Showing 1 - 10 of 1,015
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
En este trabajo se evalúa la existencia del efecto tamaño en los mercados bursátiles más importantes de Latinoamérica (Argentina, Brasil, Chile, Colombia, México y Perú) para el periodo de 2002 a 2012, mediante la metodología de contrastes de sección cruzada del efecto tamaño en el...
Persistent link: https://www.econbiz.de/10010827975
The study tests prominent equity market anomalies for six emerging markets - Brazil, China, India, Indonesia, South Korea and South Africa. We find that using the Fama French model (FFM) as performance benchmark the size anomaly is present in India, South Korea and Brazil, value anomaly in South...
Persistent link: https://www.econbiz.de/10010960338
In this paper, we identify long-term prior return patterns in stock returns for Brazil, Russia, India, China, South Korea, and South Africa (BRICKS) markets from January 1993 to February 2008. While Brazil, Russia and South Africa report momentum behavior, India, China and South Korea exhibit...
Persistent link: https://www.econbiz.de/10011143924
We examine the empirical relation between risk and return in emerging equity markets and find that this relation is flat, or even negative. This is inconsistent with theoretical models such as the CAPM, which predict a positive relation, but consistent with the results of studies for developed...
Persistent link: https://www.econbiz.de/10010682555
We present a model with leverage and margin constraints that vary across investors and time. We find evidence consistent with each of the model's five central predictions: (1) Because constrained investors bid up high-beta assets, high beta is associated with low alpha, as we find empirically...
Persistent link: https://www.econbiz.de/10010718732
This paper is an empirical investigation into the role of credit history in determining the spread on sovereign bank loans. It employs an error-in-variables approach used in rational-expectations-macro-econometrics to set up a structural model that links sovereign loan spreads to realized...
Persistent link: https://www.econbiz.de/10010322423
Using a novel sample of professional asset managers, we document positive incremental alpha on newly purchased stocks that decays over twelve months. While managers are successful forecasters at these short-to-medium horizons, their average holding period is substantially longer (2.2 years)....
Persistent link: https://www.econbiz.de/10012971999
In this paper, I test the performance of the CAPM, Fama-French three-factor and Carhart four-factor models on the Polish market. I use stock level data from April 2001 to January 2014. I find strong evidence for the value and momentum effects, but only weak evidence for the size premium. I form...
Persistent link: https://www.econbiz.de/10012973497
In this paper, we examine size, value, and momentum patterns in the stock returns of four emerging market regions - Latin America, EMEA, Asia, and BRIC. We document a strong and highly significant value effect, and a strong but less significant momentum effect. Substantial value and momentum...
Persistent link: https://www.econbiz.de/10013034756