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Can fake wews impact the stock market? Evidence from politicians’ statements
(2019-07-17)
A partir dos retornos das ações de indústrias, analiso se as fake news feitas pelos presidentes americanos Barack Obama e Donald Trump afetam o mercado de ações de maneira sistemática. Especificamente, investigo se os ...
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 ...
Retornos metálicos, rendimiento de las acciones y volatilidad del mercado de valoresMetal Returns, Stock Returns and Stock Market Volatility
(Pontificia Universidad Católica del Perú. Fondo EditorialPE, 2018)
Monetary policy and asset pricing in the Swiss equity market
(Universidad de San Andrés. Escuela de Administración y Negocios., 2014-03)
Researchers have identi ed many patterns in average stock returns
which are not explained by the Capital Asset Pricing Model (CAPM) de-
veloped by Sharpe (1964) and Lintner (1965). Such patterns are called
anomalies and ...
CAPM: uma aplicação do modelo para as blue chips listadas na BM&FBOVESPA
(Universidade Federal de Santa MariaBrasilUFSMCentro de Ciências Sociais e Humanas, 2014-11-27)
The capital asset pricing model (CAPM) indicates the expected return of an asset taking into consideration the risk-free return, the market return and the beta coefficient. The present study sought to determine whether the ...
A variação de ativos e retorno das ações no mercado de capitais brasileiro
(2010-05-28)
The finance literature has been found many relations between financial multiples and stock returns. We test the relation between asset growth and stock returns for the Brazilian capital market. Panel regressions were made ...
Nonparametric tail risk, stock returns, and the macroeconomy
(Cirano, 2016)
This paper introduces a new tail-risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the returns without relying on option price ...