Narrow search
Showing 1 - 10 of 83,147
Cover Image
A Comparison of Cost of Equity Estimates of Local and Global CAPM : Experience from a Developing Country, Mexico
Villarreal, Cuauhtemoc - 2014
rates, we ask if the required returns determined by the Local CAPM model and those determined by the Global CAPM model are … the Local CAPM is 13.83% while that of the Global CAPM is 20.38%. Our discovery that the estimated cost of capital for the …
Persistent link: https://www.econbiz.de/10013065193
Cover Image
Stock Extreme Illiquidity and the Cost of Capital
Belkhir, Mohamed - 2018
We examine the relationship between stock extreme illiquidity and the implied cost of capital for firms from 45 countries. We document robust evidence that firms whose stocks have a greater potential for extreme illiquidity realizations suffer from higher cost of capital. A one standard...
Persistent link: https://www.econbiz.de/10012922232
Cover Image
Testing Multi-Factor Asset Pricing Models in the Visegrad Countries
Borys, Magdalena Morgese - Center for Economic Research and Graduate Education and … - 2007
capital in the emerging markets. The Capital Asset Pricing Model (CAPM) that is most often used for this purpose in the …. Various factor models have been proposed to overcome the shortcomings of the CAPM. This paper examines both the CAPM and the … countries. We find, as expected, that the CAPM is not able to do this task. However, a four-factor model, including factors such …
Persistent link: https://www.econbiz.de/10005086627
Cover Image
Testing Multi-Factor Asset Pricing Models in the Visegrad Countries
Borys, Magdalena Morgese Borys - In: Czech Journal of Economics and Finance (Finance a uver) 61 (2011) 2, pp. 118-139
capital in the emerging markets. The Capital Asset Pricing Model (CAPM), which is most often used for this purpose in the …. Various factor models have been proposed to overcome the shortcomings of the CAPM. This paper examines both the CAPM and … find, as expected, that the CAPM is not able to do this task. However, factor models, including factors such as the excess …
Persistent link: https://www.econbiz.de/10009147423
Cover Image
Fiscal institutions, fiscal policy and sovereign risk premia
Hallerberg, Mark; Wolff, Guntram B. - 2006
increase risk premia measured by relative swap spreads. The effect of deficits is significantly lower under EMU. This effect …
Persistent link: https://www.econbiz.de/10010295824
Cover Image
Measuring financial integration in the euro area
Baele, Lieven; Ferrando, Annalisa; Hördahl, Peter; … - 2004
In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate bond, government bond, credit and equity markets. Building upon the law of one price, we developed two...
Persistent link: https://www.econbiz.de/10011606166
Cover Image
Fiscal institutions, fiscal policy and sovereign risk premia
Hallerberg, Mark; Wolff, Guntram B. - Deutsche Bundesbank - 2006
increase risk premia measured by relative swap spreads. The effect of deficits is significantly lower under EMU. This effect …
Persistent link: https://www.econbiz.de/10005083235
Cover Image
Government Bond Yield Spreads: A Survey
Conte, Riccardo Lo - In: Giornale degli Economisti 68 (2009) 3, pp. 341-370
I Review the literature concerning the determinants of yield spreads on government bonds. Due to the large attention received in the literature, I will refer to European and emerging markets. Europe has undergone significant institutional changes over the last decade and the corresponding market...
Persistent link: https://www.econbiz.de/10008469761
Cover Image
Volatility Spillover Effects in European Equity Markets
BAELE, L. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2003
This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and US market to 13 local European equity markets. I develop a shock spillover model that decomposes local unexpected returns into a country specific shock, a regional European...
Persistent link: https://www.econbiz.de/10004982992
Cover Image
Measuring financial integration in the euro area
Baele, Lieven; Ferrando, Annalisa; Hördahl, Peter; … - European Central Bank - 2004
In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate bond, government bond, credit and equity markets. Building upon the law of one price, we developed two...
Persistent link: https://www.econbiz.de/10005816123