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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

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

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

The information content and redistribution effects of state and municipal rating changes in Mexico

Mendoza-Velázquez, Alfonso - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-38, pp. 1-21

State and Municipal governments on bond returns in Mexico. By employing a Capital Asset Pricing Model (CAPM) structure for …

Persistent link: https://www.econbiz.de/10010332965

An analysis of the relation between return and beta for portfolios of Turkish equities

Terregrossa, Salvatore J.; Eraslan, Veysel - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-8

the capital asset pricing model (CAPM). Enhanced accuracy of expected asset-return, in turn, may lead to more accurate …

Persistent link: https://www.econbiz.de/10011559212

Systematic Risk Assesment Using OLS Method - The Case of the Capital Market of Bosnia and Herzegovina

Zaimovic, Azra - In: Economic Review: Journal of Economics and Business 10 (2012) 1, pp. 13-23

The Sharpe-Lintner Capital Asset Pricing Model (CAPM) implies a simple linear equation for pricing risky financial … assets, individually and in portfolios. CAPM finds that the relevant risk measure of individual financial assets held as a … estimate the standard Sharpe-Linter CAPM model. As in most other new markets, this market has a non-synchronous trading problem …

Persistent link: https://www.econbiz.de/10011985061

A look at the actual cost of capital of US firms

Moore, David J. - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-15

The capital asset pricing model (CAPM) receives both criticism and widespread adoption by practitioners and academics … to address CAPM criticisms and provide new perspective on WACC estimates. The firm-based measure focuses on firm …-based WACC measures, along with the traditional CAPM-based WACC measure, to a broad sector-based cross section from 1972 to 2015 …

Persistent link: https://www.econbiz.de/10011988697

Goodness-of-fit versus significance: A CAPM selection with dynamic betas applied to the Brazilian stock market

de Pinho Ronzani, André Ricardo; Candido, Osvaldo; … - In: International Journal of Financial Studies 5 (2017) 4, pp. 1-21

In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time …-at-Risk) measures are calculated. We can conclude that CAPM with time-varying betas provide less conservative VaR measures than those … based on CAPM with static betas or historical VaR. …

Persistent link: https://www.econbiz.de/10011996066

Can social media marketing lead to abnormal portfolio returns?

Bank, Semra; Yazar, Evrim Erdogan; Sivri, Ugur - In: European Research on Management and Business Economics … 25 (2019) 2, pp. 54-62

This study tests the impact of usage of Twitter as a microblogging service provider on shareholders’ returns and abnormal returns. In accordance with this purpose, two portfolios were created based on measurement of whether firms had a Twitter account and, if so, their number of followers and...

Persistent link: https://www.econbiz.de/10012115962