Similar Search Results

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

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

Risk and return under Shari'a framework: An attempt to develop Shari'a compliant asset pricing model (SCAPM)

Hanif, Muhammad - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 5 (2011) 2, pp. 283-292

existing models of equity pricing (CAPM, APT/MFM) are very much practicable under Shari'a framework with slight modification of …

Persistent link: https://www.econbiz.de/10011938289

Which is the Correct Discount Rate? Arithmetic Versus Geometric Mean

Kipp, Martin; Koziol, Christian - In: Credit and Capital Markets – Kredit und Kapital 53 (2020) 3, pp. 355-381

, to the arithmetic mean rather than the often wrongly applied geometric mean. Likewise, the prominent CAPM relationship … severe deviations from the meaningful ex-ante expected performance of an asset, the true discount rate, the true CAPM risk …

Persistent link: https://www.econbiz.de/10014523052

Performance Evaluation of Global High-rated ETFs During the Taper Tantrum

Marios, Arampatzis; Kalliopi, Daskalou; Evangelia, … - In: Journal of Central Banking Theory and Practice 9 (2020) 1, pp. 23-44

employing the Capital Asset Pricing Model (CAPM), we evaluate the performance of fifty ETFs according to their rating by the …

Persistent link: https://www.econbiz.de/10012217928