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The disposition effect and the relevance of the reference period : evidence among sophisticated investors
(Elsevier BV, 2019-12)
The Disposition Effect (DE) describes the disposition of selling winners too early and of keeping losers for too long. Conventionally the DE is measure using trades and the average purchase price. Being more rigorous with ...
The application of proxy methods for estimating the cost of equity for unlisted companies : evidence from listed firms
(Springer New York LLC, 2021-03-13)
The Campbell and Vuolteenaho (Am Econ Rev 94(5):1249–1275, 2004) two–beta model decomposes the systematic risk in the sensitivity of cash flow and discount rate change. We employed this model, which we call the Two Beta ...
Positive asymmetric information in volatile environments : the black market dollar and sovereign bond yields in Venezuela
(Elsevier Inc., 2017-10)
Purpose
We test the informational efficiency of Venezuelan USD sovereign bond yields when the black market exchange-rate premium (BMERP) changes.
Design
We use a non-parametric, asymmetric, Granger causality test to ...