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An Application of Factor Pricing Models to the Polish Stock Market
Zaremba, Adam - 2018
cross-sectional returns and is therefore well-suited for asset pricing in Poland …
Persistent link: https://www.econbiz.de/10012912382
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Using the ICAPM to estimate the cost of capital of stock portfolios: empirical evidence on the Warsaw Stock Exchange
Urba´nski, Stanislaw; Leśkow, Jacek - In: Statistics in transition : an international journal of … 21 (2020) 1, pp. 73-94
The aim of this paper is to present the method for estimating the cost of capital of typical portfolios available on the Warsaw Stock Exchange. The authors introduce the three factor Fama-French model and its two modifications. They also apply the bootstrap method to evaluate the variability of...
Persistent link: https://www.econbiz.de/10012183556
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Business Financial Structure and Asset Pricing in the Spanish Stock Market
Miralles-Marcelo, Jose Luis - 2012
The aim of this research is to analyze the implications of leverage and default as additional sources of systematic risk in the asset pricing process for the Spanish stock market over the years 1995-2010 employing two alternative methodologies based on Ferguson y Shockley (2003) y Vassalou y...
Persistent link: https://www.econbiz.de/10013100299
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Expected Equity Returns Should Correlate with Idiosyncratic Risk
Bruno, Giovanni - 2018
market price of risk. We show empirically that a conditional CAPM that accounts for time variation in equity nonlinearity …
Persistent link: https://www.econbiz.de/10012910108
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Consumption-Based Equity Valuation
Bach, Christian - 2016
Using a CCAPM-based risk-adjustment model, we perform yearly valuations of a large sample of stocks listed on NYSE, AMEX and NASDAQ over a thirty-year period. The model differs from standard valuation models in the sense that it adjusts forecasted residual income for risk in the numerator rather...
Persistent link: https://www.econbiz.de/10013003022
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The COVID-19 Stock Market Downturn : Expected Growth or Discount Rate?
Böni, Pascal - 2020
We use the Gordon (1959) constant growth model to explain stock returns of S&P500 index constituents during the COVID-19 implied market downturn and subsequent V-shaped recovery. Stock returns are largely affected by a change in the implied growth rate w and only to a lesser extent by a change...
Persistent link: https://www.econbiz.de/10012831259
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Liquidity and solvency of a company and the rate of return : an analysis of the Warsaw Stock Exchange
Zalewska, Justyna; Nehrebecka, Natalia - In: Central European economic journal 6 (2019) 53, pp. 199-220
still not clear. Poland is the most economically developed country in Central and Eastern Europe. A thorough analysis is … of the capital asset pricing model (CAPM) model and analysed portfolios based on three liquidity ratios and four solvency … ratios, which were computed using the CAPM, Fama–French and Carhart models. The empirical study described in the article …
Persistent link: https://www.econbiz.de/10012303197
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How Asset Irreversibility Influences the Investment-Uncertainty Relationship
Schauer (neé Klepsch), Catharina - 2016
This paper examines how industry-specific uncertainty affects firms' investments for varying degrees of asset irreversibility (i.e. the wedge between purchase price and liquidation value of an asset). To identify more or less irreversible capital goods, we exploit unique survey data on German...
Persistent link: https://www.econbiz.de/10012985786
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Sorting Out Downside Beta
Post, Thierry - 2012
This study analyzes various measures of the downside beta of stocks. Downside beta is sometimes defined and estimated in different ways. Theoretically, an approach based on the mean-semi-variance equilibrium model appears superior. Two known alternative approaches are not consistent with the...
Persistent link: https://www.econbiz.de/10013112836
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Internal Valuation of Assets with Liquidity Risk
Nauta, Bert-Jan - 2019
The inclusion of funding costs in the valuation of derivatives resulting in the so-called funding valuation adjustment (FVA) is a topic of intense debate, model development, and research. One issue with standard formulations of FVA is that it is the same for liquid and illiquid assets. Even if...
Persistent link: https://www.econbiz.de/10012905080