CAPM with all its controversies is still valid, popular and most used asset pricing model in world. Three major perspectives run among the researchers. The first rejects CAPM completely and the rest two advocates changes but differently. A scrupulous analysis yields that investors care more for...

This study investigates that whether Karachi Stock Exchange is efficient or otherwise over the period from July 1997 to April 2010. To examine the efficiency, various stock market anomalies (i.e. Days of week Effect, With-in month Effect, Turn of Month Effect) have been estimated.Results show no...

This paper aims at reconciling two apparently contradictory empirical regularities of financial returns, namely, the fact that the empirical distribution of returns tends to normality as the frequency of observation decreases (aggregational Gaussianity) combined with the fact that the...

Based on a method developed by Laybourne, Kim and Taylor (2007) for detecting multiple changes in persistence, we test for changes in persistence in the dividend-price ratio of the Nasdaq stocks. The results confirm the existence of the so-called Dotcom bubble around the last turn of the century...

This paper investigates co-movement in eight Latin-American stock markets (Argentina, Brazil, Chile, Colombia, Ecuador, Mexico, Peru, and Venezuela) using common factor analysis. The common factors are obtained using principal component analysis (PCA) and therefore account for the maximum...

Appropriate selection of portfolio components and determining their weights have a significant influence on the later performance of the investor. The classical method of calculating weights of individual components in mean variance portfolios is based on sample mean and sample covariance...

The model derives risky corporate bond prices (or equivalently credit spreads) subject to credit default and migration risk, based on an extended version of the Jarrow, Lando and Turnbull model, under a risk-neutral framework, as a result of the simulation of a continuous time, time-homogeneous...

In this article we introduce a new class of test statistics designed to detect the occurrence of abnormal observations. It derives from the joint distribution of moment- and quantile-based estimators of power variation sigma^r, under the assumption of a normal distribution for the underlying...

This paper studies whether dynamic term structure models for US nominal bond yields should enforce the zero lower bound by a quadratic policy rate or a shadow rate specification. We address the question by estimating quadratic term structure models (QTSMs) and shadow rate models (SRMs) with at...

Performance measures such as the Sharpe ratio and the information ratio are estimation subject to estimation error. Lo (2002) derives the explicit expressions for the statistical distribution of the Sharpe ratio. Bertrand and Protopopescu (2007) have extended his work to the bivariate case which...