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This article questions the validity of regression models when high correlations exist between independent variables and presents the application of VAR as an alternative technique through the comparison of two groups of selected stocks that represent components of Dow Jones and S&P 500 indices,...
This paper explores the ability of the capital asset pricing model, as well as the firm specific factors, to explain the cross‐sectional relationship between average stock returns and risk in Athens Stock Exchange (ASE). The objective of this study is to investigate the cross‐section of stock...
In this article we compare the performance of the traditional CAPM with the multi factor model of Fama and French (1996) for equities listed in the Shanghai Stock Exchange. We also investigate the explanatory power of idiosyncratic volatility and respond to the claim that multi factor model...
This article outlines contingent claims created as a result of the arrangements underlying the transfer of state‐owned commercial banks’ non‐performing loans to asset management companies. An understanding of these factors is central in analysing the potential for China’s as set management...
Since the early 1980s when the term ‘emerging markets’ was first coined by the IMF and World Bank to describe the performance in countries with changing institutional framework, the theory has failed to produce a coherent and systemic theory. Overtime the term became generic, initially including...
This study presents an investigation of the long and short‐term co‐movements between different hedge fund strategy indices and the stock markets of France, Germany, Japan, North America and the UK. To analyse relationships among these price indices, the EngleGranger methodology, based on...
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