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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 +2 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
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
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 +1 more
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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
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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
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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 +2 more
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A simplified Capital Asset Pricing Model [PDF]
, 2011 We consider a Black-Scholes market in which a number of stocks and an index are traded. The simplified Capital Asset Pricing Model is the conjunction of the usual Capital Asset Pricing Model, or CAPM, and the statement that the appreciation rate of the index is equal to its squared volatility plus the interest rate.
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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
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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