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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
The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange [PDF]
This is an attempt to empirically investigate the risk and return relationship of individual stocks traded at Karachi Stock Exchange (KSE), the main equity market in Pakistan. The analysis is based on daily as well as monthly data of 49 companies and KSE
Attiya Y. Javid, Eatzaz Ahmad
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Application of the Beta Coefficient in the Market of Direct residential Real Estate Investments
Real Estate Management and Valuation, 2014 The beta coefficient is one of the most popular indices used in contemporary finances. Despite the fact that there are justified doubts connected with its application, it is currently difficult to imagine a situation in which the cost of capital would be
Wolski Rafał
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Asset Returns and Economic Risk [PDF]
, 2002 The capital asset pricing model (CAPM), favored by financial researchers and practitioners fifteen years ago, holds that the extra return on a risky asset comes from bearing market risk only.
Robotti, C
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Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM [PDF]
This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for the period of January 1995 to December 2006.
Md Isa, Abu Hassan +2 more
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Testing and comparing conditional CAPM with a new approach in the cross-sectional framework [PDF]
, 2014 This study examines the conditional relationship between beta and return for stocks traded on S&P 500 for the period from July 2001 to June 2011. The portfolios formed based on the Book value per share and betas using monthly data.
Alexandridis, Antonis +2 more
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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
The Conditional CAPM does not Explain Asset-Pricing Anamolies [PDF]
Recent studies suggest that the conditional CAPM might hold, period-by-period, and that time-varying betas can explain the failures of the simple, unconditional CAPM.
Jonathan Lewellen, Stefan Nagel
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Risk premium: insights over the threshold [PDF]
, 2006 The aim of this paper is twofold: First to test the adequacy of Pareto distributions to describe the tail of financial returns in emerging and developed markets, and second to study the possible correlation between stock market indices observed returns ...
Fernandes, Jose L. B. +2 more
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, 2022 El objetivo de este trabajo es el análisis del Modelo de Valoración de Activo con Cartera de Mercado, y de los modelos más notables derivados de este, el modelo de 3 factores de Fama y French y el modelo de Carhart. Para realizar este análisis, se compara la capacidad explicativa que tienen los factores de riesgo considerados en cada uno de los modelos.
openaire +1 more source