Can the Consumption-Free Nonexpected Utility Model Solve the Risk PremiumPuzzle? An Empirical Study of the Japanese Stock Market [PDF]
This paper investigates whether the consumption-free two-beta intertemporal capital asset-pricing model developed by Campbell and Vuolteenaho (2004) is able to solve the risk premium puzzle in the Japanese stock market over the period 1984−@2002.
Myong-Il Kang
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From Ecosystem Threats to Balance Sheets: Biodiversity Risks Exposure and Corporate Cash Policies
Business Strategy and the Environment, EarlyView.ABSTRACT This study investigates how firms strategically respond to biodiversity risk by examining their cash holding decisions. Using firm‐level data from China, we find that firm‐level biodiversity risk exposure significantly increases corporate cash holdings.
Jing Hao +4 more
wiley +1 more source
Corrigendum to "An augmented capital asset pricing model using new macroeconomic determinants" [Heliyon 6 (10) October 2020 e05185]. [PDF]
Heliyon, 2020 Pham CD, Phuoc LT.
europepmc +1 more source
Business Strategy and the Environment, EarlyView.ABSTRACT This study examines the economic consequences of Digital Technologies Disclosure (DTD), focusing on its impact on the cost of capital. The increasing significance of digital transformation in shaping corporate strategies and market perceptions motivates the study.
Hussein Mohsen Saber Ahmed +2 more
wiley +1 more source
Errors in recorded security prices and the turn-of-the year effect [PDF]
A study that concludes recorded security price errors are potential sources of misspecification in joint tests of the capital asset pricing model and market efficiency.Stock ...
James B. Thomson
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Penentuan Saham Efisien dan Tidak Efisien dengan Metode Capital Asset Price Model (CAPM)
, 2020 I Wayan Sunarya
openalex +2 more sources
Greening Under Pressure: Climate Change Exposure and Eco‐Innovation
Business Strategy and the Environment, EarlyView.ABSTRACT This study explores the impact of climate change exposure on corporate eco‐innovation. Recognizing the urgent need to address climate change, we examine how firms directly respond to climate risks through eco‐innovation. Our findings indicate that climate change exposure is positively associated with corporate eco‐innovation.
Pietro Perotti +2 more
wiley +1 more source
Application of Capital Asset Pricing Model Based on BP Neural Network in E-commerce Financing.
Comput Intell Neurosci, 2022 Geng G, Guan Z.
europepmc +1 more source
An investigation of a portfolio-loss under the CAPM [PDF]
We consider a portfolio built according to the Capital Market Line of the Capital-Asset-Pricing Model. The universe of asset classes include marketable shares and bonds only.
U. Spreitzer, V. Reznik
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Discounting rules for risky assets [PDF]
, 1993 This paper develops a new rule for calculating the discount rate to value risky projects. The rule works under any linear asset pricing model and any equilibrium theory of debt and taxes.
Myers, Stewart C., Ruback, Richard S.
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