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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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Retracted: Application of Capital Asset Pricing Model Based on BP Neural Network in E-commerce Financing. [PDF]
Comput Intell Neurosci, 2023 Intelligence And Neuroscience C.
europepmc +3 more sources
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
semanticscholar +1 more source
Projective Capital Asset Pricing Model
Современные инновации, системы и технологии, 2022 This paper is interested in exploring the capabilities and limitations of investment decision making under uncertainty through the lens of Quantum Probabilities/formalism stand and will be focusing on the Capital Asset Pricing Model as use case.
A. Shabi
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Is Human Capital the Sixth Factor? Evidence from US Data [PDF]
ACRN Journal of Finance and Risk Perspectives, 2019 Problem/Relevance: Measuring the risk of an asset and the economic forces driving the price of the risk is a challenging task that preoccupied the asset pricing literature for decades.
Rahul Roy, Santhakumar Shijin
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