Results 21 to 30 of about 278,280 (389)
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.
Guorui Bian +2 more
core +16 more sources
The Lost Capital Asset Pricing Model
SSRN Electronic Journal, 2018 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 ...
D. Andrei +2 more
semanticscholar +5 more sources
A Labor Capital Asset Pricing Model [PDF]
SSRN Electronic Journal, 2016 ABSTRACTWe show that labor search frictions are an important determinant of the cross‐section of equity returns. Empirically, we find that firms with low loadings on labor market tightness outperform firms with high loadings by 6% annually. We propose a partial equilibrium labor market model in which heterogeneous firms make dynamic employment ...
L. Kuehn +2 more
semanticscholar +4 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
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
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
Projective Capital Asset Pricing Model
Современные инновации, системы и технологии, 2022 This paper is interested in exploring the capabilities and limitations of investment decision making under uncertainty through the lens of Quantum Probabilities/formalism stand and will be focusing on the Capital Asset Pricing Model as use case.
A. Shabi
doaj +1 more source
Anchoring-Adjusted Capital Asset Pricing Model [PDF]
SSRN Electronic Journal, 2016 Empirical evidence on the behavioral of professional stock analysts suggest that they form qualitatively correct judgments within the same sector, and that they spend most of their research time on sector leaders. This suggest a role for the anchoring and adjustment of Tversky and Kahneman (1974).
Hammad Siddiqi
semanticscholar +5 more sources
Is Human Capital the Sixth Factor? Evidence from US Data [PDF]
ACRN Journal of Finance and Risk Perspectives, 2019 Problem/Relevance: Measuring the risk of an asset and the economic forces driving the price of the risk is a challenging task that preoccupied the asset pricing literature for decades.
Rahul Roy, Santhakumar Shijin
doaj +1 more source
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
doaj +1 more source