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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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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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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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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
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A Model for the Valuation of Assets with Liquidity Risk
Nauta, Bert-Jan - 2016
This paper describes a model for the valuation of assets on a bank balance sheet with liquidity risk. The new feature of this model is that it explicitly incorporates the funding term of an asset. The inclusion of the funding term is important since it determines the expected liquidation loss....
Persistent link: https://www.econbiz.de/10013003042
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Construction, Systematic Risk, and Stock-Level Investment Anomalies
Aretz, Kevin; Kagkadis, Anastasios - 2021
We offer evidence that the tendency of high real-investment stocks to underperform others is driven by firms physically constructing new capacity. The conditioning ability of construction work does not come from differences in investment intensity, financing sources, or profitability. Yet, it...
Persistent link: https://www.econbiz.de/10013239312
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Paper profits from value, size and momentum : Evidence from the Polish market
Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69
In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market. The research aims to broaden the academic knowledge in a few ways. First, we deliver fresh out-of-sample evidence on value, momentum, and size premiums. Second, we analyzemthe...
Persistent link: https://www.econbiz.de/10011455379
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Smart Beta investing : an alternative investment paradigm in emerging Indian equity market
Monga, Reema; Aggrawal, Deepti; Singh, Jagvinder - In: Organizations and markets in emerging economies 13 (2022) 1/25, pp. 209-237
This paper fundamentally looks at the novel concept of Smart Beta investing in constructing a more efficient and well-diversified alternative investment. Smart beta has been a popular investment philosophy, although emerging countries have been slower to adopt and execute it. In this way, the...
Persistent link: https://www.econbiz.de/10013279453
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Value at Risk of Momentum Investment Strategy : Indonesia's Liquid Stocks Portfolio
Pasaribu, Rowland Bismark - 2019
The capability of momentum investment strategy was explore through portfolio risk reduction by value at risk method at liquid stock collection in Indonesia stock exchange period 2008-2016. The result show for quarterly and semester period winner portfolio has superior capacity of portfolio risk...
Persistent link: https://www.econbiz.de/10012866158
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Value, Momentum and Market Timing
Filippou, Ilias - 2016
We study firm-level characteristics that a manager would employ as signalling tools in order to time the market (i.e. repurchases and issues). Following the market timing framework, we develop a two-factor asset pricing model comprising a “market” and a “mispricing” factor, which is able...
Persistent link: https://www.econbiz.de/10013005248