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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
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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
of realized market-portfolio excessreturn, with the estimation of the security market plane (SMP) model. The study has … 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
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Economic returns and risks to investment in education: An application of the multifactor CAPM
Athanassiadis, Antonios - In: International Journal of Economic Sciences and Applied … 4 (2011) 1, pp. 95-120
Multifactor CAPM. Following this model we assess, except market risk, the impact of three key macroeconomic variables (investments …
Persistent link: https://www.econbiz.de/10010289400
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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
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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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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
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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
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Capital asset pricing model testing at Warsaw Stock Exchange: Are family businesses the remedy for economic recessions?
Lipiec, Jacek - In: International Journal of Financial Studies 2 (2014) 3, pp. 266-279
In this article, we test the capital asset pricing model (CAPM) on the Warsaw Stock Exchange (WSE) by measuring the …
Persistent link: https://www.econbiz.de/10011708965
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Back to the future betas: Empirical asset pricing of US and Southeast Asian markets
French, Jordan - In: International Journal of Financial Studies 4 (2016) 3, pp. 1-13
. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of …
Persistent link: https://www.econbiz.de/10011709010
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Size premium, value premium and market timing: Evidence from an emerging economy
Rashid, Syed Haroon; Sadaqat, Mohsin; Jebran, Khalil; … - In: Journal of Economics, Finance and Administrative Science 23 (2018) 46, pp. 266-288
capital asset pricing model (CAPM) and Fama and French model. Design/methodology/approach This study considers monthly stock …
Persistent link: https://www.econbiz.de/10013192143