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A six-factor asset pricing model [PDF]
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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Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models [PDF]
arXiv, 2012 We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty.
. +33 more
core +5 more sources
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
doaj +6 more sources
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
+7 more sources
A Labor Capital Asset Pricing Model [PDF]
SSRN Electronic Journal, 2016 We show that labor search frictions are an important determinant of the cross-section of equity returns. In the data, sorting firms by loadings on labor market tightness, the key statistic of search models, generates a spread in future returns of 6 ...
L. Kuehn +2 more
semanticscholar +4 more sources
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 A flat Securities Market Line is not evidence against the CAPM. Under the Roll (1977) critique, the CAPM is a "lost city of Atlantis," empirically invisible.
D. Andrei +2 more
semanticscholar +4 more sources
A simplified Capital Asset Pricing Model [PDF]
arXiv, 2011 We consider a Black-Scholes market in which a number of stocks and an index are traded. The simplified Capital Asset Pricing Model is the conjunction of the usual Capital Asset Pricing Model, or CAPM, and the statement that the appreciation rate of the index is equal to its squared volatility plus the interest rate.
arxiv +13 more sources
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
openalex +3 more sources