Essays about: "Dan-Alexandru Alexandru"
Found 1 essay containing the words Dan-Alexandru Alexandru.
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1. Credit, Liquidity and Emerging Market Risk in the Global Equity Market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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
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