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Este trabajo muestra la relación entre las betas apalancadas y sin deuda y la formulación general para el costo del capital. También muestra, paso a paso, el procedimiento para calcular las betas a partir de los datos que se encuentran en el mercado de valores. Se muestran procedimientos...
Persistent link: https://www.econbiz.de/10013115159
This paper studies the default anomaly that has been documented in the literature. We show that after controlling for the default-risk premium the default anomaly disappears. In contrast, controlling for credit spreads does not fully eliminate the anomaly. We also relate our results to the IVOL...
Persistent link: https://www.econbiz.de/10013118444
We investigate several asset pricing models in an international setting. We use data on a large number of assets traded in the United States, Japan, the United Kingdom, and France. The models together with the hypothesis of capital market integration imply testable restrictions on multivariate...
Persistent link: https://www.econbiz.de/10013119170
intertemporal budget constraint and has predictive power for exchange rates. We find that our conditional consumption-CAPM is able …
Persistent link: https://www.econbiz.de/10013120594
We show how the timing of financial innovation might have contributed to the mortgage bubble and then to the crash of 2007-2009. We show why tranching and leverage first raised asset prices and why CDS lowered them afterwards. This may seem puzzling, since it implies that creating a derivative...
Persistent link: https://www.econbiz.de/10013121404
CAPM has come a long way, has passed the time-test, and is fast coming out as a winner despite the onslaught of both …, APT and multi-factor CAPM. The bottom line is that CAPM is needed, dead or alive. If so, it does not mean that CAPM stays … as, “CAPM." Downside risk in recent times has caught the eyes of researchers. Downside-beta CAPM (DCAPM) based on …
Persistent link: https://www.econbiz.de/10013123677
theoretical assumptions. Since its inception, CAPM has been questioned due to some of its unrealistic theoretical assumption or … and even presenting alternative models too. But, it is also true that despite of its various weaknesses, still CAPM could … not be totally abandoned as useless. Finance still need CAPM, dead or alive …
Persistent link: https://www.econbiz.de/10013123797
. Since an accurate critique of new theory/practice depends on a thorough grasp of traditional theory, we provide a basic … “refresher course” in the foundational definitions and concepts underlying modern portfolio theory and statistics that pertain to …
Persistent link: https://www.econbiz.de/10013124664
discussing various related aspects of capital market theory. . . . . Much of the discussion is convoluted and, alas, much … misstates fundamental concepts and theory. There appear to be as many opinions regarding every aspect of modern portfolio theory … review of the theory and calculations underlying several key propositions in finance that are fundamental to the ongoing …
Persistent link: https://www.econbiz.de/10013124666
intertemporal budget constraint and has predictive power for exchange rates. We find that our conditional consumption-CAPM is able …
Persistent link: https://www.econbiz.de/10013101597