Many studies on asset pricing have highlighted the importance of downside risk, in line with actual losses investors. In addition, capital model (CAPM), although presented as a universal theory, may provide significantly different rates return bull and bear markets. Using CAPM under conditions could be regarded an alternative measurement valuation approach to risk. This paper investigates conve...

In this paper, we discuss the paradigm shift in bank capital from the “gone concern” to the “going concern” mindset. We then propose a methodology for pricing a product of this shift called Contingent Capital Notes (“CoCos”). The Merton Model can determine a price for credit risk by using the firm’s equity value as a call option on those assets. Our pricing methodology for CoCos also uses the c...

This article analyzes a dynamic general equilibrium under a generalization of Merton’s (1987) investor recognition hypothesis. A class of informationally constrained investors is assumed to implement only a particular trading strategy. The model implies that, all else being equal, a risk premium on a less visible stock need not be higher than that on a more visible stock with a lower volatility...

The duo of Fama and French is most famous for their 1992 and 1993 papers documenting strong historical value and size effects. (Fama is also famous – or infamous, depending on your perspective – for his association with the efficient market hypothesis.) The core observation of Fama and French’s seminal papers was that the returns on small-company and value stocks – those with high book-to-marke...

Artificial neural networks are used in conjunction with the Sharpe-Linter form of the Capital Asset Pricing Method (CAPM) to predict when the returns on U.S. stocks will be greater than financial risk models would predict. The advantage of using a nonlinear approach is to model the financial system more accurately than linear techniques. The Sharpe-Lintner form is used to control for risk and d...

This paper aims to examine the financial risks faced by Chinese airline companies and provide useful information investors who are interested in investing these firms. The study will conduct valuations on three largest China, namely China Southern Airlines, Air Eastern assess differences taken companies. methodology used be Capital Asset Pricing Model (CAPM) metric of beta, which is volatility ...

Las metodologías para el cálculo del riesgo de mercado han sido aplicadas principalmente a economías países desarrollados. En este trabajo investigación se propone utilizar CAPM determinar y rendimiento mínimo esperado las empresas sector corporativo Ecuador periodo 2009-2019. promedio analizaron 48 667 empresas, con base en la información obtenida Superintendencia Compañías, Valores Seguros (S...

The focus of this research was to determine and investigate the application Capital Asset Pricing Modeling (CAPM) technique in analyzing investment decisions particular banking stocks that specialize digital operating models. Investors generally follow IT or sector (Tech stocks) due sector's track record delivering high returns promise for even greater future. In sector, investors continue purs...