Imperfect capital markets and nominal wage rigidities [PDF]
Should monetary policy respond to asset prices? This paper analyzes a general equilibrium model with imperfect capital markets and rigid nominal wages.
Charles T. Carlstrom, Timothy S. Fuerst
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Equilibrium Asset Pricing with Time-Varying Pessimism [PDF]
capital asset pricing;general equilibrium;uncertainty;financial risk;model misspecification;Knightian uncertainty;first order risk ...
Sbuelz, A., Trojani, F.
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An Analysis of the Impact of Selected Factors on the Bond Market
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2018 Exchange rate risk is important factor for the valuation of capital asset on international markets. According to the International Arbitrage Pricing Theory currency movements affect the prices of capital assets and associated risk premiums.
Blanka Francová
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On CAPM and Black-Scholes, differing risk-return strategies [PDF]
In their path-finding 1973 paper Black and Scholes presented two separate derivations of their famous option pricing partial differential equation (pde).
Gunaratne, Gemunu H. +1 more
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Rating of Investments Funds Using the Capital Asset Pricing Model: Experience of Ukraine [PDF]
, 2019 Zoriana Matsuk +3 more
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Beauty and the bulls: the investment characteristics of paintings [PDF]
An examination of the investment and consumption characteristics of the paintings market between 1971 and 1984, using the capital asset pricing model.Investments ; Capital assets pricing ...
Michael F. Bryan
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PENGGUNAAN METODE CAPITAL ASSET PRICING MODEL DALAM UPAYA MENENTUKAN PILIHAN BERINVESTASI PADA SAHAM YANG EFISIEN (Studi Pada Saham Perusahaan Makanan Dan Minuman Yang Terdaftar Di Bursa Efek Indonesia (BEI) Periode 2013-2015) [PDF]
, 2017 ABSTRAK Penelitian ini bertujuan untuk mengetahui bagaimana menilai harga saham pada perusahaan manufaktur menggunakan metode Capital Asset Pricing Model (CAPM) untuk menentukan keputusan investasi.
Yoga Renaldi Pradana, 114010199
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Improving the Asset Pricing Ability of the Consumption-Capital Asset Pricing Model? [PDF]
SSRN Electronic Journal, 2006 This paper compares the asset pricing ability of the traditional consumption-based capital asset pricing model to models from two strands of literature attempting to improve on the poor empirical results of the C-CAPM. One strand is based on the intertemporal asset pricing model of Campbell (1993, 1996) and Campbell and Vuolteenaho (2004).
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CAPM (Capital Asset Pricing Model) with Stable Distribution
Jurnal Ilmu Dasar, 2010 In the classical finance theory, the CAPM models are developed using the Gaussian framework, that is, weassume the vector of returns can be modeled using the multivariate normal distribution.
Dedi Rosadi
doaj
Aplicação do CAPM (Capital Asset Pricing Model) condicional por meio de métodos não-paramétricos para a economia brasileira: um estudo empírico do período 2002-2009 [PDF]
, 2010 Marcela Monteiro Galeno
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