the current paper examines intertemporal capital asset pricing model in iran’s stock market. dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. time varying beta is estimated by kalman filter method. based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. significance of...

this paper measures event risk which is introducing by the ball committee to measure the effect of sudden news. this study calculates event risk by using the data of registered firms in tehran stock market between 1993 and 1994. for computing event risk, we use daily market capitalization for 80 firms during 1993-2009, then dividing these firms to three baskets; big, medium and small. the model...

“...[T]he sound of water escaping from mill-dams... old rotten planks, slimy posts, and brick work, I love such things.... As long as I do paint, I shall never cease to paint such places. They have always been my delight,” wrote John Constable (1776–1837), English landscape painter and source of inspiration for Constant Troyon and others, who looked for subjects not in the classical or academic...

The Capital Asset Pricing Model (CAPM) has been the dominating capital market equilibrium model since its inception and continues to be widely used in practical portfolio management and in academic research. Its central implication is that the contribution of an asset to the variance of the market is the correct measure of the asset’s risk and the only systematic determinant of the asset’s retu...

This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...

abstract main objective of this paper is the investigation the effect of support policies of government on income risk of poultry producers in iran for the 1989-2006. ccv index was used to investigate amount of variation that cause each support policies (market price support, support of agricultural inputs, outputs insurance) on income risk variation of producers. the results of this study show...

With SUM, a Surprising (Un)realistic Market, we are dealing with the microfoundations of a stock market. We avoid any artificially simplified solution about price formation, such as to employ an auctioneer to clear the market; on the contrary, our model produces time series of prices continuously evolving, transaction by transaction. The core of the model is represented by a computational struc...

The aim of this paper is to output a critical book review of Market Intelligence: Building Strategic Insight by Jenster & Søilen (2009). The purpose of the book is to provide helpful and practical information about market intelligence and analysis for real life situations for managers. The book reviewed is conducted by using systematic review for gathering information in the field of market int...

Read more and get great! That's what the book enPDFd countering counterfeit trade illicit market insights best practice strategies and management toolbox will give for every reader to read this book. This is an on-line book provided in this website. Even this book becomes a choice of someone to read, many in the world also loves it so much. As what we talk, when you read more every page of this...