|
|
|
|
|
Evert Guliker, Erwin Folmer and Marten van Sinderen
With the rapidly increasing house prices in the Netherlands, there is a growing need for more localised value predictions for mortgage collaterals within the financial sector. Many existing studies focus on modelling house prices for an individual city; ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Olivier Mesly
In this challenging and innovative article, we propose a framework for the consumer behavior named ?consumer financial spinning?. It occurs when borrowers-consumers of products with high financial stakes accumulate unsustainable debt and disconnect from ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Pablo Solórzano-Taborga, Ana Belén Alonso-Conde and Javier Rojo-Suárez
Recent literature shows that market anomalies have significantly diminished, while research on market factors has largely improved the performance of asset pricing models. In this paper we study the extent to which data envelopment analysis (DEA) techniq...
ver más
|
|
|
|
|
|
|
|
|
|
|
Muhammad Zeeshan,Jiabin Han,Alam Rehman,Kashif Saleem,Raza Ullah Shah,Amir Ishaque,Naveed Farooq,Arif Hussain
Pág. 151 - 157
Mutual Funds enable small investors to enjoy the benefits of the capital market instruments with small amount using the expertise of professional managers. This study examines the risk adjusted performance, timing and selection abilities of conventional ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Verônica de Fátima Santana,Alex Augusto Timm Rathke
Pág. 545 - 572
This research aims to compare the performance of a statistical factor asset pricing model with the Fama-French-Carhart 4-factor model. We perform a Principal Component Analysis (PCA) to extract latent risk factors using data of stocks listed on B3 from 2...
ver más
|
|
|
|
|
|
|
|
|
|
|
Camila Cardoso Pereira,Regis A. Ely,Cláudio Djissey Shikida
Pág. 611 - 634
We test the presence of the dividend month premium in the Brazilian stock market. This premium consists in the existence of abnormal returns when companies are predicted to issue a dividend. We build portfolios based on predicted dividends and estimate a...
ver más
|
|
|
|
|
|
|
|
|
|
|
Márcio André Veras Machado,Otávio Ribeiro de Medeiros
Pág. 383 - 412
This paper is aims to analyze whether a liquidity premium exists in the Brazilian stock market. As a second goal, we include liquidity as an extra risk factor in asset pricing models and test whether this factor is priced and whether stock returns were e...
ver más
|
|
|
|
|
|