Results 21 to 30 of about 1,211,501 (366)
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
doaj +1 more source
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
doaj +1 more source
The Lost Capital Asset Pricing Model
SSRN Electronic Journal, 2017 Abstract We provide a novel explanation for the empirical failure of the capital asset pricing model (CAPM) despite its widespread practical use. In a rational-expectations economy in which information is dispersed, variation in expected returns over time and across investors creates an informational gap between investors and the ...
Daniel Andrei +3 more
openaire +4 more sources
Capital Asset Pricing Model: Evidence from the Nigerian Stock Exchange [PDF]
, 2017 This paper critically examines the effect of capital asset pricing model (CAPM) for the Nigerian stock exchange using monthly stock values of 20 listed firms for the period of ten years (January 2006- December 2015) covering the periods and the aftermath
A, A. I. (Areghan) +4 more
core +1 more source
Defining an intrinsic stickiness parameter of stock price returns [PDF]
Physica A (2020), 2020 We introduce a non linear pricing model of individual stock returns that defines a stickiness parameter of the returns. The pricing model resembles the capital asset pricing model used in finance but has a non linear component inspired from models of earth quake tectonic plate movements.
arxiv +1 more source
Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments [PDF]
, 2007 Many tests of asset-pricing models address only the pricing predictions, but these pricing predictions rest on portfolio choice predictions that seem obviously wrong.
Bossaerts, Peter +2 more
core +2 more sources
Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences [PDF]
, 2020 Although the CML (Capital Market Line), the Intertemporal-CAPM, the CAPM/SML (Security Market Line) and the Intertemporal Arbitrage Pricing Theory (IAPT) are widely used in portfolio management, valuation and capital markets financing; these theories are inaccurate and can adversely affect risk management and portfolio management processes.
arxiv +1 more source
Stock Return Prediction based on a Functional Capital Asset Pricing Model [PDF]
arXivThe capital asset pricing model (CAPM) is readily used to capture a linear relationship between the daily returns of an asset and a market index. We extend this model to an intraday high-frequency setting by proposing a functional CAPM estimation approach.
Ufuk Beyaztas +3 more
arxiv +2 more sources
A Robust Capital Asset Pricing Model [PDF]
SSRN Electronic Journal, 2013 We build a market equilibrium theory of asset prices under Knightian uncertainty. Adopting the mean-variance decision making model of Maccheroni, Marinacci, and Ruffino (2013a), we derive explicit demands for assets and formulate a robust version of the two-fund separation theorem.
openaire +2 more sources
An Empirical Study of Capital Asset Pricing Model based on Chinese A-share Trading Data [PDF]
arXiv, 2023 This paper presents an empirical analysis of the capital asset pricing model using trading data for the Chinese A-share market from 2000 to 2019. Firstly, the standard CAPM is tested using a Fama-MacBetch regression and although the results successfully test the three core hypotheses, the resulting beta risk does not have a significant impact on ...
arxiv