Similar Search Results

Uncertainty Determinants of Firm Investment

Baum, Christopher; Caglayan, Mustafa; Talavera, Oleksandr - Department of Economics, Boston College - 2006

. Increases in firm-specific and CAPM-based measures have a significant negative impact on investment spending, while market …

Persistent link: https://www.econbiz.de/10005074105

The Information Content and Redistribution Effects of State and Municipal Rating Changes in Mexico

Mendoza-Velázquez, Alfonso - Institut für Weltwirtschaft (IfW) - 2009

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/10005097463

Environmentally oriented energy policy and stock returns: an empirical analysis

Oberndorfer, Ulrich; Ziegler, Andreas - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2006

This paper analyzes the effect of environmental regulation on stock returns (as a measure of economic performance) for German energy corporations. By using event study methodology, we consider the last minute victory of the acting government in the 2002 German federal elections to the Lower...

Persistent link: https://www.econbiz.de/10005097701

Multifaktormodelle zur Erklärung deutscher Aktienrenditen: eine empirische Analyse

Stehle, Richard; Schulz, Anja; Schröder, Michael; … - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2003

Dieses Papier untersucht, inwieweit Multifaktormodelle nach Fama/French (1993) am deutschen Aktienmarkt die zeitliche Streuung von Renditen abbilden und Portfolio-Renditen im Querschnitt erklären können. Analog zu vergleichbar angelegten Studien am US-amerikanischen, kanadischen und britischen...

Persistent link: https://www.econbiz.de/10005098084

Der Einfluss ökologischer und sozialer Nachhaltigkeit auf den Shareholder Value europäischer Aktiengesellschaften

Schröder, Michael; Rennings, Klaus; Ziegler, Andreas - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2002

Dieses Papier betrachtet den Effekt der Umwelt- und Sozialperformance europäischer Unternehmen auf deren Shareholder Value. Der Shareholder Value wird dabei mit der durchschnittlichen monatlichen Aktienrendite zwischen 1996 und 2001 operationalisiert. Die Studie basiert auf zweistufigen...

Persistent link: https://www.econbiz.de/10005098420

Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003

Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modèle de régression linéaire multivarié (RLM). Les tests que nous développons sont fonction des résidus obtenus par moindres carrés multivariés, lesquels sont standardisés de façon à ce que...

Persistent link: https://www.econbiz.de/10005100629

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...

Persistent link: https://www.econbiz.de/10005100677

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2002

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including … dans le contexte du modèle du CAPM (Capital Asset Pricing Model), permettent de considérer diverses classes de …

Persistent link: https://www.econbiz.de/10005100885

Realized Beta: Persistence and Predictability

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Department of Economics, University of Pennsylvania - 2003

emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that …

Persistent link: https://www.econbiz.de/10005102075

The Changing Nature Of Market Risk

FRANZONI, Francesco

In the first three decades of CRSP data, value stocks have higher betas than growth stocks. Later on, the ranking is reversed and the gap in beta widens. What makes growth strategies nowadays bear more market risk than value strategies? What are the causes of the reversal in the ranking of...

Persistent link: https://www.econbiz.de/10005162950