Related papers: Testing the Capital Asset Pricing Model (CAPM) on …
The study focuses on the Impact of Environmental Accounting on the Profitability of Companies listed on the Bombay Stock Exchange. The study has considered the Amount spent on Environmental protection as an Independent variable and Return…
The proliferation of mobile money in Uganda has been a cornerstone of financial inclusion, yet its security mechanisms remain a critical concern. This study investigates a significant public response to perceived security failures: the…
Share market is one of the most important sectors of economic development of a country. Everyday almost all companies issue their shares and investors buy and sell shares of these companies. Generally investors want to buy shares of the…
The purpose of the study is to propose a methodology for evaluation and ranking of risky investment projects.An investment certainty equivalence approach dual to the conventional separation of riskless and risky contributions based on cash…
Natural capital accounting is important to efforts that attempt to measure the value of nature to decide on how best to trade-off natural resource productive use and conservation. Much work on measuring reciprocal physical stocks and flows…
Although machine learning approaches have been widely used in the field of finance, to very successful degrees, these approaches remain bespoke to specific investigations and opaque in terms of explainability, comparability, and…
We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity of the CAPM can be rejected, thus the…
We introduce a new set of consistent measures of risks, in terms of the semi-invariants of pdf's, such that the centered moments and the cumulants of the portfolio distribution of returns that put more emphasis on the tail the…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…
The paper intends to perform a relevant study on the closed-end fund puzzle in the perspective of an emerging market. Quarterly data of 36 closed-end mutual funds traded in Dhaka Stock Exchange are collected over the sample period of 2016…
Among the various factors affecting the firms positioning and performance in modern day markets, capital structure of the firm has its own way of expressing itself as a crucial one. With the rapid changes in technology, firms are being…
In this paper we analyse the five-factor capital market model of Munk et al.(2004). The model features a Vasicek interest rate model, an equity index with mean-reverting excess return and an index for realized inflation with mean-reverting…
On March 4th 2016 the Basel Committee on Banking Supervision published a consultative document where a new methodology, called the Standardized Measurement Approach (SMA), is introduced for computing Operational Risk regulatory capital for…
In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit defaul, under partial information. We consider the case when the…
In this work we rigorously establish mathematical models to obtain the capital valuation adjustment (KVA) as part of the total valuation adjustments (XVAs). For this purpose, we use a semi-replication strategy based on market theory. We…
The largest US banks are required by regulatory mandate to estimate the operational risk capital they must hold using an Advanced Measurement Approach (AMA) as defined by the Basel II/III Accords. Most use the Loss Distribution Approach…
The present study introduce the human capital component to the Fama and French five-factor model proposing an equilibrium six-factor asset pricing model. The study employs an aggregate of four sets of portfolios mimicking size and industry…
An open market is a subset of an entire equity market composed of a certain fixed number of top capitalization stocks. Though the number of stocks in the open market is fixed, the constituents of the market change over time as each…
In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results support strongly the international…
In this article we discuss the distribution of asset price movements by the market potential function. From the principle of free energy minimization we analyze two different kinds of market potentials. We obtain a U-shaped potential when…