Results 31 to 40 of about 1,258,553 (299)
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
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
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
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
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
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
doaj
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
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
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