scholarly journals Empirical test of conditional CAPM using expected returns of Brazilian, Argentinean, German and United States of American portfolio

2009 ◽  
Vol 7 (2) ◽  
pp. 269-278
Author(s):  
Elmo Tambosi Filho ◽  
Fabio Gallo Garcia ◽  
Joshua Onome Imoniana
Keyword(s):  
Dynamic Models ◽  
Empirical Test ◽  
Expected Returns ◽  
Conditional Capm ◽  
Financial Variables ◽  
The North ◽  
Long Run ◽  
North American Market ◽  
Capm Model ◽  
Financial Transactions

In the last decades, CAPM model has been of great interest in the scientific scene. Despite all the criticism, the improvement of the static CAPM, which has generated new dynamic models, provided investors with stronger guarantee through financial transactions. The CAPM and its static version were and are still very important in the financial scene. Nowadays, more sophisticated adaptations of the CAPM are found, which allow us to explain some matters in finance that had remained unqualified for a couple of time. Considering such discussion about the CAPM validity, this study aims to create a basis for reflection upon the conditional model, comparing it with the static one. In order to verify such facts, tests of conditional models are examined (with beta varying throughout the exercise), something uncommonly studied in the literature. Such tests are suitable to incorporate variances and covariance that change at long run. Methodological wise, the study tested the conditional CAPM model borrowing a leaf from Jagannathan and Wang (1996) using macroeconomics and financial variables from the Brazilian, German and Argentinean markets. Also, the approach compared such results with the American figures. Based on our findindings, there is evidence that the conditional CAPM of Jagannathan and Wang (1996) for the North American market is perfectly applicable to the Brazilian, Argentinean and German markets.

scholarly journals Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models

2021 ◽  
Author(s):  
Christian Schlag ◽  
Michael Semenischev ◽  
Julian Thimme
Keyword(s):  
Cross Section ◽  
Risk Premium ◽  
Empirical Test ◽  
Expected Returns ◽  
State Variables ◽  
Expected Return ◽  
Long Run ◽  
The Cross ◽  
Long Run Risks ◽  
Macro Finance

Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test for the ability of such a model to explain the cross-section of expected returns by sorting stocks based on the sensitivity of expected returns to these quantities. Models with only one uncertainty-related state variable, like the habit model or the long-run risks model, cannot pass this test. However, even extensions with more state variables mostly fail. We derive conditions under which models would be able to produce expected return patterns in line with the data and discuss various examples. This paper was accepted by David Simchi-Levi, finance.

scholarly journals The Price Discovery Mechanism between Sovereign Bond and Sovereign CDS Market: Studies in Selected Countries

2017 ◽  
Vol 9 (2) ◽  
pp. 270 ◽  
Author(s):  
Ngan Bich Nguyen
Keyword(s):  
Price Discovery ◽  
Empirical Test ◽  
Bond Market ◽  
Discovery Process ◽  
Sovereign Bond ◽  
Leading Role ◽  
Long Run ◽  
Pricing Process ◽  
Short Run ◽  
Price Discovery Process

This paper employs the multivariate VAR model to examine the mechanic work of price discovery process between sovereign CDS market and the associated sovereign bond market in contexts of five European and Asian countries, including Vietnam, Korea, Portugal, Italy and France from the beginning of 2008 to the end of April, 2017. The study accentuates on three aspects: the short-term interaction nexus between the sovereign CDS and the associated-sovereign bond market, the long-term co-movement between them and the discovery of which market plays the leading role in the pricing process. The results evidence the short-run and long-run relationship for the two markets. Particularly, the empirical test results support for the predominant role of the sovereign CDS market in the price discovery process in the bulk of sample entities. This might suggests for the governments to use CDS prices as the future indicator for predicting the volatility of debt markets.

scholarly journals Performance-Risk Nexus of Global Low-Rated ETFs During the QE-Tapering Period

2020 ◽  
Vol 15 (1) ◽  
pp. 194-211
Author(s):  
Panagiotis Anastasiadis ◽  
Efthimios Katsaros ◽  
Anastasios-Taxiarchis Koutsioukis ◽  
Athanasios Pandazis
Keyword(s):  
Abnormal Returns ◽  
Expected Returns ◽  
Market Index ◽  
Performance Risk ◽  
The Us ◽  
Alpha Beta ◽  
Capm Model

AbstractThis study investigates the performance of 50 global, one star (based on Morningstar rankings), ETFs during the US QE-tapering period starting in October 2014 up to September 2018, using the S&P500 as the market index. The methodology employed is based on the CAPM model. We adopt the Jensen’s Alpha, Beta, a / b, Sharpe and Treynor ratios measures in order to examine whether those ETFs have achieved abnormal returns. We conclude that managers of most ETFs do not exhibit selectivity skills and only six of these ETFs achieve higher returns than the market by showing bullish behavior. At the same time, most ETFs have positive Sharpe and Treynor ratios due to high expected returns during the period under scrutiny.

scholarly journals Dieback of apricot plantations caused by 'Ca. Phytoplasma prunorum' in Borsod-Abaúj-Zemplén county (Northern-Hungary)

2010 ◽  
pp. 34-41
Author(s):  
Gábor Tarcali ◽  
Emese Kiss ◽  
György J. Kövics ◽  
Sándor Süle ◽  
László Irinyi ◽  
...  
Keyword(s):  
Sour Cherry ◽  
Fruit Trees ◽  
Fruit Production ◽  
Plant Diseases ◽  
Stone Fruit ◽  
Stone Fruits ◽  
The North ◽  
Long Run ◽  
The World ◽  
Fruit Plantations

