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Time-varying risk premia forecasts and a trading algorithm
(Universidad de San Andrés. Departamento de Economía, 2019-08)
La presente tesis analiza la siguiente pregunta: asumiendo que los factores de prima de riesgo predicen retornos de acciones, como lo hacen en el modelo de tres factores de Fama- French, y que dichos factores son variantes ...
Sentimiento en el mercado de renta variable colombiano: una extensión al modelo de cuatro factores de Fama-French-Carhart
(Universidad Nacional de ColombiaBogotá - Ciencias Económicas - Maestría en Ciencias EconómicasEscuela de EconomíaFacultad de Ciencias EconómicasBogotá, ColombiaUniversidad Nacional de Colombia - Sede Bogotá, 2021-09-09)
I implement a Sentiment-Expanded Capital Asset Pricinq Model (CAPM) by three alternative sentiment measures. The model is run on COLCAP monthly stock returns over the period July-2013/June-2020. With this exercise, I seek ...
Size premium, value premium and market timing: evidence from an emerging economy
(Universidad ESAN. ESAN EdicionesPE, 2018-12-01)
Purpose - This study aims to investigate the market timing strategy in different market conditions (i.e. up, down, normal and in-financial-crisis situation) in the emerging market of Pakistan over the period 1995 to 2015. ...
Size premium, value premium and market timing: evidence from an emerging economy
(Universidad ESAN. ESAN EdicionesPE, 2018-12-01)
Purpose - This study aims to investigate the market timing strategy in different market conditions (i.e. up, down, normal and in-financial-crisis situation) in the emerging market of Pakistan over the period 1995 to 2015. ...
Dissecting Anomalies with the Five-factor Model for the Brazilian Stock MarketDissecando Anomalias com o Modelo de Cinco Fatores para Mercado Acionário Brasileiro
(Lociedade Brasileira de Finanças, 2018)
A volatilidade idiossincrática melhora o desempenho dos retornos precificáveis? Aplicações dos modelos GARCH e GAS
(Universidade Federal de Santa MariaBrasilAdministraçãoUFSMPrograma de Pós-Graduação em AdministraçãoCentro de Ciências Sociais e Humanas, 2019-03-29)
CAPM (Capital Asset Pricing Model) is one of the most widespread models for the anticipated consumption of return on a risky investment. Developed by Sharpe (1964) and Lintner (1965), through Markowitz (1952), this model ...
Evaluación de tres metodologías para la estimación del costo de capital propio de las empresas industriales que cotizan en la bolsa de valores de Colombia: 2008-2012
(Universidad de La Salle. Facultad de Economía, Empresa y Desarrollo Sostenible – FEEDS. Finanzas y Comercio Internacional, 2013)
Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets
(2013-01-31)
This work applies the intertemporal asset pricing model developed by Campbell (1993) and Campbell and Vuolteenaho (2004) to the Brazilian 2x3 Fama-French stock portfolios from January 2003 to April 2012 and to the US 5x5 ...
Modelo de valoración de 5 factores de Fama y French : aplicación al mercado accionario chileno
(Universidad de Chile, 2017-09)
A lo largo de las últimas décadas numerosas investigaciones han planteado modelos
de valoración de activos para predecir los retornos esperados de las acciones. Modelos de
múltiples factores se han inspirado a partir de ...