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The Capital Asset Pricing Model [PDF]
Encyclopedia, 2021 The capital asset pricing model (CAPM) is an influential paradigm in financial risk management. It formalizes mean-variance optimization of a risky portfolio given the presence of a risk-free investment such as short-term government bonds.
James Ming Chen
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Analysis Investor Index Indonesia with Capital Asset Pricing Model (CAPM)
Aptisi Transactions on Technopreneurship (ATT), 2022 This study aimed to compare composition of the optimal portfolio of stocks, the proportion of funds in each of these stocks and calculate risk and return portfolio from Investor33 (INV33) Index and Jakarta Islamic Index (JII) in research period January ...
Erry Sigit Pramono +4 more
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The Lost Capital Asset Pricing Model
SSRN Electronic Journal, 2017 Abstract We provide a novel explanation for the empirical failure of the capital asset pricing model (CAPM) despite its widespread practical use. In a rational-expectations economy in which information is dispersed, variation in expected returns over time and across investors creates an informational gap between investors and the ...
Andrei, D, Cujean, J, Wilson, M
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Anchoring Adjusted Capital Asset Pricing Model [PDF]
SSRN Electronic Journal, 2015 Empirical evidence on the behavioral of professional stock analysts suggest that they form qualitatively correct judgments within the same sector, and that they spend most of their research time on sector leaders. This suggest a role for the anchoring and adjustment of Tversky and Kahneman (1974).
Hammad Siddiqi
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A six-factor asset pricing model
Borsa Istanbul Review, 2018 The present study introduce the human capital component to the Fama and French five-factor model proposing an equilibrium six-factor asset pricing model.
Rahul Roy, Santhakumar Shijin
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Enhanced capital-asset pricing model for the reconstruction of bipartite financial networks [PDF]
Physical Review E, 2017 Reconstructing patterns of interconnections from partial information is one of the most important issues in the statistical physics of complex networks. A paramount example is provided by financial networks.
Tiziano Squartini +5 more
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Entropy-based financial asset pricing. [PDF]
PLoS ONE, 2014 We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing model.
Mihály Ormos, Dávid Zibriczky
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Multifactor capital asset pricing models [PDF]
, 2014 In this dissertation I deal with three aspects of asset pricing. First, I analyze international bank stock returns and show the existence of a bank specific industry effect. Second, I explain parts of the size and the value factor of the Fama-French model by default and disaster risk.
Niels Jakob Warmuth
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Cogent Economics & Finance, 2023 This study expands previous research by adding intellectual capital to the capital asset pricing model and deepening the measurement of intellectual capital using more comprehensive proxies.
Astrid Maharani, I Made Narsa
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Review of Finance, 2022 This paper shows how sustainable investing—through the joint practice of exclusionary screening and environmental, social, and governance (ESG) integration—affects asset returns.
O. Zerbib
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