performance on the Japanese market, which is the second largest in the world and operates under unique macroeconomic conditions. We find that the CAPM model is not an adequate approach for the Japanese market. The Carhart...

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)...

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...