Results 51 to 60 of about 54,368 (195)

CAPM or APT? A Comparison of Two Asset Pricing Models for Malaysia

Malaysian Management Journal, 1999
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, Ahmadu Umaru Sanda, G.S. Gupta   +2 more
doaj  

USED MODELS AND CRITERIA FOR ASSET YIELDS EXPLANATION [PDF]

Revista Română de Statistică, 2012
There were compared two known models (CAPM and TPA resuting the model describing better, in case of Romania , cashings and variation of cashings for ensured guarantees.There were taken into account monthly cashings (1.01.2005-31.12.2010 period) of 60 ...
Florin Dan PIELEANU
doaj  

Comparative Study between Capital Asset Pricing Model and Arbitrage Pricing Theory in Indonesian Capital Market during Period 2008-2012

APMBA (Asia Pacific Management and Business Application), 2015
For decades, there were many models explaining the returns earned emerged in order to fulfil the curiosity had by human. Since then, various studies and empirical findings in many countries’ stock market showedthat the empirical findings of market return
Leo Julianto
doaj   +1 more source

Towards a General Theory of Good Deal Bounds [PDF]

We consider an incomplete market in the form of a multidimensional Markovian factor model, driven by a general marked point process (representing discrete jump events) as well as by a standard multidimensional Wiener process.
Björk, Tomas, Slinko, Irina
core  

Real-world options: smile and residual risk [PDF]

, 1995
We present a theory of option pricing and hedging, designed to address non-perfect arbitrage, market friction and the presence of `fat' tails. An implied volatility `smile' is predicted.
Bouchaud, Jean-Philippe, Iori, Giulia, Sornette, Didier   +2 more
core   +2 more sources

Arbitrage-Free Smoothing of the Implied Volatility Surface [PDF]

The pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in negative transition ...
Matthias R. Fengler
core  

How does financial theory apply to catastrophe-linked derivatives? En empirical test of several princing models [PDF]

, 1999
The paper focuses on the PCS Catastrophe Insurance Option Contracts and empirically tests the degree of agreement between their real quotes and the standard fmancial theory.
Balbás, Alejandro, Longarela, Iñaki R., Lucia, Julio J.   +2 more
core   +1 more source

Calculating Expected Stock Return Using Arbitrage Pricing Theory Model and Analyzing Independent Variables That Affect Stock Expected Return (Analysis Conducted on Kompas100 Stock Issuers For The Period 2020 – 2022)

, 2023
Harold Kevin Alfredo, Harold Kevin Alfredo   +1 more
openalex   +2 more sources

Non-Linear Asset Valuation on Markets with Frictions [PDF]

This paper provides a non-linear pricing rule for the valuation of assets on financial markets with intermediaries.The non-linearity arises from the fact that dealers charge a price for their intermediation between buyer and seller.
De Waegenaere, A.M.B., Kast, R., Lapied, A.   +2 more
core   +1 more source

Free Lunch

, 2010
The concept of absence of opportunities for free lunches is one of the pillars in the economic theory of financial markets. This natural assumption has proved very fruitful and has lead to great mathematical, as well as economical, insights in ...
Kardaras, Constantinos
core   +3 more sources