Results 121 to 130 of about 196,700 (250)
Stock market returns, volatility, and future output [PDF]
In this article, Hui Guo shows that, if stock volatility follows an AR(1) process, stock market returns relate positively to past volatility but relate negatively to contemporaneous volatility in Merton’s (1973) Intertemporal Capital Asset Pricing Model.
Hui Guo
core
O modelo de avaliação de ativos (capital asset pricing model): aplicações [PDF]
, 1980 José C. G. Alcântara
openalex +1 more source
Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns [PDF]
This paper presents an empirical evaluation of recently proposed asset pricing models which extend the standard preference specification by a reference level of consumption.
Grammig, Joachim G., Schrimpf, Andreas
core
A Currency Index Global Capital Asset Pricing Model
, 2001 Thomas J. O’Brien, Walter Dolde
openalex +1 more source
O modelo de formação de preços de ativos: (capital asset pricing model) teoria e evidência [PDF]
, 1979 Fernando Bins Luce +1 more
openalex +1 more source
Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing [PDF]
This paper provides two alternative estimation and testing procedures of a representative-agent model of asset pricing which relies on a particular parametrization of non-expected-utility preferences.
Alberto Giovannini, Philippe Jorion
core
Trans-log functional form for the capital asset pricing model : theory and implications
, 1985 Cheng F. Lee
openalex +1 more source
The Capital Asset Pricing Model
Bulletin - Prague College Centre for Research and Interdisciplinary Studies, 2012 openaire +2 more sources
On the validity of the Capital Asset Pricing Model
Lahore Journal of EconomicsOne of the most important developments of modern finance is the Capital Asset Pricing Model (CAPM) of Sharpe, Lintner and Mossin. Although the model has been the subject of several academic papers, it is still exposed to theoretical and empirical ...
Hassan Naqvi
doaj