Results 21 to 30 of about 96,898 (349)

The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas

Management Sciences, 2019
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, Marcel Prokopczuk, Chardin Wese Simen   +2 more
semanticscholar   +1 more source

Enhanced capital-asset pricing model for the reconstruction of bipartite financial networks. [PDF]

Physical Review E, 2016
Reconstructing patterns of interconnections from partial information is one of the most important issues in the statistical physics of complex networks. A paramount example is provided by financial networks.
Tiziano Squartini, A. Almog, G. Caldarelli, I. van Lelyveld, D. Garlaschelli, G. Cimini   +5 more
semanticscholar   +1 more source

Role of leverage and liquidity risk in asset pricing: evidence from Indian stock market [PDF]

Vilakshan (XIMB Journal of Management), 2022
Purpose – Asset pricing revolves around the core aspects of risk and expected return. The main objective of the study is to test different asset pricing models for the Indian securities market.
Mehak Jain, Ravi Singla
doaj   +1 more source

Explanation of Capital Asset pricing: Comparison between Models [PDF]

بررسی‌های حسابداری و حسابرسی, 2010
In this paper, we will intend to introduce a new model of capital asset pricing model which is called Revised Capital Asset Pricing Model. First we calculate degree of economic leverage. We investigate five economical variables (Inflation rate, financial
Fraydon Rahnamay Roodposhti, Zahra Amirhosseini   +1 more
doaj  

A six-factor asset pricing model

Borsa Istanbul Review, 2018
The present study introduce the human capital component to the Fama and French five-factor model proposing an equilibrium six-factor asset pricing model.
Rahul Roy, Santhakumar Shijin
doaj   +1 more source

Will and power: Investment diversification and systemic deviation from irrational risk

Cogent Economics & Finance, 2022
Examining China’s stock market, mean variance is used to measure returns and risk and build an irrational risk-asset pricing model. The power of heterogeneous beliefs and risk-valuation deviation are found to affect capital asset pricing, presenting ...
Yaping Liu
doaj   +1 more source

SCAPM (Shariah Compliant Asset Pricing Model); the Formula of Risk and Return Modification in Islamic Finance

Al-tijary, 2018
As an Islamic financial institutions into the capital market for investment, the guidance in the areas of risk and return and security prices under Shari'a framework necessary.
Shofia Mauizotun Hasanah, Ima Maspupah
doaj   +1 more source

MODEL CAPITAL ASSET PRICING MODEL (CAPM) DALAM PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM JAKARTA ISLAMIC INDEX (JII)

Jurnal Matematika UNAND, 2023
Dalam berinvestasi saham, setiap investor ingin mendapatkan return yang tinggi dan risiko yang rendah. Salah satu cara untuk meminimalisir risiko adalah dengan membentuk portofolio optimal yang menguntungkan dari segi return dan risiko.
NOVALISA NASTHASYA, Hazmira Yozza, DODI DEVIANTO   +2 more
doaj   +1 more source

Downside CAPM: The case of South Africa

Journal of Economic and Financial Sciences, 2016
Beta and the capital asset pricing model have traditionally been the preferred measures of risk. However, there is growing literature against the use of the capital asset pricing model to determine the cost of equity in markets, such as emerging markets,
Kwasi Okyere-Boakye, Brandon O’Malley
doaj   +1 more source

The Capital Asset Pricing Model And Fama-French Three Factor Model In An Emerging Market Environment

, 2017
This paper tests the validity and accuracy of the Capital Asset Pricing Model and the Fama-French Three-Factor Model, by predicting the variation in excess portfolio returns on the Johannesburg Stock Exchange.
A. Karp, G. Vuuren
semanticscholar   +1 more source