Results 71 to 80 of about 15,441 (215)
Testing asset pricing models on the Pakistan Stock Exchange
Business Review, 2018 This study investigates the performance of CAPM, three-factor and five-factor asset pricing models on the Pakistan Stock Exchange using monthly data of 896 companies from November 2000 to December 2016.
Kiran Lohano , Muhammad Kashif
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Anchoring Adjusted Capital Asset Pricing Model [PDF]
SSRN Electronic Journal, 2015 What happens when the capital asset pricing model is adjusted for the anchoring and adjustment heuristic of Tversky and Kahneman [1974]? The surprising finding is that adjusting the capital asset pricing model for anchoring provides a plausible unified framework for understanding almost all of the key asset pricing anomalies.
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Asset pricing with adaptive learning [PDF]
We study the extent to which self-referential adaptive learning can explain stylized asset pricing facts in a general equilibrium framework. In particular, we analyze the effects of recursive least squares and constant gain algorithms in a production ...
Eva Carceles Poveda +1 more
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Investor sentiment and its role in asset pricing: An empirical study for India
IIMB Management Review, 2019 In this paper, we experiment with the construction of alternative investor sentiment indices. Further, we evaluate the role of the sentiment-based factor in asset pricing to explain prominent equity market anomalies such as size, value, and price ...
Piyush Pandey, Sanjay Sehgal
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Asset Pricing Under The Quadratic Class [PDF]
We identify and characterize a class of term structure models where bond yields are quadratic functions of the state vector. We label this class the quadratic class and aim to lay a solid theoretical foundation for its future empirical application.
Markus Leippold, Liuren Wu
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LOCK-IN OF EXTRAPOLATIVE EXPECTATIONS IN AN ASSET PRICING MODEL [PDF]
Macroeconomic Dynamics, 2004 This paper examines an agent's choice of forecast method within a standard asset pricing model. A representative agent may choose: (1) a fundamentals-based forecast that employs knowledge of the dividend process, (2) a constant forecast that is based on a simple long-run average, or (3) a time-varying forecast that extrapolates from the last ...
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Al-tijary, 2018 As an Islamic financial institutions into the capital market for investment, the guidance in the areas of risk and return and security prices under Shari'a framework necessary.
Shofia Mauizotun Hasanah, Ima Maspupah
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The exchange rate and purchasing power parity in arbitrage-free models of asset pricing. [PDF]
Exchange; Purchasing; Purchasing power; Power; Models; Model; Asset pricing; Pricing;
Sercu, Piet
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Stock return, risk and asset pricing [PDF]
, 2008 This thesis attempts to address a number of issues that have been identified in the asset pricing literature as essential for shaping stock returns. These issues include the need to uncover the link between the macroeconomic variables and stock returns ...
Ghunmi, Diana Nawwash Abed El-Hafeth Abu +2 more
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Rational Pessimism, Rational Exuberance, and Asset Pricing Models [PDF]
The paper estimates and examines the empirical plausibiltiy of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock market.
Ravi Bansal +2 more
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