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Smart Beta investing : an alternative investment paradigm in emerging Indian equity market
Monga, Reema; Aggrawal, Deepti; Singh, Jagvinder - In: Organizations and markets in emerging economies 13 (2022) 1/25, pp. 209-237
This paper fundamentally looks at the novel concept of Smart Beta investing in constructing a more efficient and well-diversified alternative investment. Smart beta has been a popular investment philosophy, although emerging countries have been slower to adopt and execute it. In this way, the...
Persistent link: https://www.econbiz.de/10013279453
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Beta and size equity premia following a high-VIX threshold
Bansal, Naresh K.; Connolly, Robert A.; Stivers, … - In: The journal of futures markets 42 (2022) 8, pp. 1491-1517
Persistent link: https://www.econbiz.de/10013287992
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Low-risk investment strategy : sector bets or stock bets?
Peswani, Shilpa; Joshipura, Mayank - In: Managerial finance 48 (2022) 3, pp. 521-539
Persistent link: https://www.econbiz.de/10013173322
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The Effect of Exchange Rate Risk on the Conditional Relationship between Beta Risk and Return in International Equity Markets
Sandoval, Eduardo - 2010
international markets that are compatible with the PSM model and some international studies addressing returns that are unhedged … unhedged returns in up-market months. A main business implication of the findings follows: international equity market …
Persistent link: https://www.econbiz.de/10013148458
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Product Market Competition and the Stock Market : Capitalisation, Returns and Betas
Talmain, Gabriel - 2021
individual returns, generated by the productivity shocks, tend to vanish: the stock market can no longer provide instruments for …
Persistent link: https://www.econbiz.de/10013245256
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Monthly Beta Forecasting with Low, Medium and High Frequency Stock Returns
Cenesizoglu, Tolga - 2014
that the popular Fama-MacBeth beta from 5 years of monthly returns generates the most accurate beta forecast among … estimators based on monthly returns. A realized beta estimator from daily returns over the prior year, generates the most … accurate beta forecast among estimators based on daily returns. A realized beta estimator from 30 minute returns over the prior …
Persistent link: https://www.econbiz.de/10013063045
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Trading frequency anomalies in infant markets : the test for returns and sensitivity of shares and portfolios
Shamis Moh'd; Ravindran Ramasamy; Zulkifflee Mohamed - In: Inventi impact: emerging economies (2020) 2, pp. 107-122
Persistent link: https://www.econbiz.de/10012648495
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Realized volatility, jump and beta : evidence from Canadian stock market
Gajurel, Dinesh; Chowdhury, Biplob - In: Applied economics 53 (2021) 55, pp. 6376-6397
Persistent link: https://www.econbiz.de/10012697913
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Liquidity, time-varying betas and anomalies : is the high trading activity enhancing the validity of the CAPM in the UK equity market?
Rojo-Suárez, Javier; Alonso-Conde, Ana Belén; … - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 45-60
Persistent link: https://www.econbiz.de/10012814339
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Estimation of equity betas in an emerging stock market : the Nigerian case
Nwude, E. Chuke - In: Asian Journal of Empirical Research 3 (2013) 6, pp. 725-737
markets with particular reference to Nigeria. Beta is a major component of the capital Asset Pricing Model (CAPM) used in the … correlations of the annual bank stock returns from 2000-2011, a twelve year period with the entire market return otherwise called …
Persistent link: https://www.econbiz.de/10009779152