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Vitaly Kaganov
Pág. 29 - 37
The most common model for asset pricing (CAPM) is problematic and does not match the reality. In this article, I introduce a theoretical framework for a new model which aims at avoiding the problems of CAPM and keeping its advantages, therefore allowing ...
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Hanna Zofia Kolodziejczyk
Pág. 1 - 6
Dear Readers,I have the pleasure of presenting to you the second issue of our research journal entitled ?Research Papers in Economics and Finance? (REF), published by the Faculty of Economics at Poznan University of Economics and Business. Caring ab...
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Rafaela Dezidério dos Santos Rocha and Márcio Laurini
The multifactor asset pricing model derived from the Fama?French approach is extensively used in asset risk premium estimation procedures. Even including a considerable number of factors, it is still possible that omitted factors affect the estimation of...
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Mimoun Benali, Karima Lahboub and Abdelhamid El Bouhadi
In this study, the reliability of the Fama?French Three-Factor model (FF3F) and the Carhart Four-Factor model (C4F) is examined thoroughly. In order to determine which of the asset pricing models is the best to explain portfolio returns on the Moroccan s...
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Cheol-Keun Cho and Bosung Jang
This paper explores the implications of consumption heterogeneity between domestic and foreign investors on the cross-section of stock returns in a host country. We argue that foreign investors in a small open economy integrated into global financial mar...
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Asmâa Alaoui Taib and Safae Benfeddoul
This study empirically tests and compares the performances of three famous financial asset valuation models in the Moroccan stock exchange: CAPM, the Fama and French three-factor model, and the Fama and French five-factor model. Our sample considers mont...
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Ivan Herranz-Matey and Luis Ruiz-Garcia
The residual value of agricultural tractors plays a pivotal role in the financial viability of agribusiness enterprises. Nevertheless, there is a dearth of comprehensive studies concerning the prognostication of both retail and wholesale residual values ...
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Yi-Chang Chen, Shih-Ming Kuo, Yonglin Liu, Zeqiong Wu and Fang Zhang
Most of the growth forecasts in analysts? evaluation reports rely on human judgment, which leads to the occurrence of bias. A back-propagation neural network (BPNN) is a financial technique that learns a multi-layer feedforward network. This study aims t...
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Zixiu Yang and Dean Fantazzini
This paper examines the trading performances of several technical oscillators created using crypto-asset pricing methods for short-term bitcoin trading. Seven pricing models proposed in the professional and academic literature were transformed into oscil...
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Calin Vâlsan, Elena Druica and Eric Eisenstat
We propose an agent-based model of financial markets with only one asset. Thirty-two agents follow very simple rules inspired by Wolfram?s Rule 110. They engage in buying, selling, and/or holding. Each agent is endowed with a starting balance sheet marke...
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