Plant diseases caused by phytoplasmas have increasing importance in all over the world for fruit growers. Lately, phytoplasma diseases occur on many fruit varieties and responsible for serious losses both in quality and quantity of fruit production. In the long-run these diseases cause destruction of fruit trees. The apricot phytoplasma disease (Ca. Phytoplasma prunorum) was first reported in Europe in 1924 from France. In 1992 the disease has also been identified in Hungary. On the base of growers' signals serious damages of "Candidatus Phytoplasma prunorum" Seemüller and Schneider, 2004 (formerly: European stone fruit yellows phytoplasma) could be observed in different stone fruit plantations in the famous apricot-growing area nearby Gönc town, Northern-Hungary. Field examinations have been begun in 2009 in several stone fruit plantations in Borsod-Abaúj-Zemplén County mainly in Gönc region which is one of the most important apricot growing regions in Hungary, named “Gönc Apricot Growing Area”. Our goals were to diagnose the occurrence of Ca. Phytoplasma prunorum on stone fruits (especially on apricot) in the North-Hungarian growing areas by visual diagnostics and confirm data by laboratory PCR-based examinations. All the 28 collected samples were tested in laboratory trials and at 13 samples from apricot, peach, sour cherry and wild plum were confirmed the presence of phytoplasma (ESFY). On the base of observations it seems evident that the notable losses caused by "Ca. Phytoplasma prunorum" is a new plant health problem to manage for fruit growers, especially apricot producers in Hungary. 

scholarly journals Examination of the current and idel organisational culture and leadership elements at the municipalities of the North Great Plain region

2013 ◽  
pp. 117-125
Author(s):  
Andrea Matkó
Keyword(s):  
Organizational Culture ◽  
Goal Orientation ◽  
Local Governments ◽  
Middle Managers ◽  
Performance Orientation ◽  
The North ◽  
Long Run ◽  
The Future ◽  
Future Vision ◽  
Major Emphasis

The connection between organizational culture and leadership has been examined by several researchers (Schein, Schmircik, Bass) and it is proven that there is a link between them. The leader shapes the organizational culture and at the same time the organizational culture shapes the leader too. The middle managers of local governments place the major emphasis on the dimension of goal orientation for the future. From the leadership perspective they find charismatic, goal and team oriented leadership necessary for the future. The local governments have to answer the challenges of the rapidly changing environment. Quick responses and adjustments are only possible if the leader possesses a clear future vision and not only sets short-term goals but plans for the future and estimates the necessities on the long run. It is important to have a leadership with utmost dedication to the organization and to the objectives of the organization. The leaders must raise the interests of the employees, involve them in the process of setting goals and in finding ways to meet those goals, and that the employees should no longer strive to realize their own personal ambitions but focus on the common objectives. This brought transformational leadership to light. The leader establishes and shapes the organizational culture but the individuals and teams working for the organization have impact on the organizational culture as well. This becomes apparent in the organizational culture as middle managers would place the major emphasis on performance orientation. Performance orientation is a dominant motivation based on excellence, hard work, pre-calculated risk, fore planning, goal orientation and regular feedback, which shapes the leadership too, as the leader has to change as well, in order to run the organization. Scheins’ standpoint reflects the best the relationship between the organizational culture and the leadership. Schein claims that organizational culture and leadership are interwoven phenomena, as the leader shapes the culture but after a while the organizational culture itself shapes the leader too.

scholarly journals Transmisión de precios en los mercados regionales de ovino en España

2011 ◽  
Vol 3 (1) ◽  
pp. 71 ◽  
Author(s):  
L. Boshnjaku ◽  
B. Ben-Kaabia ◽  
José M. Gil
Keyword(s):  
Time Series ◽  
Multivariate Time Series ◽  
Commodity Markets ◽  
Time Series Models ◽  
The North ◽  
Long Run ◽  
Stochastic Properties ◽  
Price Relationships

The analysis of price relationships in commodity markets provides an approximate idea on markets performance as well as allows the researcher to analyze price responses to unanticipated shocks. The objective of this paper is to explore price relationships in geographical separated markets in the Spanish lamb sector. The methodology used is based on the specification of multivariate time series models which are flexible enough to take into account the stochastic properties of data, the multivariate nature of price relationships and to distinguish between short- and long-run horizons. Results indicate that lamb markets in Spain are strongly related being Zafra the leading market. The influence of Zafra is substantial in the southern markets while in the North, the Lonja del Ebro could be considered as the most representative market.

Revisited the Relationship Between Economic Growth and Transport Infrastructure in India: An Empirical Study

2021 ◽  
pp. 001946622110635
Author(s):  
Prabir Kumar Ghosh ◽  
Soumyananda Dinda
Keyword(s):  
Economic Growth ◽  
Dynamic Models ◽  
Composite Index ◽  
Principal Component ◽  
Transport Infrastructure ◽  
Positive Contribution ◽  
Model Framework ◽  
Vector Error Correction ◽  
Long Run ◽  
The Relationship

This study empirically re-examines the relationship between transport infrastructure and economic growth in India for the period 1990–2017. Multivariate dynamic models are applied to estimate the relationship between economic growth and different modes of transport infrastructure namely road, rail and air transports in the vector error correction model framework. The results reveal that road and air transports have significant positive contribution to economic growth in the long-run while rail transport is insignificant. This study further examines the said issue using unit free index variables and has constructed a composite index of transport infrastructure using principal component analysis to analyse the nexus between aggregate transport infrastructure and economic growth in India in the post globalisation era. The results of the study indicate the bidirectional causality between aggregate transport infrastructure and economic growth. Results of this study suggest incorporating feedback issue in policy formulations. JEL Codes: C22, O18, R4

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