An empirical comparison of alternative models of capital asset pricing in Germany
Article Abstract:
Germany is becoming a financial force in global stock markets with the onset of free capital entry in the European Community. Its financial market activity becomes doubly important because of its similarity to the US capital asset market. Researchers applied the Capital Asset Pricing Model (CAPM) and the Consumption CAPM (CCAPM) to determine which best characterizes the German stock market. The risk-return equation hypotheses of each model was used on 249 stocks traded on the Frankfurt Stock Exchange from 1968 to 1988. The results state that the CAPM gives a better capital asset price of German stocks than the CCAPM, but that it also allows the existence of deviations.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1992
User Contributions:
Comment about this article or add new information about this topic:
On the structure of take-over models, and insider-outsider conflicts in negotiated take-overs
Article Abstract:
A model that represents a scenario where various shareholders planning their own takeover strategies can freely decide on the initial and ending stages as well as those stages that come in between is presented. The crucial issue in this type of takeover game is not the conflict between management and shareholders but that occurring between big and small shareholders. Actual negotiations do not carry as much weight in price determination and the type of takeover carried out as the players' bargaining clout.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1995
User Contributions:
Comment about this article or add new information about this topic:
Modelling implied volatility with OLS and panel data models
Article Abstract:
A regression-based implied volatility model is developed that is based on implied volatility to predict future volatility. The implied volatility on time to maturity, the strike price and a dummy is regressed to empirically estimate the time-varying volatility with the use of Ordinary Least Squares regression, Error Components and Dummy Variable models. The implied volatility estimator developed is based on the FTSE 100 index European options.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1996
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: An empirical analysis of qualitative management earnings forecasts. Modelling growth in the annual earnings time series
- Abstracts: Directional stimulus-response compatibility: a test of three alternative principles. Naive and experienced judgments of stimulus-response compatibility: implications for interface design
- Abstracts: One-dimensional V-scope analysis of habituation to simulated cross-country skiing
- Abstracts: The role of financial incentives and social incentives in multi-task settings. The press as a watchdog for accounting fraud
- Abstracts: On the eigen structure of the mean variance efficient set. Understanding and Conducting Event Studies. Organizational structure and intrafirm transfer prices for interdependent products