Is estimating the Capital Asset Pricing Model using monthly and short-horizon data a good choice? [PDF]
Heliyon, 2020 Pham CD, Phuoc LT.
europepmc +1 more source
Errors in recorded security prices and the turn-of-the year effect [PDF]
A study that concludes recorded security price errors are potential sources of misspecification in joint tests of the capital asset pricing model and market efficiency.Stock ...
James B. Thomson
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Corrigendum to "An augmented capital asset pricing model using new macroeconomic determinants" [Heliyon 6 (10) October 2020 e05185]. [PDF]
Heliyon, 2020 Pham CD, Phuoc LT.
europepmc +1 more source
TIME VARIATION AND ASYMMETRY IN THE WORLD PRICE OF COVARIANCE RISK: THE IMPLICATIONS FOR INTERNATIONAL DIVERSIFICATION [PDF]
The International Capital Asset Pricing Model measures country risk in terms of the conditional covariance of national returns with the world return. Using impulse responses from a multivariate nonlinear model we provide evidence of time variation and ...
Kalvinder Shields +2 more
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Asset Pricing with Liquidity Risk [PDF]
This paper solves explicitly an equilibrium asset pricing model with liquidity risk -- the risk arising from unpredictable changes in liquidity over time.
Lasse Heje Pedersen, Viral V. Acharya
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Application of Capital Asset Pricing Model Based on BP Neural Network in E-commerce Financing.
Comput Intell Neurosci, 2022 Geng G, Guan Z.
europepmc +1 more source
On the mean-standard deviation frontier [PDF]
This paper presents a characterization of the mean standard deviation frontier (MSF) in terms of pricing and averaging securities and explores the geometry of these securities relative to the geometry of the MSF.
Eneas A. Caldiño
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On Estimating an Asset's Implicit Beta [PDF]
Siegel (1995) has developed a technique with which the systematic risk of a security (beta) can be estimated without recourse to historical capital market data. Instead, beta is estimated implicitly from the current market prices of exchange options that
Andreas Stephan, Sven Husmann
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Robust Estimation of Multiple Regression Model with asymmetric innovations and Its Applicability on Asset Pricing Model [PDF]
In this paper, we first develop the modified maximum likelihood (MML) estimators for the multiple regression coefficients in linear model with the underlying distribution assumed to be symmetric, one of Student's t family.
Guorui Bian, Wing-Keung Wong
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