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FACTORES DE RIESGO NO SISTEMATICO EN LA EXPLICACION DE LOS RETORNOS DE LAS ACCIONES EN EL MERCADO BURSATIL CHILENO
Rubio, Fernando - EconWPA - 2004
bursátil usando factores de riesgo no sistemático, tales como aquellos postulados por el análisis fundamental y el técnico. El …. El estudio se centra en comprobar si existe relación entre ciertas variables representativas de riesgo no sistemático y … retorno promedio ajustado por riesgo, definido como la razón entre el promedio mensual de valorización del portafolio y su …
Persistent link: https://www.econbiz.de/10005134781
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LA INFORMACION CONTABLE Y LA VALUACION DE ACTIVOS DE CAPITAL EN EL SECTOR DE INVERSIONES CHILENO
Rubio, Fernando - EconWPA - 2004
en cuestión, a pesar de que pareciera interesante introducir en éste, de alguna manera, factores de riesgo sistemático. …
Persistent link: https://www.econbiz.de/10005134899
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Specialized human capital, unemployment risk, and the value premium
Jank, Stephan - 2015
To determine whether negative shocks to specialized human capital are priced in the cross section of stock returns, this study measures shocks to industry-specific human capital by employment growth in that industry. In industries in which employment contracts, exposure to the value factor is...
Persistent link: https://www.econbiz.de/10011301810
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Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies
Zou, Liang - 2000
This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are studied undervarious market conditions. Among the...
Persistent link: https://www.econbiz.de/10010324569
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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne C.; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855710
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The Role of Liquidity in Asset Pricing: The Special Case of the Portuguese Stock Market
Del Mar Miralles Quirós, María; Miralles Quirós, … - In: Journal of Economics, Finance and Administrative Science 22 (2017) 43, pp. 191-206
Purpose – The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the Portuguese. The unique setting of the Lisbon Stock Exchange with regards to changes in classification from an emerging to a developed stock market, allows an original answer to...
Persistent link: https://www.econbiz.de/10011859404
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A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...
Persistent link: https://www.econbiz.de/10010266065
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Selectivity and market timing ability of fund managers: Comparative analysis of Islamic and conventional HSBC Saudi mutual funds
Zouaoui, Marwa - In: International Journal of Financial Studies 7 (2019) 3, pp. 1-19
This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment basis...
Persistent link: https://www.econbiz.de/10013200226
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Pricing product options and using them to complete markets for functions of two underlying asset prices
Madan, Dilip B.; Wang, King - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-19
Options paying the product of put and/or call option payouts at different strikes on two underlying assets are observed to synthesize joint densities and replicate differentiable functions of two underlying asset prices. The pricing of such options is undertaken from three perspectives. The...
Persistent link: https://www.econbiz.de/10013201039
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Book-to-market decomposition, net share issuance, and the cross section of global stock returns
Blackburn, Douglas W.; Cakici, Nusret - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-29
This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...
Persistent link: https://www.econbiz.de/10012611108