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The Validity of CAPM and ICAPM in the Istanbul Stock Exchange
Ekonomi, Politika & Finans Araştırmaları DergisiThis study aims to answer the following research question: Are the Capital Asset Pricing Model (CAPM) and International Capital Asset Pricing Model (ICAPM) valid in the Istanbul Stock Exchange (ISE)?
Gülşah Kulalı, Muhammad Muddasir
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How Does the Stock Market React to the Carbon Policy? The Chinese Experience During 2014–2022
Asia &the Pacific Policy Studies, Volume 12, Issue 3, September 2025.ABSTRACT As countries around the world move towards carbon neutrality, firms are facing new challenges of policy uncertainty. China is an interesting place to explore this, as it is the largest carbon emitter and is taking strong steps towards carbon neutrality after the Paris Agreement.
Sarula Bai, Cheol‐Won Yang
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FORMATION OF THE INVESTMENT PORTFOLIO ON THE BASIS OF THE CAPM
Вестник Северо-Кавказского федерального университета, 2022 The article describes a popular model for evaluating capital assets CAPM. Studied the method offorming an efficient investment portfolio, using this model. Unlike investigated by the CAPM model, the index W. Sharpe. The basic principles for the selection
Yulia Konopleva
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The CAPM Strikes Back? An Investment Model with Disasters
, 2015 Value stocks are more exposed to disaster risk than growth stocks. Embedding disasters into an investment-based asset pricing model induces strong nonlinearity in the pricing kernel.
Hang Bai, Kewei Hou, H. Kung, Lu Zhang
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Π-CAPM: The Classical CAPM with Probability Weighting and Skewed Assets
Review of Financial Studies, 2020 We propose a new asset pricing model which generalizes the mean-variance framework by including probability weighting, specifically the overweighting of rare, high-impact events. Our model—the Π-CAPM—allows for disentangling volatility and skewness effects and predicts that idiosyncratic risk is priced.
Driessen, Joost +2 more
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International Journal of Finance &Economics, Volume 30, Issue 3, Page 2705-2723, July 2025.Abstract This study investigates the influence of board gender diversity on the relationship between environmental, social, and governance (ESG) performance and corporate cash holdings in Chinese A‐share listed companies from 2015 to 2022. Our research shows that ESG performance is positively associated with cash holdings.
Mohamed Marie +4 more
wiley +1 more source
Retorno dos investimentos de empresas do agronegócio brasileiro
RACE: Revista de Administração, Contabilidade e Economia, 2018 Resumo: O objetivo com o estudo foi verificar a atratividade nos retornos dos investimentos de empresas brasileiras do agronegócio com o uso do modelo Capital Asset Pricing Model (CAPM).
Cristian Baú Dal Magro +3 more
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How Do Climate‐Related Risks and Opportunities Affect Portfolio Allocation and Asset Pricing?
Managerial and Decision Economics, Volume 46, Issue 5, Page 2746-2765, July 2025.ABSTRACT This paper examines the performance of “clean,” “brown,” and “dirty” stocks in the S&P 500 from January 2010 to September 2022 using panel random effect estimation and factor models. It also uses cointegration analysis to assess the long‐term relationship between risk premiums and two carbon risk factors: “brown minus clean” and “dirty minus ...
Maher Asal, Xiaoni Li, Yin Shi
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The Conditional CAPM Does Not Explain Asset-pricing Anomalies [PDF]
, 2003 Jonathan Lewellen, Stefan Nagel
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Momentum Factor Effect on the Explanatory Power of Fama -French Three-Factor Model: Evidence from Tehran Stock Exchange [PDF]
مجله دانش حسابداری, 2013 We empirically tested, in Tehran Stock Exchange (TSE), the validity of the Carhart (1997) four-factor model by adding the price momentum factor as the fourth explanatory variable into the Fama-French three-factor model.
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