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Econometric testing of the CAPM: A granger causality analysis on the Turkish banking industry

Bayraci, Selcuk - Volkswirtschaftliche Fakultät, … - 2010

The CAPM suggests that stock returns are linearly dependent to the market returns. The only risk factor that an asset … bears is the market risk which is captured by the asset's beta. But the CAPM equation does not say much about the causal … relationship between market and asset returns. In order to test the validity of the CAPM equation, we have applied Granger …

Persistent link: https://www.econbiz.de/10009021722

The Cross-Section of Positively Weighted Portfolios

Niedefrmayer, Daniel; Zimmermann, Heinz - Wirtschaftswissenschaftliches Zentrum, Universität Basel - 2007

expected returnsand betas. The numerical results of a Monte Carlo simulation showthat in the CAPM slightly inefficient … the resultssuggest that the CAPM’s pricing error is small when slightly inefficient,positively weighted proxies are used. …

Persistent link: https://www.econbiz.de/10009025054

Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange

Chou, Pin-Huang; Hsu, Yuan-Lin; Zhou, Guofu - In: Annals of Economics and Finance 1 (2000) 1, pp. 79-100

Using data from the Tokyo Stock Exchange, we study how beta, size, and ratio of book to market equity (BE/ME) account for the cross-section of expected stock returns over different lengths of investment horizons. We find that $\beta$, adjusted for infrequent trading or not, fails to explain the...

Persistent link: https://www.econbiz.de/10009131590

Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange

Chou, Pin-Huang; Hsu, Yuan-Lin; Zhou, Guofu - China Economics and Management Academy, Central … - 1999

Persistent link: https://www.econbiz.de/10009131620

A class of models satisfying a dynamical version of the CAPM

Jouini, Elyès; Napp, Clotilde - HAL - 2003

Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.

Persistent link: https://www.econbiz.de/10008793270

Energy Risk Management with Carbon Assets

Chevallier, Julien - HAL - 2009

the CAPM. These results reveal that carbon, gas, coal and bond assets share the best properties for composing an optimal …

Persistent link: https://www.econbiz.de/10008793949

CAPM Beta, Size, Book-to-Market, and Momentum in Realized Stock Returns

Novak, Jiri; Petr, Dalibor - In: Czech Journal of Economics and Finance (Finance a uver) 60 (2010) 5, pp. 447-460

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite the substantial significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price assets or to determine the cost of capital. We...

Persistent link: https://www.econbiz.de/10008800444

IMPACT OF FINANCIAL CRISIS ON CONSTRUCTION FIRM`S COST OF CAPITAL

Ioan, Nistor; Ulici (Ciupac-Ulici) Maria; Schiau … - In: Annals of Faculty of Economics 1 (2010) 2, pp. 616-622

The average cost of debt is negatively related with size, tangibility, firm growth, the leverage ratio, and the ratio of long- to short-term debt and positively to profitability. We find that the recent international crisis did have a significant impact on the set of firms in our sample, but...

Persistent link: https://www.econbiz.de/10008829684

Dynamic Price Dependence of Canadian and International Art Markets: An Empirical Analysis

Hodgson, Douglas James; Seckin, Aylin - Centre Interuniversitaire de Recherche en Analyse des … - 2011

Although the market for Canadian paintings is now of substantial magnitude, with several works having recently sold for well over a million dollars, it remains true that with very few exceptions, the works of Canadian painters are bought and sold only in Canada and held only by Canadian...

Persistent link: https://www.econbiz.de/10008833341

Identification-robust estimation and testing of the zero-beta CAPM

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2011

We propose exact simulation-based procedures for: (i) testing mean-variance efficiency when the zero-beta rate is unknown, and (ii) building confidence intervals for the zero-beta rate. On observing that this parameter may be weakly identified, we propose LR-type statistics as well as...

Persistent link: https://www.econbiz.de/10008835415