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Paper profits from value, size and momentum: Evidence from the Polish market
Zaremba, Adam; Konieczka, Przemysław - In: e-Finanse: Financial Internet Quarterly 11 (2015) 3, pp. 58-69
In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market. The research aims to broaden the academic knowledge in a few ways. First, we deliver fresh out-of-sample evidence on value, momentum, and size premiums. Second, we analyzemthe...
Persistent link: https://www.econbiz.de/10011551459
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On transaction-cost models in continuous-time markets
Poufinas, Thomas - In: International Journal of Financial Studies 3 (2015) 2, pp. 102-135
Transaction-cost models in continuous-time markets are considered. Given that investors decide to buy or sell at certain time instants, we study the existence of trading strategies that reach a certain final wealth level in continuous-time markets, under the assumption that transaction costs,...
Persistent link: https://www.econbiz.de/10011708976
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The impact of transaction costs in portfolio optimization: A comparative analysis between the cost of trading in Peru and the United States
Chavalle, Luc; Chávez-Bedoya, Luis - In: Journal of Economics, Finance and Administrative Science 24 (2019) 48, pp. 288-311
This paper aims to analyze the impact of transaction costs in portfolio optimization in Peru. The study aims to compare the transaction costs structure applied in Peru with respect to the ones applied in the USA, and over a few dimensions. Design/methodology/approach The paper opted for an...
Persistent link: https://www.econbiz.de/10013192162
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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
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Cross-Section of asset returns: Emerging markets and market integration
Ajrapetova, Tamara - In: European Financial and Accounting Journal 13 (2018) 1, pp. 41-60
the Capital Asset Pricing Model (CAPM), mainly due to their attractive simplicity. This article focuses on the risk … systematic risk measures, downside beta proved its superiority to traditional CAPM beta. The results can be attributed to delayed …
Persistent link: https://www.econbiz.de/10011937439
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On risk induced by technical change
Ünveren, Burak - In: International Journal of Business and Economic Sciences … 10 (2017) 1, pp. 42-48
Purpose: The purpose of this paper is to analyze the efficiency loss due to incomplete financial markets when risk is induced by technological uncertainty. Design/methodology/approach: A worker-capitalist general equilibrium model is developed. It is assumed that future technical change is a...
Persistent link: https://www.econbiz.de/10011932786
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Endogenous incomplete markets, enforcement constraints, and intermediation
Abraham, Arpad; Carceles-Poveda, Eva - In: Theoretical Economics 1 (2006) 4, pp. 439-459
Alvarez and Jermann (2000) show that the constrained efficient allocations of endowment economies with imperfect risk sharing due to limited commitment can be decentralized as competitive equilibria with endogenous debt constraints that are not too tight. These are the loosest possible borrowing...
Persistent link: https://www.econbiz.de/10011599378
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A machine learning projection method for macro-finance models
Valaitis, Vytautas; Villa, Alessandro T. - In: Quantitative Economics 15 (2024) 1, pp. 145-173
We use supervised machine learning to approximate the expectations typically contained in the optimality conditions of an economic model in the spirit of the parameterized expectations algorithm (PEA) with stochastic simulation. When the set of state variables is generated by a stochastic...
Persistent link: https://www.econbiz.de/10014536897
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Discretizing nonlinear, non-Gaussian Markov processes with exact conditional moments
Farmer, Leland E.; Toda, Alexis Akira - In: Quantitative Economics 8 (2017) 2, pp. 651-683
Approximating stochastic processes by finite-state Markov chains is useful for reducing computational complexity when solving dynamic economic models. We provide a new method for accurately discretizing general Markov processes by matching low order moments of the conditional distributions using...
Persistent link: https://www.econbiz.de/10011995500
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Solution methods for models with rare disasters
Fernández-Villaverde, Jesús; Levintal, Oren - In: Quantitative Economics 9 (2018) 2, pp. 903-944
This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with rare disasters along the lines of those proposed by Rietz (1988), Barro (2006), Gabaix (2012), and Gourio (2012). DSGE models with rare disasters require...
Persistent link: https://www.econbiz.de/10012215348