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Modelling profitability of private equity : a fractional integration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2022
This paper analyses the stochastic behaviour of Private Equity returns (a measure of profitability) applying fractional …. Differences are also found in the results by asset class. The implications of these findings for private equity management, profit …
Persistent link: https://www.econbiz.de/10013285647
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Profitability of private equity : mean reversion and transitory shocks
Gil-Alaña, Luis A.; Puertolas-Montanes, Francisco - In: Journal of economics and finance : JEF 47 (2023) 2, pp. 458-471
Persistent link: https://www.econbiz.de/10014252694
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Aggregate profit instability and time variations in momentum returns : evidence from China
Yin, Libo; Wei, Ya - In: Pacific-Basin finance journal 60 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012232699
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Long memory in the Ukrainian stock market
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013
Persistent link: https://www.econbiz.de/10009731962
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Is market fear persistent? : a long-memory analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 27 (2018), pp. 140-147
Persistent link: https://www.econbiz.de/10012006763
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Fast fractional differencing in modeling long memory of conditional variance for high-frequency data
Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279
Persistent link: https://www.econbiz.de/10011808179
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Profit persistence and stock returns
Gschwandtner, Adelina; Hauser, Michael A. - 2013
back on work in industrial organization, we analyze the relationship between profit persistence and expected stock returns …. We show that long-run profit persistence together with other additional economic firm fundamentals have a significant …
Persistent link: https://www.econbiz.de/10010210263
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Profitability, value, and stock returns in production‐based asset pricing without frictions
Balversli, Ronald J.; Huang, Dayong - In: Journal of money, credit and banking : JMCB 49 (2017) 7, pp. 1621-1651
Persistent link: https://www.econbiz.de/10011946663
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Are the profitability and investment factors valid ICAPM risk factors? : pre-1963 evidence
Lin, Qi; Lin, Xi - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10013186489
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Persistence in the realized betas : some evidence for the Spanish stock market
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020
This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies with the highest market capitalization included in the Spanish IBEX stock market index. Fractional integration methods are applied to estimate their degree of persistence at the...
Persistent link: https://www.econbiz.de/10012194334