Showing 1 - 10 of 20,178
We develop a continuous-time intertemporal CAPM model that allows for risky beta exposure, which we explicitly specify …
Persistent link: https://www.econbiz.de/10012899147
We develop a conditional capital asset pricing model in continuous-time that allows for stochastic beta exposure. When beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The...
Persistent link: https://www.econbiz.de/10011646407
-sectional information from all stocks in the market improves beta estimation significantly. We also find that option-implied betas generally …
Persistent link: https://www.econbiz.de/10010230656
The aim of the article is to analyze the stability of beta coeffi cients of companies listed in WIG-ESG. There are many studies on the stability of companies' systematic risk, but the literature and research lack an analysis of the stability of the beta coeffi cient for ESG companies. We...
Persistent link: https://www.econbiz.de/10014515083
The most popular method of calculating asset prices is the capital asset pricing model (CAPM). What is the appropriate … amount of years to use in the estimation and which variation of the capital asset pricing beta provides the best results …? This research looks at the out of sample forecasting capabilities of three popular CAPM ex-post constant beta models from …
Persistent link: https://www.econbiz.de/10012907773
The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in international equity markets from January 1978 through September 2004. We use an extension of the model introduced by Pettengill, Sundaran, and Mathur (PSM Model, 1995) and adapted...
Persistent link: https://www.econbiz.de/10013148458
This paper uses time-varying second moments to investigate exchange rate exposure betas. Using a BEKK-GARCH(1,21)-M model, time-varying exchange rate exposure betas are obtained with explicit focus on the non-orthogonality between exchange rate changes and market returns. We look into certain...
Persistent link: https://www.econbiz.de/10013051472
this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …
Persistent link: https://www.econbiz.de/10009770247
. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of …
Persistent link: https://www.econbiz.de/10011526799
This paper examines the conditional time-varying currency betas from five developed markets and four emerging markets. We employ a modified trivariate BEKK-GARCH-in-mean model of Engle and Kroner (1995) to estimate the time-varying conditional variance and covariance of returns of stock index,...
Persistent link: https://www.econbiz.de/10013050759