Results 151 to 160 of about 1,266,518 (397)

The Effects of Leverage Requirements and Fire Sales on Financial Contagion via Asset Liquidation Strategies in Financial Networks [PDF]

arXiv, 2015
This paper provides a framework for modeling the financial system with multiple illiquid assets when liquidation of illiquid assets is caused by failure to meet a leverage requirement. This extends the network model of Cifuentes, Shin & Ferrucci (2005) which incorporates a single asset with fire sales and capital adequacy ratio.
arxiv  

Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM? [PDF]

This paper focuses on inconsistencies arising from the use of NPV and CAPM for capital budgeting. It shows that (i) CAPM capital budgeting decision-making based on disequilibrium NPV is deductively inferred by the Capital Asset Pricing Model, (ii) the ...
Magni, Carlo Alberto
core   +1 more source

Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index [PDF]

arXiv
The 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  

Equilibrium Asset Pricing with Time-Varying Pessimism [PDF]

capital asset pricing;general equilibrium;uncertainty;financial risk;model misspecification;Knightian uncertainty;first order risk ...
Sbuelz, A., Trojani, F.
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  

An augmented capital asset pricing model using new macroeconomic determinants. [PDF]

Heliyon, 2020
Pham CD, Phuoc LT.
europepmc   +1 more source

Open Markets [PDF]

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  

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

TESTING CAPITAL ASSET PRICING MODEL FOR ROMANIAN CAPITAL MARKET [PDF]

The purpose of this article is the empirical testing of Capital Asset Pricing Model(CAPM) for the Romanian capital market, both for individual assets and for portfolios, using asample of daily data for 24 companies listed on Bucharest Stock Exchange ...
Alina Lucia Trifan
core  

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