Multi-factor models constitute a useful tool to explain cross-sectional covariance in equities returns. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an ...

Purpose. This paper aims to examine the relationship between cash holdings (CH) and expected equity return in a sample of firms of Pacific alliance countries. Design/methodology/approach. This paper constructed a panel of ...

This paper provides insights about how customer equity estimates can help businesses monitor the competition as well as aid managers in making their marketing investment decisions, and how companies can employ their marketing ...

This paper analyzes the impact of security offering announcements on stock prices for a sample of 172 issues of securities in the Chilean financial market, during the 1993-2002 period. We found that the authorization of ...

We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based ...

We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based ...

Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ...

Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ...