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Housing 'Beta' Common Risk Factor in Returns of Stocks
Sunderman, Mark - 2019
returns in a multifactor framework. We hypothesize that the housing market is a systematic risk factor given the impact of the …
Persistent link: https://www.econbiz.de/10012869422
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New Evidence on Conditional Factor Models
Cooper, Ilan - 2018
We estimate conditional multifactor models over a large cross-section of stock returns matching 25 CAPM anomalies …
Persistent link: https://www.econbiz.de/10012937406
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Beta Matrix and Common Factors in Stock Returns
Ahn, Seung Chan - 2020
many models fails to have full column rank, suggesting that risk premiums in these models are under-identified …
Persistent link: https://www.econbiz.de/10012857585
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Role of size and risk effects in value anomaly : evidence from the Indian stock market
Sharma, Mehak; Jain, Anshul - In: Cogent economics & finance 8 (2020) 1, pp. 1-12
Market. The contribution of size and systematic risk towards the behaviour of the Value Anomaly is studied. We observe that …
Persistent link: https://www.econbiz.de/10013179656
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Hedge fund alpha and beta corrected for stale pricing
Godwin, CFA, Alexander - 2022
pricing in reported returns. This approach can be further used to estimate volatility and other risk measures. We apply this …
Persistent link: https://www.econbiz.de/10014361316
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Capital asset pricing model testing at Warsaw Stock Exchange : are family businesses the remedy for economic recessions?
Lipiec, Jacek - In: International Journal of Financial Studies : open … 2 (2014) 3, pp. 266-279
In this article, we test the capital asset pricing model (CAPM) on the Warsaw Stock Exchange (WSE) by measuring the … to risk. The performance was measured by using the capital asset pricing model with statistical inference. We find that …
Persistent link: https://www.econbiz.de/10010470522
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An analysis of the relation between return and beta for portfolios of Turkish equities
Terregrossa, Salvatore J.; Eraslan, Veysel - In: Cogent economics & finance 4 (2016) 1, pp. 1-8
the capital asset pricing model (CAPM). Enhanced accuracy of expected asset-return, in turn, may lead to more accurate …-return, for a given class of quantifiable-risk. …
Persistent link: https://www.econbiz.de/10011450716
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Event Study Analysis with Time-Varying Alphas, Betas and Variances : The Case of M&As
Irani, Mohammad (Vahid) - 2020
This paper proposes a new approach to control the effects of time-varying parameters on the estimates of abnormal returns. Event studies usually assume that the parameters of the market model are stable. Using a sample of firm takeovers, however, I find that this assumption is indeed rejected....
Persistent link: https://www.econbiz.de/10012854703
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The Bottom-Up Beta of Momentum
Barroso, Pedro - 2016
, forecasts both the returns and the risk of the strategy. Challenging a potential risk-based explanation, a highly cyclical … momentum portfolio forecasts both higher risk and lower returns for the strategy. The results show robustness out …
Persistent link: https://www.econbiz.de/10013007972
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Absolute Delta Beta and Cross-Sectional Stock Returns
Xie, Jun; Zhang, Baohua; Gao, Bin; Tan, Chunzhi - 2022
risk and the noise. Furthermore, we disclose that the ADB defined in the paper may measure the framing effect in the stock …
Persistent link: https://www.econbiz.de/10013406522