This paper tests whether the conditional CAPM can explain size, book-to-market, momentum and illiquidity effects utilizing data from the Istanbul Stock Exchange (ISE). The conditional CAPM mostly fails for these standard asset pricing anomalies with statistically significant risk-adjusted...

The goal of this study is to test the validity of the prospect theory in the Borsa Istanbul (BIST) over the sample period September 2009 to December 2019. The prospect theory values of the stocks are generated from their historical return distributions following the method by Barberis et al....

This chapter presents historical evidence about Swedish stock prices, dividends, and yields on government fixed-interest securities. Monthly returns are presented since 1901 for stocks, since 1874 for government long-term bonds and since 1856 for short-term Treasury bills or central bank...

In this article, we test the capital asset pricing model (CAPM) on the Warsaw Stock Exchange (WSE) by measuring the performance of two portfolios composed of construction firms: family-controlled and nonfamily controlled. These portfolios were selected from the WIG-Construction (WIG-Warszawski...

In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market. The research aims to broaden the academic knowledge in a few ways. First, we deliver fresh out-of-sample evidence on value, momentum, and size premiums. Second, we analyzemthe...

This chapter presents historical evidence about Swedish stock prices, dividends, and yields on government fixed-interest securities. Monthly returns are presented since 1901 for stocks, since 1874 for government long-term bonds and since 1856 for short-term Treasury bills or central bank...

Abstract: The amount of literature on factors that explain the cross-sectional variation in average returns is vast, however, the majority of these papers attempt to explain the variation of returns in developed and emerging markets. In that sense, the literature lacks sufficient evidence...

In this paper we compare the explanatory power of a single index model with the multifactor asset-pricing model of Fama and French (1996) for Dhaka stock exchange for the period of January 1, 2010 to December 31, 2012. We find that all the three factors have significant determining impact on...

Sharpe's (1964) Capital Asset Pricing Model (CAPM) assumes that the relationship between risk and return is positive, linear and significant. However, it is not free from controversies and one of them advocates replacing CAPM's beta by downside beta based on investors' preference of downside...

This paper attempts to measure the risk and return relationship in Dhaka Stock Exchange (DSE) of Bangladesh. Applying Single Index Model, the study reports statistically significant positive relationship between risk and return both at the individual security level and at the portfolio level....