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Regret-based capital asset pricing model
Journal of Banking & Finance, 2020This study examines the influence of regret aversion on asset pricing by proposing a regret-based capital asset pricing model in which individuals maximize the expected returns from chosen portfolios of assets while minimizing anticipated regrets.
J. Qin
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The Capital Asset Pricing Model
2015The CAPM (capital asset pricing model) has a variety of uses. It provides a theoretical justification for the widespread practice of passive investing by holding index funds. The CAPM can provide estimates of expected rates of return on individual investments and can establish \fair" rates of return on invested capital in regulated firms or in firms ...
David Ruppert, David S. Matteson
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Capital Asset Pricing Model & Adjusted Capital Asset Pricing Model
SSRN Electronic Journal, 2010Capital Asset Pricing Model, as one of the basic theories in finance and investment area, developed a model for estimation of expected rate of return and equity cost of capital. This model has many applications in the field of finance. Investors consider to various factors to choose and buy stocks. One of the most important factors is liquidity.
Ahmad Khalife Soltani +2 more
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2021
This chapter distinguishes between two main branches of asset pricing: (1) general equilibrium models and (2) multifactor models. We begin by reviewing the pathbreaking work by Sharpe (1964) and others, who utilized equilibrium pricing conditions in the mean-variance return world of Markowitz (1959) to derive the theoretical CAPM. Its market model form
James W. Kolari +2 more
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This chapter distinguishes between two main branches of asset pricing: (1) general equilibrium models and (2) multifactor models. We begin by reviewing the pathbreaking work by Sharpe (1964) and others, who utilized equilibrium pricing conditions in the mean-variance return world of Markowitz (1959) to derive the theoretical CAPM. Its market model form
James W. Kolari +2 more
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SSRN Electronic Journal, 2004
There is a great deal of debate in finance literature as to whether Capital Asset Pricing Model is empirically valid, and in particular whether beta can be properly measured. This paper proves that from a theoretical perspective CAPM leads to mathematical contradictions. In other words, CAPM is theoretically invalid, and beta is dead!
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There is a great deal of debate in finance literature as to whether Capital Asset Pricing Model is empirically valid, and in particular whether beta can be properly measured. This paper proves that from a theoretical perspective CAPM leads to mathematical contradictions. In other words, CAPM is theoretically invalid, and beta is dead!
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A Review of Capital Asset Pricing Models
SSRN Electronic Journal, 2004PurposeThe main aspect of security analysis is its valuation through a relationship between the security return and the associated risk. The purpose of this paper is to review the traditional capital asset pricing model (CAPM) and its variants adopted in empirical investigations of asset pricing.Design/methodology/approachPricing models are discussed ...
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Existence Theorems in the Capital Asset Pricing Model
Econometrica, 1991In the capital asset pricing model (CAPM) a finite number of traders exchange assets, starting with an initial portfolio. Preferences among portfolios of assets are given by a utility function in terms of mean and variance of the returns of the portfolio and characterized by the risk aversion function corresponding to the utility.
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1987
Two general approaches to the problem of valuing assets under uncertainty may be distinguished. The first approach relies on arbitrage arguments of one kind or another, while under the second approach equilibrium asset prices are obtained by equating endogenously determined asset demands to asset supplies, which are typically taken as exogenous ...
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Two general approaches to the problem of valuing assets under uncertainty may be distinguished. The first approach relies on arbitrage arguments of one kind or another, while under the second approach equilibrium asset prices are obtained by equating endogenously determined asset demands to asset supplies, which are typically taken as exogenous ...
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The Capital Asset Pricing Model
2018The Capital Asset Pricing Model values risky assets. This chapter explores its foundations in diversification and its limits, the calculation of the sensitivity to movements of the market, i.e., beta, combines them into the CAPM, which relates beta as a measure of risk to expected returns, and reconciles it with the continued usage of price-to-earnings
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