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Microstructure, comportement des prix des actifs et efficience des marchés financiers : le cas du marché de Casablanca

Derrabi, Mohamed - 1999

Persistent link: https://www.econbiz.de/10001455994

Empirical Testing of the CAPM on the Johannesburg Stock Exchange

Ward, Mike - 2014

Fama's (1970) efficient market hypothesis (EMH) and the capital asset pricing model (CAPM) jointly ascribed to … the elegance and parsimony of the theory over the empirical evidence.On the Johannesburg Stock Exchange (JSE), several … authors have examined and noted significant inadequacies relating to the single factor CAPM, particularly with regard to the …

Persistent link: https://www.econbiz.de/10013066479

Comparing the Market Risk Premia Forecasts in JSE and NYSE Equity Markets

Oikonomikou, Leoni Eleni - 2016

This paper examines the evidence regarding predictability in the market risk premium using artificial neural networks (ANNs), namely the Elman Network (EN) and the Higher Order Neural network (HONN), univariate ARMA and exponential smoothing techniques, such as Single Exponential Smoothing (SES)...

Persistent link: https://www.econbiz.de/10012995704