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Milo? Ðakovic,Jelena Andra?ic,Danica Cicmil
Pág. 183 - 197
One of the basic types of portfolio valuation as well as valuation of individual company shares is the CAPM (Capital Asset Pricing) model, which uses a well-known measure of systemic risk in its analysis, which is beta. The CAPM model in its analysis use...
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Yi-Chang Chen, Hung-Che Wu, Yuanyuan Zhang and Shih-Ming Kuo
The aim of this study is to investigate the herding of beta transmission between return and volatility. We have used the dynamic conditional correlation model with the mixed-data sampling (DCC-MIDAS) model for the analysis. The evidence demonstrates that...
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Syed Fahad Ali Shah,Arif Hussain,Muhammad Khan,Julija Jacquemod,Zahir Shah
Pág. 125 - 129
Various efforts are made to quantify and explain risk taking behavior including systematic risk with in financial institutions. This study is about determining various factors affecting commercial banks systematic risk in Pakistan. Sample included in the...
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Rama Krishna Yelamanchili
Pág. 109 - 114
This paper aims to study predictive ability of consumer sentiment of individual stocks. We consider two proxies for sentiment. One is explicit (Index of Consumer Sentiment, ICS), second is implicit (Broad Market Indicator, S&PBSE500) and we pick 50 stock...
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Jieting Chen and Yuichiro Kawaguchi
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a per...
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Livia Vittori Antisari, Ruxandra Papp, Gilmo Vianello and Sara Marinari
The aim of this study was to determine the effect of a Douglas fir plantation along a stand chronosequence in the North Apennine (Italy) on soil carbon and nitrogen stocks, as well as on soil chemical and biochemical properties involved in the nutrients ...
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Yetti Afrida Indra
Pág. 233 - 240
CAPM is a balance model that can determine the risks and returns that investors will gain. Under the CAPM, the level of risk and the appropriate rate of return has a positive and linear relationship. The measure of risk that is an indicator affecting sto...
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Marcelo de Castro Orefice,Pedro L. Valls Pereira
Pág. 389 - 428
In this paper, we discuss the practice of portfolio pumping in Brazil. Although the topic is recurrent in other countries, few studies provide this analysis for the Brazilian case. The statistical study is elaborated in three stages: first, we considered...
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Edson Kambeu
Pág. 141 - 148
In this paper we analyse the role of Exchange Traded Funds (ETFs) in the price discovery process of stocks listed at the Botswana Stock Exchange.Using daily returns data covering the period 3 January 2013 to 31 December 2015 for Beta Betta ETF and Domest...
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Paulo Rotela Junior, Luiz Célio Souza Rocha, Giancarlo Aquila, Edson de Oliveira Pamplona, Pedro Paulo Balestrassi, Anderson Paulo de Paiva
Pág. 623 - 631
The objective of this paper is to present a proposal to form robust portfolios using a stochastic efficiency analysis of assets from companies in the Sao Paulo Stock Exchange, focusing on the worst market state. In order to do this, information about the...
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