 |  Investments, 4th Canadian Edition, 4/e Zvi Bodie,
Boston University School of Management
Alex Kane,
University of California, San Diego
Alan Marcus,
Boston College
Stylianos Perrakis,
Concordia University
Peter Ryan,
University of Ottawa
Empirical Evidence on Security Returns
Web LinksPrepared by William Lim, University of New Brunswick.
The CAPM debate: Ideas
(http://ideas.uqam.ca/ideas/data/Articles/fipfedmqry:1995:i:Fall:p:2-17.html)
By: Ravi Jagnnathan and Ellen R. McGrattan |
| | | Cross-Section of Stock Returns (paper): The World Bank Group
(http://www.worldbank.org/html/dec/Publications/Workpapers/wps1505-abstract.html)
Several factors besides market risk --- including firm size, earnings-price ratio, and turnover --- are significant in explaining a cross-section of stock returns in 19 emerging markets. The signs for some factors are contrary to those documented in U.S. and Japanese markets. Cross-sectional tests of asset returns have a long tradition in finance. The often-used capital asset pricing model (CAPM) and the arbitrage pricing theory both imply cross-sectional relationships between individual asset returns and other factors, and tests of those models have done much to increase understanding of how markets price risk. |
| | | Thin Trading: Ideas
(http://www.unites.uqam.ca/ideas/data/Papers/wpawuwpfi9610002.html)
Paper: Trading Frequency and Event Study Test Specification Authors: Arnold R. Cowan, Iowa State University and Anne M.A. Sergeant Iowa State University (15 Oct 1996). Forthcoming in Journal of Banking and Finance. The authors examine the effects of thin trading on the specification of event study tests. |
| | | World CAPM: Duke University
(http://www.duke.edu/~charvey/Country_risk/ccr/ccr1.htm)
Paper: Expected Returns and Volatility in 135 Countries Authors: Claude B. Erb, First Chicago Investment Management Co., Chicago, IL Campbell R. Harvey, Duke University, Durham, NC 27708 National Bureau of Economic Research, Cambridge, MA Tadas E. Viskanta, First Chicago Investment Management Co., Chicago, IL The authors analyze expected returns and volatility in 135 different markets. They argue that country credit risk is a proxy for the ex-ante risk exposure of, particularly, segmented developing countries. They fit a time-series cross-sectional regression using data on the 47 countries which have equity markets. These regression predict both expected returns and volatility using credit risk as a single explanatory variable. They then use the credit rating data on the other 88 countries to project hurdle rates and volatility into the future. Finally, they calculate for each country, the expected time in years, given the forecasted country risk premium and volatility, for an investor to break even and double the initial investment - with 90% probability. |
| | | Equity Premium Puzzle: Slate
(http://slate.msn.com/?id=2413)
By Ben Stein, Slate Magazine, May 1999. The article, titled "The Equity Premium Puzzle," asks a question that should strike joy in the hearts of stock-market investors. Why, ask noted finance experts Jeremy Siegel of Wharton and Richard Thaler of the University of Chicago, has the long-term rate of return for stocks consistently been so much higher than for fixed-yield assets? Over very long periods of time, the excess return of stocks over bonds yields staggering differences in profit. |
| | | BARRA Home Page
(http://www.barra.com/)
BARRA provides solutions for today’s investment risk professionals using multifactor risk models. |
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2003 McGraw-Hill Higher Education