Similar Search Results

The Financial Crisis in Japan – Are There Similarities to the Current Situation?

Mayr, Johannes - In: CESifo Forum 09 (2008) 4, pp. 64-68

Persistent link: https://www.econbiz.de/10011695915

Have bull and bear markets changed over time? Empirical evidence from the US-stock market

Grobys, Klaus - In: Journal of Finance and Investment Analysis 1 (2012) 1, pp. 151-171

This contribution analyzes bull and bear markets from 1954:1-2011:2 in the US-stock index S&P 500. Thereby, a 2-State-Markov-Switching model is applied to figure out bull and bear market regimes within the latter period, whereby the estimated state probabilities are used to estimate a dummy...

Persistent link: https://www.econbiz.de/10010286823

Inflation and infrastructure sector returns in emerging markets: Panel ARDL approach

Magweva, Rabson; Sibanda, Mabutho - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-17

This study evaluated the relationship between inflation and infrastructure sector stock returns in emerging markets in the long and short run. It employed a panel autoregressive distributed lag (PARDL) model applying the mean group (MG), pooled mean group (PMG) and dynamic fixed effects (DFE)...

Persistent link: https://www.econbiz.de/10012657574

A Study of Industry Cost of Equity in Australia Using the Fama and French 5 Factor Model and the Capital Asset Pricing Model (CAPM): A Pitch

Mackay, Will; Haque, Tariq - In: Journal of Accounting and Management Information … 15 (2016) 3, pp. 618-623

This paper describes the use of the Faff (2015) pitching template to formulate a research concept into a formal research proposal. It outlines our experience in applying the various sections of the pitch template and the challenges experienced in doing so. Overall the adoption of the pitch...

Persistent link: https://www.econbiz.de/10015196147

Tail risk management and the skewness premium

Kipp, Martin; Koziol, Christian - In: Journal of Asset Management 23 (2022) 6, pp. 534-546

aversion (DRRA) and different investment horizons. In contrast to the seminal CAPM, two fund separation does no longer hold …

Persistent link: https://www.econbiz.de/10015210347

An extended fama-french multi-factor model in direct real estate investing

Yiu, Chung Yim; Xiong, Chuyi; Cheung, Ka Shing - In: Journal of Risk and Financial Management 15 (2022) 9, pp. 1-14

pricing model (CAPM) to investigate whether direct real estate returns compensate for their risk levels. Based on a panel … real estate portfolio performance in the single-factor CAPM model is compared with the national housing markets stock … evaluated by the five-factor CAPM model, which includes the factors of liquidity risk, value risk, time risk, credit-rating risk …

Persistent link: https://www.econbiz.de/10014332590

Paradigm shift in finance: The transformation of the theory from perfect to imperfect capital markets using the example of company valuation

Ernst, Dietmar; Gleißner, Werner - In: Journal of Risk and Financial Management 15 (2022) 9, pp. 1-13

In the capital market and financing theory, we are currently observing major upheavals. For decades, the neoclassical paradigm has dominated in science and practice. Triggered by economic and political crises, transformations, the COVID-19 pandemic, and political instabilities, a paradigm shift...

Persistent link: https://www.econbiz.de/10014332599

Passive portfolio management by indexing: A performance analysis of high, medium and low capitalization indices in Mexico

Samaniego, Angel; Rodríguez Reyes, Luis Raúl - In: Revista de Métodos Cuantitativos para la Economía y … 26 (2018), pp. 269-293

In a passive investing strategy through indexation, the portfolio performance will depend largely on the ability to choose the best index. In this paper, we study the performance of four of the main stock indices in Mexico with the intention of selecting the best one for a passive investing...

Persistent link: https://www.econbiz.de/10014494383

Abfindungsbemessung beim aktienrechtlichen Squeeze-out: Einige grundsätzliche Anmerkungen zum vermeintlichen Primat der Praktikabilität und zur Neuen Politischen Ökonomie der Unternehmensbewertung

Rapp, David - In: Schmalenbach Journal of Business Research (SBUR) 72 (2020) 2, pp. 253-264

Persistent link: https://www.econbiz.de/10014495335

The Bayesian method in estimating Polish and German industry betas: A comparative nalysis of the risk between the main economic sectors from 2001-2020

Feder-Sempach, Ewa; Szczepocki, Piotr - In: Comparative Economic Research. Central and Eastern Europe 25 (2022) 2, pp. 45-60

estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and …

Persistent link: https://www.econbiz.de/10014516405