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Cross-sectional analysis of stock returns in Athens Stock Exchange for the period 2004-2011
Svingou, Argiro - In: Spoudai : journal of economics and business 63 (2013) 1/2, pp. 100-120
This study is an investigation of the factors affecting the average returns of stocks that were traded on the Athens Stock Exchange for the period July 2004 - June 2011. The methodological approach is similar to that applied by Fama and French (1992), in the first stage, stocks are grouped into...
Persistent link: https://www.econbiz.de/10010255677
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On the Assessment of Beta Before World War I : Case Study of Brussels Stock Exchange (BSE)
Mensah, Lord - 2012
This paper uses completely new data to study the variations in beta when it deviates from the constancy assumption presumed by the market model. The concentration of the various researches on beta based on post 1926 data makes the 19th century Brussels Stock Exchange (BSE) data a very good...
Persistent link: https://www.econbiz.de/10013103015
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Capital asset pricing model testing at Warsaw Stock Exchange : are family businesses the remedy for economic recessions?
Lipiec, Jacek - In: International Journal of Financial Studies : open … 2 (2014) 3, pp. 266-279
In this article, we test the capital asset pricing model (CAPM) on the Warsaw Stock Exchange (WSE) by measuring the …
Persistent link: https://www.econbiz.de/10010470522
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Instability of Stock Beta in Dhaka Stock Exchange (DSE), Bangladesh
Mollik, A. T. - 2010
least square estimates of CAPM beta and Dimson beta of individual securities for 3, 4 and 8-years holding periods are not …, and that betas are under-estimated in standard OLS method of CAPM. The evidence of beta instability in DSE imply that …
Persistent link: https://www.econbiz.de/10013139544
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Convergence of Expected Returns through Arbitrage : Beta Is Indifferent to Equity Valuation
Miyamoto, Kenji - 2018
The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is …
Persistent link: https://www.econbiz.de/10012907181
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Asset Pricing Under Prior-Induced Beta Uncertainty
Hu, Shuting (Sophia) - 2018
We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate differences in perceived risk exposures, and thereby...
Persistent link: https://www.econbiz.de/10012935196
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Daily Data is Bad for Beta : Opacity and Frequency-Dependent Betas
Gilbert, Thomas - 2013
the difference between low and high frequency betas (dBeta) yields large systematic mispricings relative to the CAPM at … that the CAPM can hold at high frequencies and more factors are needed to price assets at low frequencies, we show that the … CAPM may be an appropriate asset pricing model at low frequencies but that additional factors, such as one based on opacity …
Persistent link: https://www.econbiz.de/10013091348
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Hedge fund alpha and beta corrected for stale pricing
Godwin, CFA, Alexander - 2022
This paper introduces a novel method for estimating the alpha and beta of hedge fund indices that corrects for stale pricing in reported returns. This approach can be further used to estimate volatility and other risk measures. We apply this technique to a composite hedge fund index and six...
Persistent link: https://www.econbiz.de/10014361316
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Estimating Illiquid Asset Class Alpha and Beta using Secondary Transaction Prices
Godwin, CFA, Alexander - 2022
This paper introduces a novel method for estimating the true economic alpha and market beta of illiquid asset classes using secondary transaction prices. Furthermore, this approach can be used to measure the degree of stale pricing in the reported returns of such asset classes. We apply this...
Persistent link: https://www.econbiz.de/10014361324
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Absolute Delta Beta and Cross-Sectional Stock Returns
Xie, Jun; Zhang, Baohua; Gao, Bin; Tan, Chunzhi - 2022
This paper explores the predictive power of the absolute delta beta (ADB) on future cross-sectional stock returns. By univariate portfolio analysis, bivariate portfolio analysis, and decomposition of predictive power, we find that the ADB can produce an excess return in the next month. The...
Persistent link: https://www.econbiz.de/10013406522