Similar Search Results

Avramov, Doron - 2012

Global asset pricing models have failed to capture the cross section of country equity returns. Emerging markets display robust positive pricing errors and country-level characteristics play a role in pricing international equities. This paper offers a risk-based explanation for such asset...

Persistent link: https://www.econbiz.de/10013104550

Common Risk Factors and the Macroeconomy : New Evidence from the Japanese Stock Market

Bretschger, Lucas - 2012

the second largest in the world and operates under unique macroeconomic conditions. We find that the CAPM model is not an …

Persistent link: https://www.econbiz.de/10013107429

The Cross-Section of German Stock Returns : New Data and New Evidence

Artmann, Sabine - 2012

-sorted. We use this data set to perform asset-pricing tests for the german equity market. We test the standard CAPM, the Fama …

Persistent link: https://www.econbiz.de/10013108066

Explanations for the Volatility Effect : An Overview Based on the CAPM Assumptions

Blitz, David - 2013

The Capital Asset Pricing Model (CAPM) predicts a positive relation between risk and return, but empirical studies find … CAPM assumption it relates to. Interestingly, various explanations relate to investor behavior that is rational given … argue that although the CAPM may be bad at explaining reality, addressing the reasons for its failure could actually be a …

Persistent link: https://www.econbiz.de/10013081327

The Capital Asset Pricing Model (CAPM) : The History of a Failed Revolutionary Idea in Finance?

Dempsey, Michael J. - 2013

The capital asset pricing model (CAPM) states that assets are priced commensurate with a trade-off between … pricing is an appropriate subject for economic study. Notwithstanding, our findings imply that in adhering to the CAPM, we are …

Persistent link: https://www.econbiz.de/10013082469

Accrual Anomaly and Idiosyncratic Risk : International Evidence

Fan, Steven - 2013

In this study, we show that accrual abnormal returns are positively correlated to idiosyncratic risk in international equity markets. In addition, we find that idiosyncratic risk has less impact on accrual abnormal returns for developed countries than emerging countries. Our results are robust...

Persistent link: https://www.econbiz.de/10013084414

The Fama French Model or the Capital Asset Pricing Model : International Evidence

Alves, Paulo - 2013

This research paper attempts to evaluate the benefits of using the Fama and French Model by comparing them with those resulting from the use of the Capital Asset Pricing Model. Local, International, and European Monetary Union functional forms were considered, in an attempt to raise the...

Persistent link: https://www.econbiz.de/10013090120

Higher-Moment Asset Pricing and Allocation in a Heterogeneous Market Equilibrium

Zhang, Qunzi - 2013

Investors have different preferences for portfolio skewness and kurtosis, i.e. return asymmetry and tail fatness. We build up a new equilibrium model with three types of investors whose preferences can be characterized by "MV", "MVS" and "MVSK". (M: Mean V: Variance S: Skewness K: Kurtosis) and...

Persistent link: https://www.econbiz.de/10013090424

Comparison of the Local and Global CAPM Estimates for Mexican Companies

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/10013065192

A New Look at the Fama-French Model : Evidence Based on Expected Returns

Hanauer, Matthias X. - 2014

We test the Fama-French three-factor model for a large international data set using an alternative proxy for expected returns - the implied cost of capital (ICC). The implied risk premiums of the three factors are all highly significant. Also, the cross-country variation of each of the three...

Persistent link: https://www.econbiz.de/10013065979