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Market risk in demutualised self-listed stock exchanges: An international analysis of selected time-varying betas
Worthington, A. C.; Higgs, H. - 2005
This paper examines market risk in four demutualised and self-listed stock exchanges: the Australian Stock Exchange …-listed exchanges entail new market risks that merit regulatory intervention, the betas of the exchange companies have not changed … significantly since listing. However, market risk does vary considerable across the exchanges, with mean time-varying betas of 0 …
Persistent link: https://www.econbiz.de/10009457362
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Market risk in demutualised self-listed stock exchanges: An international analysis of selected time-varying betas
Worthington, A. C.; Higgs, H. - 2006
This paper examines market risk in four demutualised and self-listed stock exchanges: the Australian Stock Exchange …-listed exchanges entail new market risks that merit regulatory intervention, the betas of the exchange companies have not changed … significantly since listing. However, market risk does vary considerable across the exchanges, with mean time-varying betas of 0 …
Persistent link: https://www.econbiz.de/10009457535
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Market Risk in Demutualized Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas
Worthington, Andrew; Higgs, Helen - In: Global Economic Review 35 (2006) 3, pp. 239-257
This article examines market risk in four demutualized and self-listed stock exchanges: the Australian Stock Exchange … concerns that demutualized and self-listed exchanges entail new market risks that merit regulatory intervention, the betas of … the exchanges, with mean time-varying betas of 0.56 for the Deutsche Borse, 0.66 for the London Stock Exchange, 0.78 for …
Persistent link: https://www.econbiz.de/10005482388
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Market Risk in Demutualised Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas
Worthington, Andrew; Higgs, Helen - School of Economics and Finance, Business School - 2005
This paper examines market risk in four demutualised and self-listed stock exchanges: the Australian Stock Exchange …-listed exchanges entail new market risks that merit regulatory intervention, the betas of the exchange companies have not changed … significantly since listing. However, market risk does vary considerable across the exchanges, with mean time-varying betas of 0 …
Persistent link: https://www.econbiz.de/10005416577
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Previsão da eficácia ofensiva do futebol profissional: Um caso Português
Caiado, Jorge; Vieira, Aníbal; Bonito, Ana; Reis, Carlos; … - Volkswirtschaftliche Fakultät, … - 2006
The forecast plays an important role in the planning, the decision-making and control in any domain of activity, including the sportive phenomenon of the soccer. The experience has shown that the extrapolative or not casual models (univariate models), that use only the information of its past...
Persistent link: https://www.econbiz.de/10005789648
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The Time-Varying Systematic Risk of Carry Trade Strategies
Christiansen, Charlotte; Ranaldo, Angelo; Söderlind, Paul - Schweizerische Nationalbank (SNB) - 2010
We explain the currency carry trade performance using an asset pricing model in which factor loadings are regime-dependent rather than constant. Empirical results show that a typical carry trade strategy has much higher exposure to the stock market and is mean-reverting in regimes of high FX...
Persistent link: https://www.econbiz.de/10008917457
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Time-varying beta: a boundedly rational equilibrium approach
Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong - In: Journal of Evolutionary Economics 23 (2013) 3, pp. 609-639
The conditional CAPM with time-varying betas has been widely used to explain the cross-section of asset returns. However, most of the literature on time-varying beta is motivated by econometric estimation using various latent risk factors rather than explicit modelling of the stochastic...
Persistent link: https://www.econbiz.de/10010849038
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Regression Based Estimation of Dynamic Asset Pricing Models
Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - C.E.P.R. Discussion Papers - 2015
We propose regression based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...
Persistent link: https://www.econbiz.de/10011186634
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Multifactor risk loadings and abnormal returns under uncertainty and learning
Salotti, Simone; Trecroci, Carmine - In: The Quarterly Review of Economics and Finance 54 (2014) 3, pp. 393-404
We explore the time variation of factor loadings and abnormal returns in the context of a four-factor model. Our methodology, based on an application of the Kalman filter and on endogenous uncertainty, overcomes several limitations of competing approaches used in the literature. Besides taking...
Persistent link: https://www.econbiz.de/10010906237
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Conditionally parametric fits for CAPM betas
Abberger, Klaus - 2004
The CAPM model assumes stock returns to be a linear function of the market return. However, there is considerable evidence that the beta stability assumption commonly used when estimating the model is invalid. Nonparametric regression methods are used to examine the stability of beta...
Persistent link: https://www.econbiz.de/10010263422