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Theory and practice of valuation approaches in renewable energy investments : a survey among investment professionals

Hürlimann, Christian; Ali, Jasim al-; Bengoa, Dolores S. - In: World review of entrepreneurship, management and … 15 (2019) 5, pp. 589-643

Persistent link: https://www.econbiz.de/10012158833

International Illiquidity

Malkhozov, Aytek; Mueller, Philippe; Vedolin, Andrea; … - 2017

We build a parsimonious international asset pricing model in which deviations of government bond yields from a fitted yield curve of a country measure the tightness of investors' capital constraints. We compute these measures at daily frequency for six major markets and use them to test the...

Persistent link: https://www.econbiz.de/10014122253

Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)

Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011 - Diese Version: 14. November 2011

internationalization and a higher free float. In this paper, we investigate to what extent these changes influenced the well-known risk … four major results: First, we find an insignificant (positive) market risk premium, a significant negative size premium, a … significant positive value premium and a significant positive momentum premium. Second, the correlation within all four risk …

Persistent link: https://www.econbiz.de/10009380299

Corporate Valuation in an International Context with the Global CAPM from a German Perspective

Ruiz de Vargas, Santiago - 2018

-listed enterprises. The resulting risk premia of the local and global CAPM are compared. Additionally, it is shown that the global CAPM …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 …

Persistent link: https://www.econbiz.de/10012928170

Predicting German Stock and Bond Returns with Macro-Variables : Evidence of Market Timing

Hyde, Stuart - 2010

We investigate the predictive ability of financial and macroeconomic variables for German stock and bond returns using a battery of performance metrics in addition to measures of superior predictive accuracy to identify the ‘best' models. We also examine whether combination forecasts provide...

Persistent link: https://www.econbiz.de/10013149198

Implied basket correlation dynamics

Härdle, Wolfgang; Silyakova, Elena - 2012

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … dynamic semiparametric factor model (DSFM). -- correlation risk ; dimension reduction ; dispersion strategy ; dynamic factor …

Persistent link: https://www.econbiz.de/10009665551

Recursive portfolio selection with decision trees

Andriyashin, Anton (contributor); … - 2008

A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...

Persistent link: https://www.econbiz.de/10003636039

Implied rates of return, the discount rate effect, and market risk premia

Breuer, Wolfgang; Gürtler, Marc - 2010 - This Version: 2010-10-22

risk premia. The extent of this bias is substantial as verified by a bootstrap approach. We present an alternative …

Persistent link: https://www.econbiz.de/10009487229

On Market Timing, Stock Picking, and Managerial Skills of Mutual Fund Managers with Manipulation-Proof Performance Measure

Qian, Meifen - 2014

The on-going debate over whether fund managers have skills and whether those skills are short-lived is still inconclusive. Using the performance measure that can't be manipulated with respect to the underlying distribution, time variation, nor estimation error, (the manipulation-proof...

Persistent link: https://www.econbiz.de/10013057175

The use of the recognition heuristic as an investment strategy in European stock markets

Lobão, Júlio; Pacheco, Luís; Pereira, Carlos - In: Journal of economics, finance & administrative science 22 (2017) 43, pp. 207-223

Purpose: People often face constraints such as a lack of time or information in taking decisions, which leads them to use heuristics. In these situations, fast and frugal rules may be useful for making adaptive decisions with fewer resources, even if it leads to suboptimal choices. When applied...

Persistent link: https://www.econbiz.de/10011875260

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