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Re-examining covariance risk dynamics in international stock markets using quantile regression analysis

Li, M. Y. L.; Yen, S. M. F. - In: Acta Oeconomica 61 (2011) March, pp. 33-59

This investigation is one of the first to adopt quantile regression (QR) technique to examine covariance risk dynamics in international stock markets. Feasibility of the proposed model is demonstrated in G7 stock markets. Additionally, two conventional random-coefficient frameworks, including...

Persistent link: https://www.econbiz.de/10010714182

Betting against beta

Frazzini, Andrea; Pedersen, Lasse Heje - In: Journal of Financial Economics 111 (2014) 1, pp. 1-25

We present a model with leverage and margin constraints that vary across investors and time. We find evidence consistent with each of the model's five central predictions: (1) Because constrained investors bid up high-beta assets, high beta is associated with low alpha, as we find empirically...

Persistent link: https://www.econbiz.de/10010718732

The volatility effect in emerging markets

Blitz, David; Pang, Juan; van Vliet, Pim - In: Emerging Markets Review 16 (2013) C, pp. 31-45

flat, or even negative. This is inconsistent with theoretical models such as the CAPM, which predict a positive relation …

Persistent link: https://www.econbiz.de/10010682555

Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)

Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - Fakultät für Wirtschaftswissenschaften, Technische … - 2011

Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich erhöhten Streubesitz mündeten. In der vorliegenden Arbeit untersuchen wir, inwieweit dies die aus klassischen...

Persistent link: https://www.econbiz.de/10009372405

On the Robustness of the Fama and French Multifactor Model: Evidence from France, Germany, and the United Kingdom

Malin, Mirela; Veeraraghavan, Madhu - In: International Journal of Business and Economics 3 (2004) 2, pp. 155-176

In this paper we investigate the robustness of the Fama-French multifactor model for equities listed in three European markets. We find evidence of a small firm effect in France and Germany and a big firm effect in the United Kingdom. Also, we do not find any evidence of a value effect for the...

Persistent link: https://www.econbiz.de/10010837294

Validita modelu CAPM na akciovém trhu USA

Širůček, Martin; Šoba, Oldřich; Němeček, Jaroslav - Volkswirtschaftliche Fakultät, … - 2014

The present article is focused on the Capital Asset Pricing Model (CAPM) and its implementation into American Stock … Market. It attempts to empirically test the validity of the CAPM to estimate individual stock returns based on historical … by using the model of Security Market Line (SML) verify the validity of CAPM model by assets pricing. According to Alfa …

Persistent link: https://www.econbiz.de/10011201277

ARE DOWNSIDE HIGHER ORDER CO-MOMENTS PRICED? : EVIDENCE FROM THE FRENCH MARKET

Hafsa, Houda; Hmaied, Dorra - In: The International Journal of Business and Finance Research 6 (2012) 1, pp. 65-81

This study examines the role of downside higher order co-moments in asset pricing models when stock returns are not normal. We test the effect of higher order downside co-moments using a data set of daily returns of Société des Bourses Françaises 250 Index stocks during the period 1987-2009....

Persistent link: https://www.econbiz.de/10011206087

Size and liquidity effects in Nigeria: an industrial sector study

Hearn, Bruce - In: Journal of Developing Areas 48 (2014) 3, pp. 1-30

asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market …

Persistent link: https://www.econbiz.de/10011213044

Long-term Prior Return Patterns in Stock Returns: Evidence from Emerging Markets

Sehgal, Sanjay; Jain, Sakshi; Morandiere, Pr Laurence … - In: The International Journal of Business and Finance Research 7 (2013) 2, pp. 53-78

as company characteristic(s) and prior return based portfolios. The CAPM is a poor descriptor of asset pricing as it …

Persistent link: https://www.econbiz.de/10011143924

Size and liquidity effects in Nigeria: an industrial sector study

Hearn, Bruce - Volkswirtschaftliche Fakultät, … - 2013

asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market …

Persistent link: https://www.econbiz.de/10011108128