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Market risk in demutualised self-listed stock exchanges: An international analysis of selected time-varying betas
Worthington, A. C.; Higgs, H. - 2005
This paper examines market risk in four demutualised and self-listed stock exchanges: the Australian Stock Exchange …-listed exchanges entail new market risks that merit regulatory intervention, the betas of the exchange companies have not changed … significantly since listing. However, market risk does vary considerable across the exchanges, with mean time-varying betas of 0 …
Persistent link: https://www.econbiz.de/10009457362
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Market risk in demutualised self-listed stock exchanges: An international analysis of selected time-varying betas
Worthington, A. C.; Higgs, H. - 2006
This paper examines market risk in four demutualised and self-listed stock exchanges: the Australian Stock Exchange …-listed exchanges entail new market risks that merit regulatory intervention, the betas of the exchange companies have not changed … significantly since listing. However, market risk does vary considerable across the exchanges, with mean time-varying betas of 0 …
Persistent link: https://www.econbiz.de/10009457535
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Market Risk in Demutualized Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas
Worthington, Andrew; Higgs, Helen - In: Global Economic Review 35 (2006) 3, pp. 239-257
This article examines market risk in four demutualized and self-listed stock exchanges: the Australian Stock Exchange … concerns that demutualized and self-listed exchanges entail new market risks that merit regulatory intervention, the betas of … the exchanges, with mean time-varying betas of 0.56 for the Deutsche Borse, 0.66 for the London Stock Exchange, 0.78 for …
Persistent link: https://www.econbiz.de/10005482388
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Time-varying beta: a boundedly rational equilibrium approach
Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong - In: Journal of Evolutionary Economics 23 (2013) 3, pp. 609-639
The conditional CAPM with time-varying betas has been widely used to explain the cross-section of asset returns. However, most of the literature on time-varying beta is motivated by econometric estimation using various latent risk factors rather than explicit modelling of the stochastic...
Persistent link: https://www.econbiz.de/10010849038
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Multifactor risk loadings and abnormal returns under uncertainty and learning
Salotti, Simone; Trecroci, Carmine - In: The Quarterly Review of Economics and Finance 54 (2014) 3, pp. 393-404
We explore the time variation of factor loadings and abnormal returns in the context of a four-factor model. Our methodology, based on an application of the Kalman filter and on endogenous uncertainty, overcomes several limitations of competing approaches used in the literature. Besides taking...
Persistent link: https://www.econbiz.de/10010906237
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Does the stock market reward innovation? European stock index reaction to negative news during the global financial crisis
Adcock, Christopher; Hua, Xiuping; Mazouz, Khelifa; … - In: Journal of International Money and Finance 49 (2014) PB, pp. 470-491
This study uses data on 27 European stock indices over the period from January 2007 to December 2012 to investigate the relationship between innovations and the market reaction to negative news during the financial crisis. We use the bivariate BEKK-GARCH approach to estimate time-varying betas...
Persistent link: https://www.econbiz.de/10011077107
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Uncertainty and the Dynamics of Multifactor Loadings and Pricing Errors
Trecroci, Carmine - In: Economics Bulletin 32 (2012) 3, pp. 2453-2463
This paper considers an environment where investors have limited knowledge of true systematic risks and therefore continuously re-estimate the forecasting model that they use to form expectations. Based on a parsimonious specification with learning and no conditioning information, I extract...
Persistent link: https://www.econbiz.de/10011278507
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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
The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging...
Persistent link: https://www.econbiz.de/10010436072
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Regression-based estimation of dynamic asset pricing models
Adrian, Tobias; Crump, Richard K.; Mönch, Emanuel - In: Journal of financial economics 118 (2015) 2, pp. 211-244
Persistent link: https://www.econbiz.de/10011480393
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Stock price reaction to profit warnings : the role of time-varying betas
Yin, Shuxing; Mazouz, Khelifa; Benamraoui, Abdelfahid; … - In: Review of quantitative finance and accounting 50 (2018) 1, pp. 67-93
Persistent link: https://www.econbiz.de/10011979095