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Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market
Bretschger, Lucas; Lechthaler, Filippo - 2012
the second largest in the world and operates under unique macroeconomic conditions. We find that the CAPM model is not an …
Persistent link: https://www.econbiz.de/10011753224
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Common risk factors and the macroeconomy : new evidence from the Japanese stock market
Bretschger, Lucas; Lechthaler, Filippo - 2012
the second largest in the world and operates under unique macroeconomic conditions. We find that the CAPM model is not an …
Persistent link: https://www.econbiz.de/10009552906
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Does beta explain global equity market volatility : some empirical evidence
Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66
this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …
Persistent link: https://www.econbiz.de/10009770247
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Value around the world
Caliskan, Nilufer; Hens, Thorsten - 2013
We show that in a consumption-based asset-pricing model with hyperbolic discounting leading to dynamically inconsistent time preferences value premium increases nonlin-early with the degree of discounting and thus affects cross section of returns. To test our model empirically, we relate the...
Persistent link: https://www.econbiz.de/10009751115
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The effects of sentiment on market return and volatility and the cross-sectional risk premium of sentiment-affected volatility
Yang, Yan; Copeland, Laurence S. - 2014
We construct investor sentiment of UK stock market using the procedure of principal component analysis. Using sentiment-augmented EGARCH component model, we analyse the impacts of sentiment on market excess return, the permanent component of market volatility and the transitory component of...
Persistent link: https://www.econbiz.de/10010380934
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Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries
Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...
Persistent link: https://www.econbiz.de/10011437764
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Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices
Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35
This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...
Persistent link: https://www.econbiz.de/10011539896
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Arbitrage-free affine models of the forward price of foreign currency
Durham, J. Benson - 2014
Forward foreign exchange contracts embed not only expected depreciation but also a sizable premium, which complicates inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed-form expressions for both unobservable variables. Model...
Persistent link: https://www.econbiz.de/10010393225
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Asset Return Dynamics under Bad Environment-Good Environment Fundamentals
Bekaert, Geert - 2011
We introduce a "bad environment-good environment" technology for consumption growth in a consumption-based asset pricing model. Using the preference structure from Campbell and Cochrane (1999), the model generates realistic non-Gaussian features of fundamentals while still permitting closed-form...
Persistent link: https://www.econbiz.de/10013134516
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Explanations for the Volatility Effect : An Overview Based on the CAPM Assumptions
Blitz, David - 2013
The Capital Asset Pricing Model (CAPM) predicts a positive relation between risk and return, but empirical studies find … CAPM assumption it relates to. Interestingly, various explanations relate to investor behavior that is rational given … argue that although the CAPM may be bad at explaining reality, addressing the reasons for its failure could actually be a …
Persistent link: https://www.econbiz.de/10013081327