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Article
Publication date: 24 September 2020

Mehmet Emin Yildiz, Yaman Omer Erzurumlu and Bora Kurtulus

The beta coefficient used for the cost of equity calculation is at the heart of the valuation process. This study conducts comparative analyses of the classical capital asset…

Abstract

Purpose

The beta coefficient used for the cost of equity calculation is at the heart of the valuation process. This study conducts comparative analyses of the classical capital asset pricing model (CAPM) and downside CAPM risk parameters to gain further insight into which risk parameter leads to better performing risk measures at explaining stock returns.

Design/methodology/approach

The study conducts a comparative analysis of 16 risk measures at explaining the stock returns of 4531 companies of 20 developed and 25 emerging market index for 2000–2018. The analyses are conducted using both the global and local indices and both USD and local currency returns. Calculated risk measures are analyzed in a panel data setup using a univariate model. Results are investigated in country-specific and model-specific subsets.

Findings

The results show that (1) downside betas are better than CAPM betas at explaining the stock returns, (2) both risk measure groups perform better for emerging markets, (3) global downside beta model performs better than global beta model, implying the existence of the contagion effect, (4) high significance levels of total risk and unsystematic risk measures further support the shortfall of CAPM betas and (5) higher correlation of markets after negative shocks such as pandemics puts global CAPM based downside beta to a more reliable position.

Research limitations/implications

The data are limited to the index securities as beta could be time varying.

Practical implications

Results overall provide insight into the cost of equity calculation and emerging market assets valuation.

Originality/value

The framework and methodology enable us to compare and contrast CAPM and downside-CAPM risk measures at the firm level, at the global/local level and in terms of the level of market development.

Details

International Journal of Emerging Markets, vol. 17 no. 1
Type: Research Article
ISSN: 1746-8809

Keywords

Book part
Publication date: 22 January 2024

Hande Akyurt Kurnaz and Ayşen Acun Köksalanlar

In this chapter, we plan to describe the effects of war on tourism. Battlefield tourism was discussed within the effects of War on tourism. It is aimed to analyse the wars in…

Abstract

In this chapter, we plan to describe the effects of war on tourism. Battlefield tourism was discussed within the effects of War on tourism. It is aimed to analyse the wars in world history and the consequences of these wars. War is a modern security problem with long-term severe consequences engraved on society. Wars, on any ground, always impact people's memories and activities (Smith, 1998). Wars leave their mark on society and are among the never forgotten events in history (Aliağaoğlu, 2008). Some of these events end with victory, while others end sadly. Wars affect tourism both positively and negatively. This chapter is essential to identify the contribution of tourism in battlefields, a different type of tourism, to the countries. In the context of battlefield tourism, this chapter will present a framework. It attempts to explain battlefield tourism through case studies. Document review and case study methods will be used. It is assumed that this chapter will bring the battlefields to tourism.

Details

Future Tourism Trends Volume 1
Type: Book
ISBN: 978-1-83753-245-2

Keywords

Content available
Book part
Publication date: 28 May 2020

Abstract

Details

Global Street Economy and Micro Entrepreneurship
Type: Book
ISBN: 978-1-83909-503-0

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