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Liquidity premium of Hong Kong stock market : relation between companies' size and liquidity premium
Yue, Ho-yin; Lam, Hoi-yan - In: The empirical economics letters : a monthly … 11 (2012) 5, pp. 519-524
Persistent link: https://www.econbiz.de/10009758158
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The Nonlinear High-Volatility Phenomenon in Beta and Size Equity Premia
Bansal, Naresh - 2020
Over 1960 to 2017, we show that a positive risk premium from holding high-beta stocks (versus low-beta stocks) and small-cap stocks (versus large-cap stocks) is reliably earned only after the expected stock-market volatility breaches an approximate top-quintile threshold. The high conditional...
Persistent link: https://www.econbiz.de/10012855105
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CAPM-anomalies : quantitative puzzles
Elmiger, Sabine - In: Economic theory : official journal of the Society for … 68 (2019) 3, pp. 643-667
Persistent link: https://www.econbiz.de/10012213098
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Global risk premia on international stock and bond markets
Oertmann, Peter - 1997
Persistent link: https://www.econbiz.de/10000621233
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The conditional pricing of systematic and idiosyncratic risk in the UK equity market
Cotter, John; O'Sullivan, Niall; Rossia, Francesco - In: International review of financial analysis 37 (2015), pp. 184-193
Persistent link: https://www.econbiz.de/10011317221
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Risk premiums over varying market conditions
Das, Praveen K. - In: American journal of finance and accounting 3 (2013/14) 1, pp. 57-76
Persistent link: https://www.econbiz.de/10010403322
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Liquidity and asset prices : an empirical investigation of the nordic stock markets
Butt, Hilal Anwar; Virk, Nader Shahzad - In: European financial management : the journal of the … 21 (2015) 4, pp. 672-705
Persistent link: https://www.econbiz.de/10011408519
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An analysis of the relationship between risk and expected return in the BRVM stock exchange : test of the CAPM
Pamane, Kolani; Vikpossi, Anani Ekoue - In: Research in world economy 5 (2014) 1, pp. 13-28
Persistent link: https://www.econbiz.de/10010461988
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The conditional pricing of systematic and idiosyncratic risk in the UK equity market
Cotter, John; O'Sullivan, Niall; Rossi, Francesco - 2014
Persistent link: https://www.econbiz.de/10010343568
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Validity of Capital Asset Pricing Model & Stability of Systematic Risk (Beta) : An Empirical Study on Indian Stock Market
maji, krishnendu - 2010
The capital asset pricing model (CAPM) is the standard risk-return model used by most academicians and practitioners …. The underlying concept of CAPM is that investors are rewarded for only that portion of risk which is not diversifiable … (January 2005 to December 2008) for the analysis. The studies provide evidence against the CAPM hypothesis. And finally, the …
Persistent link: https://www.econbiz.de/10013136045