Página 10 dos resultados de 1125 itens digitais encontrados em 0.003 segundos

## A relação entre índice de sentimento de mercado e as taxas de retorno das ações: uma análise com dados em painel; The relationship between market sentiment index and stock returns: a panel data analysis

Yoshinaga, Claudia Emiko
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
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## Ensaios em finanças quantitativas: apreçamento de derivativos multidimensionais via processos de Lévy, e topologia e propagação do risco sistêmico; Essays in quantitative finance: multidimensional derivative pricing via Lévy processes, and systemic risk topology na risk propagation

Santos, Edson Bastos e
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
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## A Stochastic discount factor approach to asset pricing using panel data asymptotics

Araújo, Fabio; Issler, João Victor
Tipo: Relatório
Português
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Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the "common feature" in every asset return of the economy. Our estimator is a simple function of asset returns and does not depend on any parametric function representing preferences. The techniques discussed in this paper were applied to two relevant issues in macroeconomics and finance: the first asks what type of parametric preference- representation could be validated by asset-return data, and the second asks whether or not our SDF estimator can price returns in an out-of-sample forecasting exercise. In formal testing, we cannot reject standard preference specifications used in the macro/finance literature. Estimates of the relative risk-aversion coefficient are between 1 and 2, and statistically equal to unity. We also show that our SDF proxy can price reasonably well the returns of stocks with a higher capitalization level, whereas it shows some difficulty in pricing stocks with a lower level of capitalization.

## Can output explain the predictability and volatility of stock returns?

Rodríguez López, Rosa; Restoy, Fernando; Peña Sánchez de Rivera, Juan Ignacio
Tipo: info:eu-repo/semantics/publishedVersion; info:eu-repo/semantics/article Formato: application/pdf
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This paper examines whether a general equilibrium asset pricing model can explain two important empirical regularities of asset returns, extensively documented in the literature: (i) returns can be predicted by a set of macro variables, and (ii) returns are very volatile. We derive a closed-form solution for the equilibrium asset pricing model that relates asset returns to output by using an approximate method proposed by Campbell (Am. Econ. Rev. 83 (1993) 487) and Restoy and Weil (W.P. NBER, No. 6611 (1998)). We obtain evidence on eight OECD economies using both quarterly and annual observations. Equilibrium models seem to fin fewer difficultie in explaining the volatility of returns than their predictability for general output processes. In the case of the US, the observed predictability and volatility of asset returns, for annual frequencies, are broadly compatible with the predictions of equilibrium models for a reasonable

## Analysis of multi-scale systemic risk in Brazil's financial market

Bortoluzzo,Adriana Bruscato; Minardi,Andrea Maria Accioly Fonseca; Passos,Bruno Caio Fernando
Tipo: Artigo de Revista Científica Formato: text/html
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This work analyzes whether the relationship between risk and returns predicted by the Capital Asset Pricing Model (CAPM) is valid in the Brazilian stock market. The analysis is based on discrete wavelet decomposition on different time scales. This technique allows to analyze the relationship between different time horizons, since the short-term ones (2 to 4 days) up to the long-term ones (64 to 128 days). The results indicate that there is a negative or null relationship between systemic risk and returns for Brazil from 2004 to 2007. As the average excess return of a market portfolio in relation to a risk-free asset during that period was positive, it would be expected this relationship to be positive. That is, higher systematic risk should result in higher excess returns, which did not occur. Therefore, during that period, appropriate compensation for systemic risk was not observed in the Brazilian market. The scales that proved to be most significant to the risk-return relation were the first three, which corresponded to short-term time horizons. When treating differently, year-by-year, and consequently separating positive and negative premiums, some relevance is found, during some years, in the risk/return relation predicted by the CAPM. However...

## Expected Returns on Real Investments: Evidence from the Film Industry

Powers, Thomas
Fonte: Harvard University Publicador: Harvard University
Tipo: Research Paper or Report
Português
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## Essays in Financial Economics

Shaliastovich, Ivan