Results 11 to 20 of about 107,784 (157)
The Capital Assets Pricing Model & Arbitrage Pricing Theory: Properties and Applications in Jordan
Modern Applied Science, 2018 This paper aimed to test the validity of capital asset pricing model (CAPM) and arbitrage pricing theory (APT) in Jordanian stock Market using three different firms of three main sectors, financial, industrial, and service sector for the period Q1 (2000)
Ibrahim Alshomaly, R. Masa’deh
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European Option Pricing with Transaction Costs in Lévy Jump Environment
Abstract and Applied Analysis, 2014 The European option pricing problem with transaction costs is investigated for a risky asset price model with Lévy jump. By the aid of arbitrage pricing theory and the generalized Itô formula (which includes Poisson jump), the explicit solution to the ...
Jiayin Li, Huisheng Shu, Xiu Kan
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CAPM or APT? A Comparison of Two Asset Pricing Models for Malaysia
Malaysian Management Journal, 2020 This study uses monthly return data on 213 stocks listed on the main board of Kuala Lumpur Stock Exchange, Malaysia for the period September 1988 to June 1997 to compare two frequently cited asset pricing models: the capital asset pricing model, CAPM and
Cung Huck Khoon +2 more
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Research on Amazon's stock price forecasting based on arbitrage pricing model based on big data
Ain Shams Engineering Journal, 2023 The generation of big data is based on the network data generated when people use Internet information systems to interact. Big data can reflect the general laws of specific fields and industries, provide more accurate references for decision makers and ...
Haocheng Du
doaj
An Analysis of the Impact of Selected Factors on the Bond Market
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2018 Exchange rate risk is important factor for the valuation of capital asset on international markets. According to the International Arbitrage Pricing Theory currency movements affect the prices of capital assets and associated risk premiums.
Blanka Francová
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Journal of Economic Bussines and Accounting (COSTING), 2018 CAPM is a balance model that can determine the risks and returns that investors will gain. Under the CAPM, the level of risk and the appropriate rate of return has a positive and linear relationship.
Yetti Afrida Indra
semanticscholar +1 more source
Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints
Journal of Inequalities and Applications, 2016 We propose an efficient method for the construction of an arbitrage-free call option price function from observed call price quotes. The no-arbitrage theory of option pricing places various shape constraints on the option price function.
Arindam Kundu +3 more
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An Empirical Examination of the Arbitrage Pricing Theory: Evidences from the U.S. Stock Market
Journal of Modern Accounting and Auditing, 2019 This study investigates the effects of changes in local macroeconomic risk factors on returns on the banking, chemicals, insurance, telecommunication, and utilities industries in the U.S. market. Using a multifactor pricing model and data from 1998:01 to
Mahdy F. Elhusseiny +2 more
semanticscholar +1 more source
Organum, 2021 In doing investment, an investor certainly avoids risk; thus, the investor needs a model in making predictions to forecast the return of shares. There are two models to predict this: Capital Asset Pricing Capital (CAPM) and Arbitrage Pricing Theory (APT).
Elly Susanti +3 more
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Arbitrage Pricing Theory for Idiosyncratic Variance Factors
, 2018 We develop an Arbitrage Pricing Theory framework extension to study the pricing of squared returns/volatilities. We analyze the interplay between factors at the return level and those in idiosyncratic variances.
É. Renault +2 more
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