Risk and profitability are two interdependent aspects in business activity: a certain level of risk must be assumed to achieve greater profitability. The Capital Asset Pricing Model (CAPM) is one of the most widely used ...

– Rates of return to investments in schooling have been estimated since the late 1950s. In the 60-plus year history of such estimates, there have been several attempts to synthesize the empirical results to ascertain ...

The influence of liquidity / illiquidity on the return on assets has been widely researched in last years, from both individual assets and market perspectives.Given the evidence that the liquidity / illiquidity is a ...

As an approach to determining the degree of integration of the Brazilian economy, this paper seeks to test the explanatory power of the Goldman Sachs Model for the expected returns by a foreign investor in the Brazilian ...

This research is to be considered as an implementation of Goetzmann and Jorion (1999). In order to provide a more realistic scenario, we have implemented a Garch (1,1) approach for the residuals of returns and a multifactor ...

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 ...

This article discusses profitability-liquidity relationships on accounting and market levels for 872 shares of publicly-traded Brazilian companies, observed between 1994 and 2013. On the market level, the assumption is ...