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.

Capital assets

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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.

Negotiation, Negotiations, Game theory

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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.

Options (Finance), Stock price forecasting

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