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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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The Capital Asset Pricing Model [PDF]
Journal of Economic Perspectives, 2004 The CAPM (capital asset pricing model) has a variety of uses. It provides a theoretical justification for the widespread practice of passive investing by holding index funds. The CAPM can provide estimates of expected rates of return on individual investments and can establish \fair" rates of return on invested capital in regulated firms or in firms ...
André F. Perold
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A Labor Capital Asset Pricing Model [PDF]
SSRN Electronic Journal, 2016 ABSTRACTWe show that labor search frictions are an important determinant of the cross‐section of equity returns. Empirically, we find that firms with low loadings on labor market tightness outperform firms with high loadings by 6% annually. We propose a partial equilibrium labor market model in which heterogeneous firms make dynamic employment ...
L. Kuehn +2 more
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Improving the Asset Pricing Ability of the Consumption-Capital Asset Pricing Model? [PDF]
SSRN Electronic Journal, 2006 This paper compares the asset pricing ability of the traditional consumption-based capital asset pricing model to models from two strands of literature attempting to improve on the poor empirical results of the C-CAPM. One strand is based on the intertemporal asset pricing model of Campbell (1993, 1996) and Campbell and Vuolteenaho (2004).
Anne-Sofie Reng Rasmussen
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The Lost Capital Asset Pricing Model
SSRN Electronic Journal, 2018 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 ...
D. Andrei +2 more
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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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Anchoring-Adjusted Capital Asset Pricing Model [PDF]
SSRN Electronic Journal, 2016 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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Creator of the capital asset pricing model [PDF]
Bankarstvo, 2014 Harry M. Markowite, Merton H. Miller and William F. Sharpe were awarded the Nobel Prize in Economic Sciences in 1990, for their pioneering work in the theory of financial economics.
Pantelić Svetlana
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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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Capital Gains and the Capital Asset Pricing Model [PDF]
SSRN Electronic Journal, 2008 This paper shows that, in the presence of differential taxation of ordinary income and capital gains, use of the Officer (1994) version of the Capital Asset Pricing Model can result in significant misestimation of the cost of equity capital. In particular, with a high dividend yield, the cost of equity may be underestimated by four percentage points ...
Martin Lally, Tony van Zijl
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