Results 141 to 150 of about 1,266,518 (397)

On Estimating an Asset's Implicit Beta [PDF]

Siegel (1995) has developed a technique with which the systematic risk of a security (beta) can be estimated without recourse to historical capital market data. Instead, beta is estimated implicitly from the current market prices of exchange options that
Andreas Stephan, Sven Husmann
core  

Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model [PDF]

, 2001
Andrew W. Lo, Jiang Wang
openalex   +1 more source

A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes [PDF]

arXiv, 2007
In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated by the market. Here, we show that, even for arbitrary large economies when the distribution of the capitalization of firms is sufficiently heavy-tailed as is the case of real ...
arxiv  

TIME VARIATION AND ASYMMETRY IN THE WORLD PRICE OF COVARIANCE RISK: THE IMPLICATIONS FOR INTERNATIONAL DIVERSIFICATION [PDF]

The International Capital Asset Pricing Model measures country risk in terms of the conditional covariance of national returns with the world return. Using impulse responses from a multivariate nonlinear model we provide evidence of time variation and ...
Kalvinder Shields, Nilss Olekalns, Olan T. Henry   +2 more
core  

Studi Pembandingan Model Penilaian Aset: Model Tiga Faktor Fama dan French dengan Capital Asset Pricing Model pada Bursa Efek Indonesia [PDF]

, 2011
This research is replicated from Homsud, et al’s research (2009) and has modified by researcher. This research concern with the issue of Fama and French Three Factor Model validity to predict stock return in Indonesian Stock Exchange better than Capital ...
ARDIYANTO, Moh. Didik, RIZKIANA, Sindi Meida   +1 more
core  

An Asymmetric Capital Asset Pricing Model [PDF]

arXiv
Providing a measure of market risk is an important issue for investors and financial institutions. However, the existing models for this purpose are per definition symmetric. The current paper introduces an asymmetric capital asset pricing model for measurement of the market risk.
arxiv  

A probability-free and continuous-time explanation of the equity premium and CAPM [PDF]

arXiv, 2016
This paper gives yet another definition of game-theoretic probability in the context of continuous-time idealized financial markets. Without making any probabilistic assumptions (but assuming positive and continuous price paths), we obtain a simple expression for the equity premium and derive a version of the capital asset pricing model.
arxiv  

Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange [PDF]

This study examines the Capital Asset Pricing Model of Sharpe (1964) Lintner (1965) and Black (1972) as the benchmark model in the asset pricing theory.
Attiya Y. Javid, Eatzaz Ahmad
core  

CAPM (Capital Asset Pricing Model) with Stable Distribution

Jurnal Ilmu Dasar, 2010
In the classical finance theory, the CAPM models are developed using the Gaussian framework, that is, weassume the vector of returns can be modeled using the multivariate normal distribution.
Dedi Rosadi
doaj  

The Evolution of Portfolio Rules and the Capital Asset Pricing Model [PDF]

, 2002
Emanuela Sciubba
openalex   +1 more source