Essays about: "Dan-Alexandru Alexandru"

Found 1 essay containing the words Dan-Alexandru Alexandru.

  1. 1. Credit, Liquidity and Emerging Market Risk in the Global Equity Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Dan-Alexandru Alexandru; Pavels Berezovskis; [2013]
    Keywords : Credit Risk; Liquidity Risk; Emerging Market Risk; Asset Pricing Model; Dynamic Orthogonalization;

    Abstract : We use data on 78 national market indices over 9 years and show that the world CAPM fails to explain stock market index excess returns both in time-series and in cross-section. We introduce credit, liquidity and emerging market factors and report that the performance of the pricing model is increased, with liquidity and emerging market contributing most. READ MORE