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https://ruomo.lib.uom.gr/handle/7000/1394
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Πεδίο DC | Τιμή | Γλώσσα |
---|---|---|
dc.contributor.author | Messis, Petros | - |
dc.contributor.author | Alexandridis, Antonios K. | - |
dc.contributor.author | Zapranis, Achilleas | - |
dc.date.accessioned | 2022-09-26T08:01:44Z | - |
dc.date.available | 2022-09-26T08:01:44Z | - |
dc.date.issued | 2021 | - |
dc.identifier | 10.1002/ijfe.1786 | en_US |
dc.identifier.issn | 1076-9307 | en_US |
dc.identifier.issn | 1099-1158 | en_US |
dc.identifier.uri | https://doi.org/10.1002/ijfe.1786 | en_US |
dc.identifier.uri | https://ruomo.lib.uom.gr/handle/7000/1394 | - |
dc.description.abstract | This paper presents an innovative approach in examining the conditional relationship between beta and returns for stocks traded on S&P 500 for the period from July 2001 to June 2011. We challenge other competitive models with portfolios formed based on the book value per share and betas using monthly data. A novel approach for capturing time variation in betas whose pattern is treated as a function of market returns is developed and presented. The estimated coefficients of a nonlinear regression constitute the basis of creating a two factor model. Our results indicate that the proposed specification surpasses alternative models in explaining the cross-section of returns. The implications of this study show that the proposed new risk factors that found to be significant both in time series and cross-section analyses provide valuable information in better understanding the characteristics of returns, targeting the reinforcement of stock market efficiency, and the capital allocation procedure. | en_US |
dc.language.iso | en | en_US |
dc.source | International Journal of Finance and Economics | en_US |
dc.subject | FRASCATI::Social sciences::Economics and Business::Finance | en_US |
dc.subject.other | cross-sectional regression | en_US |
dc.subject.other | CAPM | en_US |
dc.subject.other | S&P 500 | en_US |
dc.title | Testing and comparing conditional risk‐return relationship with a new approach in the cross‐sectional framework | en_US |
dc.type | Article | en_US |
dc.contributor.department | Τμήμα Λογιστικής & Χρηματοοικονομικής | en_US |
local.identifier.volume | 26 | en_US |
local.identifier.issue | 1 | en_US |
local.identifier.firstpage | 218 | en_US |
local.identifier.lastpage | 240 | en_US |
Εμφανίζεται στις Συλλογές: | Τμήμα Λογιστικής & Χρηματοοικονομικής |
Αρχεία σε αυτό το Τεκμήριο:
Αρχείο | Περιγραφή | Μέγεθος | Μορφότυπος | |
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Preprint-Testing and comparing conditional CAPM_Revised.pdf | 547,99 kB | Adobe PDF | Προβολή/Ανοιγμα |
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