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Fama's (1970) efficient market hypothesis (EMH) and the capital asset pricing model (CAPM), jointly ascribed to Markowitz (1952), Treynor (1961), Sharpe (1964), Lintner (1965) and Mossin (1966), remain the foundation of most finance and investment courses. This is surprising, given the sustained...
Market indices and peer group comparison are the most commonly used proxies to measure a portfolio manager's relative performance and draw conclusions regarding a manager's skill in managing investment portfolios. However, methods based on both of these proxies have several drawbacks that may...
This paper extends research concerned with the evaluation of co-movement and correlations in international fixed income markets by examining dynamic linkages in three emerging bond market yields along with the US. The empirical results suggest that daily bond yields for these markets are not...
Most asset pricing theories suggest that stock prices are forward looking and reflect market expectations of future earnings. By aggregating across companies, aggregate stock prices may then be used as leading indicators of future real GDP and real industrial production. A Hodrick and Prescott...
In this study we investigate whether the investment determinants of new SMEs differ from those of existing SMEs. To do so, we use two samples of Portuguese SMEs: 495 new SMEs and 1350 existing SMEs, and to estimate the results we use the two-step estimation method. The empirical evidence allows...
KOSPI 200 index options are the most actively traded exchange-listed derivative contracts in the world. And, unlike most other active options markets, trading is dominated by individual investors. This study examines the short-term relationship between stock market returns and implied volatility...
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