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The Capital Asset Pricing Model [PDF]
, 2005 One of the problems with implementing portfolio theory is that a huge number of covariances have to be calculated when assessing the risk to a portfolio. While the Markowitz model provides a relatively straightforward solution for the two-asset case, it becomes much more complicated to solve for the efficiency frontier when there are more than two ...
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A Review of Capital Asset Pricing Models [PDF]
SSRN Electronic Journal, 2004 PurposeThe 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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The evolution of capital asset pricing models
Review of Quantitative Finance and Accounting, 2013The capital asset pricing models (CAPM) has been the benchmark of asset pricing models and has been used to calculate asset returns and the cost of capital for more than four decades. Many researchers have tried to relax the original assumptions and generalize the static CAPM.
Shih, Yicheng +3 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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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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A New Look at the Capital Asset Pricing Model
The Journal of Finance, 1973IN A RECENT PAPER in the American Economic Review [6], we presented empirical evidence that the relationship between rate of return and risk implied by the market-line theory is unable to explain differential returns in the stock market. As a result, the risk-adjusted measures of portfolio performance based on this theory yield seriously biased ...
Blume, Marshall E, Friend, Irwin
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The Capital Asset Pricing Model and the Investment Horizon
The Review of Economics and Statistics, 1977TN following the mean-variance analysis developed by Markowitz (1952) and Tobin (1958), Sharpe (1964), Lintner (1965a, b) and Treynor (1961) have developed the theory for determination of asset prices under conditions of uncertainty. The equilibrium asset pricing model, and its implication for measuring ex post performance of individual securities ...
Levhari, David, Levy, Haim
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The capital asset pricing model
1983We saw, towards the end of Chapter 7, that finding an optimal portfolio using portfolio theory requires a computer program and a rather large variance—covariance matrix. This has hindered general acceptance of portfolio theory, despite its usefulness.
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Human-Capital-Adjusted Capital Asset Pricing Model [PDF]
The Japanese Economic Review, 2002 While 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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An Intertemporal Capital Asset Pricing Model
Econometrica, 1973An intertemporal model for the capital market is deduced from the portfolio selection behavior by an arbitrary number of investors who aot so as to maximize the expected utility of lifetime consumption and who can trade continuously in time. Explicit demand functions for assets are derived, and it is shown that, unlike the one-period model, current ...
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