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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 ...
Relationship between cash holdings and expected equity returns: evidence from Pacific alliance countries
(Universidad ESAN. ESAN EdicionesPE, 2021-06-30)
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 ...
Market risk and expected minimum return of the chemical substance and product manufacturing sector: period 2011 – 2020
(Universidad Internacional del Ecuador, 2022)
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 ...
Cost of equity estimation for the Brazilian market: a test of the Goldman Sachs model
(2017)
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 ...
The Relation between Expected Returns and Volatility in the Brazilian Stock MarketThe Relation between Expected Returns and Volatility in the Brazilian Stock Market
(Sociedade Brasileira de Econometria, 2011)
World betas, consumption growth, and financial integration
(ELSEVIER SCI LTD, 2011)
We define a country's beta as the covariance of domestic consumption growth with world consumption growth scaled by the world's variance. Beta is related to a country's risk-taking position in models of international ...
Dinamicity and unpredictability of emerging markets: an implementation of Goetzamnn and Jorion (1999)
(2015-02-27)
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 ...
¿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 ...
Relationship between cash holdings and expected equity returns: evidence from Pacific alliance countries
(Universidad ESAN. ESAN EdicionesPE, 2021-06-30)
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 ...
The expected return of COEsO retorno esperado dos COEs
(Lociedade Brasileira de Finanças, 2021)