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An Evaluation of Conditional Multi-Factor Models in Active Asset Allocation Strategies : An Empirical Study for the German Stock Market
Deetz, Marcus - 2009
This paper examines the out-of-sample performance of asset allocation strategies that use conditional multi-factor models to forecast expected returns and estimate the future variance and covariance. We find that strategies based on conditional multi-factor models outperform strategies based on...
Persistent link: https://www.econbiz.de/10013156665
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An Evaluation of Conditional Multi-Factor Models in Active Asset Allocation Strategies : An Empirical Study for the German Stock Market
Deetz, Marcus - 2010
This paper examines the out-of-sample performance of asset allocation strategies that use conditional multi-factor models to forecast expected returns and estimate the future variance and covariance. We find that strategies based on conditional multi-factor models outperform strategies based on...
Persistent link: https://www.econbiz.de/10013142108
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Residualgewinnmodell und persönliche Steuern : eine empirische Untersuchung am deutschen Kapitalmarkt
Dausend, Florian Tobias - 2009
Persistent link: https://www.econbiz.de/10003823568
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Is the currency risk priced in equity markets?
Giurda, Francesco; Tzavalis, Elias - 2004
In this paper we investigate whether the currency risk is priced in international stock markets. We suggest a parsimonious version of the international capital asset pricing model with an EGARCH-M(1,1) specification of the second moments' dynamics of stock and currency returns, assuming that the...
Persistent link: https://www.econbiz.de/10010284112
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Trading the bond-CDS basis: The role of credit risk and liquidity
Trapp, Monika - 2009
We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them to repeatedly earn the difference between the bond...
Persistent link: https://www.econbiz.de/10010302537
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Trading the bond-CDS basis : the role of credit risk and liquidity
Gehde-Trapp, Monika - 2009
We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them to repeatedly earn the difference between the bond...
Persistent link: https://www.econbiz.de/10003919401
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Corporate Valuation in an International Context with the Global CAPM from a German Perspective
Ruiz de Vargas, Santiago - 2018
The article proposes to apply the global CAPM instead of the traditional CAPM (local CAPM) used in the practice of … the local CAPM only assumes an exclusively national context. The global CAPM is presented as an alternative to account for …-listed enterprises. The resulting risk premia of the local and global CAPM are compared. Additionally, it is shown that the global CAPM …
Persistent link: https://www.econbiz.de/10012928170
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The Cost of Equity for Global Banks : A CAPM Perspective from 1990 to 2009
King, Michael R. - 2013
1990-2009. This cost is estimated using the single-factor capital asset pricing model (CAPM), where expected stock returns …-free rates over this period, and (ii) a decline in the sensitivity of bank stock returns to market risk (the CAPM beta) in all … returns using the CAPM …
Persistent link: https://www.econbiz.de/10013095634
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Statistical Analysis of Photovoltaic and Wind Power Generation in Germany
Ibrahim, Noor - 2017
We do comparison between maximal and daily average production of photovoltaic (PV) and wind energy based on a transmission operator in Germany by using statistical analysis with di erent seasonality function. We adopt sun intensity as a seasonal function for PV and trigonometric function for...
Persistent link: https://www.econbiz.de/10012942242
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Modelling and Predicting Photovoltaic Power Generation in the EEX Market
Veraart, Almut - 2015
The importance of solar energy has been growing in recent years. This raises the need for efficient modelling and forecasting methods. The existing methods are predominantly based on weather predictions or forecast solar radiation, which is not easy to convert into production forecast. Instead...
Persistent link: https://www.econbiz.de/10013011815