Sökning: "Tiran Zhao"

Hittade 1 uppsats innehållade orden Tiran Zhao.

  1. 1. Speculative Betas in Europe - Based on Evidence from Western European Stocks and Bonds

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Bence Földi; Tiran Zhao; [2018]
    Nyckelord :Asset pricing; Heterogeneous beliefs; Disagreement; Speculative betas; Security Market Line;

    Sammanfattning : We find and present compelling evidence to reject the classic one-regime CAPM Security Market Line based on data from developed European equity markets which we proxy by taking the original 12 members of the euro area combined with the UK. We construct a bottom-up measure for aggregate disagreement which we prove to negatively influence the curvature of the Security Market Line. LÄS MER