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Governança corporativa, risco e retorno das açõesCorporate governance, risk and return of shares
(Universidade Federal de UberlândiaBrasilCiências Contábeis, 2018)
Brazilian railway concessions: risks and returns
(The Brazilian EconomyThe Brazilian Economy, 2015)
Análise dos retornos e características da estratégia de risk arbitrage no Brasil
(2016-01-19)
O presente trabalho tem o objetivo de analisar os retornos de um portfólio investido na estratégia de risk arbitrage no Brasil entre 2004 e 2014, determinando se esta estratégia proporciona retornos anormais. De setembro ...
Anomalia de ações de baixo risco: extensão dos estudos no mercado brasileiro
(Universidade do Vale do Rio dos Sinos, 2015-02-27)
The existence of the Low-Beta Stocks Anomaly (LBSA) conflicts with two traditional economic theories: the efficient-market hypothesis and the risk-return tradeoff. This anomaly could allow market participants to exploit a ...
Anomalia de ações de baixo risco: extensão dos estudos no mercado brasileiro
(Universidade do Vale do Rio dos Sinos, 2015-02-27)
The existence of the Low-Beta Stocks Anomaly (LBSA) conflicts with two traditional economic theories: the efficient-market hypothesis and the risk-return tradeoff. This anomaly could allow market participants to exploit a ...
Explaining the Time Series and Cross-Section Variations of Returns: The Mexican Stock Market-Edición Única
(Instituto Tecnológico y de Estudios Superiores de Monterrey, 2004-06-01)
The main objective of this dissertation is to propose an Asset Pricing Model that identifies the risk factors explaining the time series and cross-section variations in the returns of the Mexican Stock Market. This analysis ...
Explaining the Time Series and Cross-Section Variations of Returns: The Mexican Stock Market-Edición Única
(Instituto Tecnológico y de Estudios Superiores de Monterrey, 2015)
¿Does risk aversion affects expected stock returns?
(Universidad de Chile, 2019-04)
We estimate an aggregate time-varying risk aversion function using option, stock return and
macroeconomic data for a sample of 8 countries. We document that, in most of the countries,
the degree of risk aversion is ...
An examination of the cross-sectional relationship of beta and return in international stock returns: evidence from emerging and developed markets
(2018-01-16)
This paper will follow Pettengill et al.’s (1995) approach to examine the unconditional and conditional relationship between beta and returns from January 1995 to May 2017 in a well globally diversified sample of 22 emerging ...