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Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index [PDF]
arXivThe Capital Asset Pricing Model (CAPM) relates a well-diversified stock portfolio to a benchmark portfolio. We insert size effect in CAPM, capturing the observation that small stocks have higher risk and return than large stocks, on average. Dividing stock index returns by the Volatility Index makes them independent and normal.
arxiv
Competing Institutional Logics in Corporate ESG: Evidence From Developing Countries
Business Strategy and the Environment, EarlyView.ABSTRACT Drawing on competing institutional logics theory, we examine the institutional complexity of corporate sustainability practices in an underexplored context of developing economies. Analyzing 11,757 firm‐year observations from 19 emerging countries across Africa, Asia, Europe, and South America between 2013 and 2022, we document a U‐shaped ...
Wahyu Jatmiko +2 more
wiley +1 more source
The Capital Asset Pricing Model: An Application on the Efficiency of Financing Higher Public Education in Egypt [PDF]
In the Markowitz (1952) mean-variance model as well as the Capital Asset Pricing Model of Sharpe (1964) and Lintner (1965) agents make their investment decisions based solely on the expected return and variance.
Nevine Mokhtar Eid
core
Jurnal Ekonomi & Studi Pembangunan, 2018 This research attempts to analyze risk and stock return of consumer sector and construction sector at Indonesian Stock Exchange. This research used the documentation method to collect the data. Data has been taken from Bloomberg Terminal.
Christian Christian, Rinaldi Rustam
doaj
An augmented capital asset pricing model using new macroeconomic determinants. [PDF]
Heliyon, 2020 Pham CD, Phuoc LT.
europepmc +1 more source
arXiv, 2019 An open market is a subset of an entire equity market composed of a certain fixed number of top capitalization stocks. Though the number of stocks in the open market is fixed, the constituents of the market change over time as each company's rank by its market capitalization fluctuates.
arxiv
Towards Green Growth Capability Development: A Knowledge‐Based Perspective
Business Strategy and the Environment, EarlyView.ABSTRACT Green growth, which balances a firm's growth aspirations with environmental stewardship, is gaining traction in the literature. However, the notion of green growth capability (GGC) as a foundation for firm‐level green growth strategy remains underexplored.
Polina Baranova +2 more
wiley +1 more source
On CAPM and Black-Scholes, differing risk-return strategies [PDF]
In their path-finding 1973 paper Black and Scholes presented two separate derivations of their famous option pricing partial differential equation (pde).
Gunaratne, Gemunu H. +1 more
core +1 more source
Intertemporal Asset Pricing: Preliminary Evidence from an Emerging Economy
The Lahore Journal of Business, 2013 In this paper, we test a simple Merton-style (1973) intertemporal capital asset pricing model (ICAPM) by allowing for time variations in certain key state variables for a sample of firms listed on the Karachi Stock Exchange.
Amna Rehman, Nawazish Mirza
doaj
Is estimating the Capital Asset Pricing Model using monthly and short-horizon data a good choice? [PDF]
Heliyon, 2020 Pham CD, Phuoc LT.
europepmc +1 more source