Similar Search Results

Effects of a capital gains tax on asset pricing

Krause, Marko Volker - In: Business research 11 (2018) 1, pp. 115-148

Löffler (BuR—Business Research 2(2):171–178, 2009) find for the CAPM. Furthermore, for an exogenous non-zero risk-free rate, I …

Persistent link: https://www.econbiz.de/10011814856

Cross-Section of asset returns : emerging markets and market integration

Ajrapetova, Tamara - In: European financial and accounting journal : EFAJ 13 (2018) 1, pp. 41-60

the Capital Asset Pricing Model (CAPM), mainly due to their attractive simplicity. This article focuses on the risk … systematic risk measures, downside beta proved its superiority to traditional CAPM beta. The results can be attributed to delayed …

Persistent link: https://www.econbiz.de/10011887581

Hedge funds: risk and performance

Shin, Sangheon; Smolarski, Jan; Soydemir, Gökçe A. - In: Journal of financial management, markets and institutions 6 (2018) 1, pp. 1850003-43

Persistent link: https://www.econbiz.de/10011960217

An equilibrium model for an OTC derivative market under a counterparty risk constraint

Takino, Kazuhiro - In: Journal of financial management, markets and institutions 6 (2018) 2, pp. 1850007-26

Persistent link: https://www.econbiz.de/10011960229

Liquidity as an asset pricing factor in the UK

Artikis, Panayiotis G. - In: Journal of financial management, markets and institutions 6 (2018) 2, pp. 1850008-24

Persistent link: https://www.econbiz.de/10011960233

The asset pricing implications of ambiguous central bank communication : evidence from China

Lin, Jianhao; Zhang, Yifan; Chen, Liangyuan; Zhou, Xianbo - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 10, pp. 2204-2219

Persistent link: https://www.econbiz.de/10015049704

The intraday heterogeneity and risk pricing reversal between day and night : evidence from China

Zhang, Lu; Zhang, Hao - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 10, pp. 2237-2260

Persistent link: https://www.econbiz.de/10015049707

Performance evaluation of global high-rated ETFs during the taper tantrum

Marios, Arampatzis; Kalliopi, Daskalou; Evangelia, … - In: Journal of central banking theory and practice 9 (2020) 1, pp. 23-44

employing the Capital Asset Pricing Model (CAPM), we evaluate the performance of fifty ETFs according to their rating by the …

Persistent link: https://www.econbiz.de/10012167185

A quantitative analysis of risk premia in the corporate bond market

Cecchetti, Sara - In: Journal of risk and financial management : JRFM 13 (2020) 1/3, pp. 1-33

Measures of corporate credit risk incorporate compensation for unpredictable future changes in the credit environment and compensation for expected default losses. Since the launch of purchases of government securities and corporate securities by the European Central Bank, it has been discussed...

Persistent link: https://www.econbiz.de/10012173339

Using the ICAPM to estimate the cost of capital of stock portfolios: empirical evidence on the Warsaw Stock Exchange

Urba´nski, Stanislaw; Leśkow, Jacek - In: Statistics in transition : an international journal of … 21 (2020) 1, pp. 73-94

The aim of this paper is to present the method for estimating the cost of capital of typical portfolios available on the Warsaw Stock Exchange. The authors introduce the three factor Fama-French model and its two modifications. They also apply the bootstrap method to evaluate the variability of...

Persistent link: https://www.econbiz.de/10012183556