Results 11 to 20 of about 105,280 (291)
Robust estimation in Capital Asset Pricing Model [PDF]
Journal of Applied Mathematics and Decision Sciences, 2000 Bian and Dickey (1996) developed a robust Bayesian estimator for the vector of regression coefficients using a Cauchy-type g-prior. This estimator is an adaptive weighted average of the least squares estimator and the prior location, and is of great robustness with respect to at-tailed sample distribution.
Wong, W.-K., Bian, G.
openaire +2 more sources
Testing Agency Model in Capital Asset Pricing [PDF]
تحقیقات مالی, 2017 A new area in capital asset pricing is violation of direct investment assumption leading to agency CAPM. The aim of this study is to make a comparative analysis between direct and agency capital asset pricing models.
Hossein Rezaei Dolat Abadi +2 more
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Analysis of Conditional Capital Asset Pricing Model with Time Variant Beta using Standard Capital Asset Pricing Model [PDF]
تحقیقات مالی, 2018 Objective: The aim of the present study is to analyze and test the power of Conditional Capital Asset Pricing Model (CAPM) with Time Variant Beta against Standard Capital Asset Pricing Model to find the better model to explain expected return of stocks ...
Saeed Fallahpour +2 more
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Prediction of Stock Prices Using Capital Asset Pricing Model in Nigerian Stock Market
JDE (Journal of Developing Economies), 2023 The main intention of this study is to use the accounting data using CAPM to determine the stock prices/returns for the Nigerian capital market. In this study, the independent variable is the prediction of the stock prices and the dependent variable is ...
Muhammed Lamin Jabbi +1 more
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The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas
Management Sciences, 2020 When using high-frequency data, the conditional capital asset pricing model (CAPM) can explain asset-pricing anomalies. Using conditional betas based on daily data, the model works reasonably well for a recent sample period.
Fabian Hollstein +2 more
semanticscholar +1 more source
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
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Social Science Research Network, 2020 This paper shows how sustainable investing affects asset returns through exclusionary screening and environmental, social, and governance (ESG) integration. I develop an asset pricing model with partial segmentation and heterogeneous preferences.
O. Zerbib, O. Zerbib
semanticscholar +1 more source
Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen, 2022 The purpose of this study is to examine the moderation effect of the audit committee on the linkages between audit firm size, industry specialization, and the cost of equity capital with firm size and financial leverage as a control variable.
Emayanti Christina Hutabarat +2 more
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Equilibrium prices of the titles: Sharpe and the Securities Valuation Model (CAPM)
Mercados y Negocios, 2023 The Capital Asset Pricing Model (CAPM) is a model used to calculate the profitability that an investor must demand when making an investment in a financial asset, depending on the risk he is assuming.
Juan Gaytán Cortés
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A Capital Asset Pricing Model with Time-Varying Covariances
Journal of Political Economy, 1988 The capital asset pricing model provides a theoretical structure for the pricing of assets with uncertain returns. The premium to induce risk-averse investors to bear risk is proportional to the nondiversifiable risk, which is measured by the covariance ...
Tim Bollerslev, R. Engle, J. Wooldridge
semanticscholar +1 more source