Results 11 to 20 of about 1,258,553 (299)
Hedging and Leveraging: Principal Portfolios of the Capital Asset Pricing Model [PDF]
arXiv, 2013 The principal portfolios of the standard Capital Asset Pricing Model (CAPM) are analyzed and found to have remarkable hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky securities into an equivalent but uncorrelated set when short sales are allowed.
M. Hossein Partovi
arxiv +3 more sources
Anchoring-Adjusted Capital Asset Pricing Model [PDF]
SSRN Electronic Journal, 2016 What happens when the capital asset pricing model is adjusted for the anchoring and adjustment heuristic of Tversky and Kahneman [1974]? The surprising finding is that adjusting the capital asset pricing model for anchoring provides a plausible unified ...
Hammad Siddiqi
semanticscholar +5 more sources
Creator of the capital asset pricing model [PDF]
Bankarstvo, 2014 Harry M. Markowite, Merton H. Miller and William F. Sharpe were awarded the Nobel Prize in Economic Sciences in 1990, for their pioneering work in the theory of financial economics.
Pantelić Svetlana
doaj +3 more sources
Capital Gains and the Capital Asset Pricing Model [PDF]
SSRN Electronic Journal, 2008 This paper shows that, in the presence of differential taxation of ordinary income and capital gains, use of the Officer (1994) version of the Capital Asset Pricing Model can result in significant misestimation of the cost of equity capital. In particular, with a high dividend yield, the cost of equity may be underestimated by four percentage points ...
Martin Lally, Tony van Zijl
openalex +3 more sources
Verifying Capital Asset Pricing Model in Greek Capital Market
, 2015 This article deals with capital asset valuation on Greek capital market using Capital Asset Pricing Model (CAPM). We examined 32 companies listed on the Athens Stock Exchange on a weekly basis for a period from June 2009 to December 2013 under this model.
Mansoor Maitah +3 more
semanticscholar +3 more sources
ROBUST ESTIMATION AND FORECASTING OF THE CAPITAL ASSET PRICING MODEL [PDF]
Annals of Financial Economics, 2010 In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate that the MML estimator is more appropriate for estimating the parameters of the Capital Asset Pricing ...
Guorui Bian +4 more
core +17 more sources
The Consumption-Based Capital Asset Pricing Model [PDF]
Econometrica, 1989 This paper provides conditions on the primitives of a continuous-time economy under which there exist equilibria obeying the consumption-based capital asset pricing model.
D. Duffie, W. Zame
semanticscholar +3 more sources
Retracted: Application of Capital Asset Pricing Model Based on BP Neural Network in E-commerce Financing. [PDF]
Comput Intell Neurosci, 2023 Intelligence And Neuroscience C.
europepmc +3 more sources
Cogent Economics & Finance, 2023 This study expands previous research by adding intellectual capital to the capital asset pricing model and deepening the measurement of intellectual capital using more comprehensive proxies.
Astrid Maharani, I Made Narsa
doaj +1 more source
Review of Finance, 2022 This paper shows how sustainable investing—through the joint practice of exclusionary screening and environmental, social, and governance (ESG) integration—affects asset returns.
O. Zerbib
semanticscholar +1 more source