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Contagion and downside risk in the REIT market during the subprime mortgage crisis

Chen, Ming-Chi; Tsai, Hsiu-Jung; Sing, Tien-foo; Yang, … - In: International journal of strategic property management 19 (2015) 1, pp. 42-57

Persistent link: https://www.econbiz.de/10011302960

Testing the CAPM for the Brazilian stock market using multivariate GARCH between 1995 and 2012

Godeiro, Lucas Lúcio; Silva, Cesar R. da; Rodrigues, … - In: Journal of finance and investment analysis 2 (2013) 2, pp. 15-39

The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in …. The main contribution of the paper is the estimation of dynamic betas for Ibovespa shares, which can be useful for …

Persistent link: https://www.econbiz.de/10009746028

Time-varying betas in Central and Eastern European markets: a bivariate BEKK GARCH approach

Anton, Sorin Gabriel; Ochem, Marie - In: International journal of economic policy in emerging … 6 (2013) 2, pp. 107-121

Persistent link: https://www.econbiz.de/10009790510

Back to the future betas : empirical asset pricing of US and Southeast Asian markets

French, Jordan - In: International Journal of Financial Studies : open … 4 (2016) 3, pp. 1-13

. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of …

Persistent link: https://www.econbiz.de/10011526799

Multivariate time-varying parameter modelling for stock markets

Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972

Persistent link: https://www.econbiz.de/10012616913

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

Liquidity and asset prices : an empirical investigation of the nordic stock markets

Butt, Hilal Anwar; Virk, Nader Shahzad - In: European financial management : the journal of the … 21 (2015) 4, pp. 672-705

Persistent link: https://www.econbiz.de/10011408519

An analysis of the relationship between risk and expected return in the BRVM stock exchange : test of the CAPM

Pamane, Kolani; Vikpossi, Anani Ekoue - In: Research in world economy 5 (2014) 1, pp. 13-28

Persistent link: https://www.econbiz.de/10010461988

Validity of Capital Asset Pricing Model & Stability of Systematic Risk (Beta) : An Empirical Study on Indian Stock Market

maji, krishnendu - 2010

The capital asset pricing model (CAPM) is the standard risk-return model used by most academicians and practitioners …. The underlying concept of CAPM is that investors are rewarded for only that portion of risk which is not diversifiable … (January 2005 to December 2008) for the analysis. The studies provide evidence against the CAPM hypothesis. And finally, the …

Persistent link: https://www.econbiz.de/10013136045

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