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Author: Séverine Cauchie
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ISBN:
Category :
Languages : en
Pages : 0
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Author: Séverine Cauchie
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author:
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Category :
Languages : en
Pages :
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This paper examines the determinants of stock returns in a small open economy using an APT framework. The analysis is conducted for the Swiss stock market which has the particularity of including a large proportion of firms that are exposed to foreign economic conditions. Both a statistical and a macroeconomic implementation of the model are performed for the period 1986-2002 with monthly returns on industrial sector indices. The results show that the statistically determined factors yield a better representation of the determinants of stock returns than the macroeconomic variables and that stock returns are influenced by both global and local economic conditions. This suggests that the Swiss stock market is an internationally imperfectly integrated market.
Author: Teppo Martikainen
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ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 200
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Author: Séverine Cauchie
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
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Author: Chi-Hsiou Daniel Hung
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Category :
Languages : en
Pages : 33
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In this paper we evaluate the intertemporal pricing performance of stock return determinants over the periods surrounding, and outside of, financial crises. The analysis focuses on the variables of size, book-to-market ratio, momentum, liquidity, and higher-order systematic co-moments. The evidence reveals that over non-crisis periods the market beta plays an important role in determining the cross-section of stock returns. Size, value, momentum, and liquidity also exhibit associations with the cross-section of stock returns. However, over crisis periods most of the variables we examined lose their explanatory power, suggesting that their usefulness is limited for investment purposes when financial markets experience crises. There is some evidence of coskewness pricing surrounding market crashes. Practitioners may consider coskewness over crisis periods.
Author: Séverine Cauchie
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ISBN:
Category :
Languages : fr
Pages : 60
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Author:
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Category :
Languages : en
Pages : 72
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Author: Reem Abd El Maksoud Ahmed El Abd
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 138
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Abstract: This paper aims at identifying the determinants of stock returns in the Egyptian stock market. It does so by means of applying four different asset pricing models to the Egyptian stock returns: the CAPM, Fama-French three-factor model, Carhart four-factor model, and Fama-French five-factor model. The main findings of this thesis are that there is a significant size effect in the Egyptian stock returns, but there is no evidence of the presence of value or momentum effects. The results for operating profitability and investment are mixed therefore they need to be investigated further. Also, this paper provides evidence of the superiority of Fama-French five-factor model relative to the other asset pricing models tested.
Author: Séverine Cauchie
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ISBN:
Category :
Languages : en
Pages : 0
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Author: Laurence R. Smith
Publisher:
ISBN:
Category :
Languages : en
Pages : 92
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