Is estimating the Capital Asset Pricing Model using monthly and short-horizon data a good choice? [PDF]
Heliyon, 2020 Pham CD, Phuoc LT.
europepmc +1 more source
Pricing model performance and the two-pass cross-sectional regression methodology [PDF]
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is
Cesare Robotti, Jay Shanken, Raymond Kan
core
Agribusiness, EarlyView.ABSTRACT Vending is an important sector in the daily lives of many people, and coffee is the most frequently consumed product in the European market. Like many other sectors, vending is responding to the challenge of sustainable development by taking various actions, such as offering increasingly ecologically sound coffee while maintaining/improving ...
Alberto Bertossi +2 more
wiley +1 more source
Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
, 1987 Sanford J. Grossman, Guy Laroque
openalex +1 more source
Application of Capital Asset Pricing Model Based on BP Neural Network in E-commerce Financing.
Comput Intell Neurosci, 2022 Geng G, Guan Z.
europepmc +1 more source
Two-Dimensional Risk-Neutral Valuation Relationships for the Pricing of Options. [PDF]
The Black-Scholes model is based on a one-parameter pricing kernel with constant elasticity. Theoretical and empirical results suggest declining elasticity and, hence, a pricing kernel with at least two parameters.
Günter Franke +2 more
core
Does Contract Farming Improve Diet Quality? The Case of Senegalese Smallholders
Agribusiness, EarlyView.ABSTRACT The institution of contract farming has gained prominence in most developing countries owing to its numerous benefits. While several studies have already highlighted the welfare benefits of contract farming, very few have investigated the effects on diet quality, despite poor quality diets being a serious challenge in most parts of the ...
Francis E. Ndip, Takeshi Sakurai
wiley +1 more source
An Empirical Test of the Validity of the Capital Asset Pricing Model on the Zimbabwe Stock Exchange
International Journal of Economics and Financial Issues, 2016 We test the empirical validity of the Capital Asset Pricing Model (CAPM) on the Zimbabwe Stock Exchange (ZSE) using cross-sectional stock returns on 31 stocks listed on the ZSE between March 2009 and February 2014.
Melody Nyangara +3 more
doaj
The Asset Price Approach to the Analysis of Capital Income Taxation
, 1984 Lawrence H. Summers
openalex +1 more source
Econometric Evaluation of Asset Pricing Models [PDF]
, 1995 Lars Peter Hansen +2 more
openalex +1 more source