Results 271 to 280 of about 96,898 (349)
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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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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
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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
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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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Regret-Based Capital Asset Pricing Model
Journal of Banking & Finance, 2018This 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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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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Human-Capital-Adjusted Capital Asset Pricing Model
The Japanese Economic Review, 2002While multi-beta models are found to be good approximations for the cross-sectional behaviour of stock prices, theyfail to explain whythat part of an asset’s risk related to human capital is not captured bythe asset’s market beta. The empirical evidence also provides little justification for the linear relationship between expected returns and human ...
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Fractional-moment Capital Asset Pricing model
Chaos, Solitons & Fractals, 2009zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Li, Hui, Wu, Min, Wang, Xiao-Tian
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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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2018
The Capital Asset Pricing Model (CAPM) is the most well-known equilibrium model in the capital market. The standard form of CAPM provides a clear description of capital market behaviour if its basic assumptions are respected. There are two main problems. The first one is that some of the basic assumptions are very far from conditions of reality.
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The Capital Asset Pricing Model (CAPM) is the most well-known equilibrium model in the capital market. The standard form of CAPM provides a clear description of capital market behaviour if its basic assumptions are respected. There are two main problems. The first one is that some of the basic assumptions are very far from conditions of reality.
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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 ...
openaire +1 more source