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The Balassa-Samuelson Hypothesis in Developed Countries and Emerging Market Economies: Different Outcomes Explained

García Solanes, José; Torrejón-Flores, Fernando - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-2, pp. 1-24

This paper studies the Balassa-Samuelson effects in two areas with strong differences in economic development, sixteen OECD countries and sixteen Latin American economies. The USA is taken as a benchmark. Applying recent panel cointegration and bootstrapping techniques that solve for...

Persistent link: https://www.econbiz.de/10010298622

Backtesting the Expected Shortfall

Spring, Konstantin - In: Junior Management Science (JUMS) 6 (2021) 3, pp. 590-636

Backtesting of risk measure estimates is an integral part for an effective risk management. With the growing importance of the Expected Shortfall (ES) to potentially replace the Value at Risk (VaR) as a primary measure for market risk this also calls for suitable backtesting solutions. Although...

Persistent link: https://www.econbiz.de/10014528976

The complexities of agent-based modeling output analysis

Lee, Ju-Sung; Filatova, Tatiana; Ligmann-Zielinska, Arika; … - In: Journal of Artificial Societies and Social Simulation 18 (2015) 4

The proliferation of agent-based models (ABMs) in recent decades has motivated model practitioners to improve the transparency, replicability, and trust in results derived from ABMs. The complexity of ABMs has risen in stride with advances in computing power and resources, resulting in larger...

Persistent link: https://www.econbiz.de/10012432037

Comparative study of isotropic and anisotropic sky models to estimate solar radiation incident on tilted surface: A case study for Bhopal, India

Shukla, K. N.; Rangnekar, Saroj; Sudhakar, K. - In: Energy Reports 1 (2015), pp. 96-103

The purpose of this study is to compare the different empirical models used for estimation of solar radiation on tilted surface. For this, three isotropic and same number of anisotropic sky models were employed by using average monthly mean value of solar radiation on daily basis at Bhopal,...

Persistent link: https://www.econbiz.de/10011937647

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