Estimation of consumption-capital asset pricing model (C-CAPM) with two clusters of consumption expenditures [PDF]
In this paper, we develop a new model that explicitly considers two endogenous consumption items and investigates its applicability to consumption-capital asset pricing model (C-CAPM) by testing it with various sets of instruments.
Atsushi Maki, Kenji Wada
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Cash-Flow Risk, Discount Risk, and the Value Premium [PDF]
A habit persistence, general equilibrium model with multiple assets matches both the time series properties of the market portfolio and the cross-sectional predictability of returns on price sorted portfolios, the value premium. Consistent with empirical
Pietro Veronesi, Tano Santos
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Non-standardized form of CAPM and stock returns [PDF]
, 2012 Emerging markets like Pakistan confront with the problem to validate the CAPM in its original form. Since standard form of this model has unrealistic assumptions, different non-standardized forms have been introduced by different researchers.
Muhammad, Irfan
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A Framework for CAPM with Heterogenous Beliefs [PDF]
We introduce heterogeneous beliefs in to the mean-variance framework of the standard CAPM, in contrast to the standard approach which assumes homogeneous beliefs.
Carl Chiarella +2 more
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A multifactor consumption based asset pricing model of the UK stock market: The US stock market as a wealth reference [PDF]
, 2009 Here a multifactor model of UK stock returns is developed, replacing the conventional consumption habit reference by a relation that depends on US wealth.
Hunter, J, Wu, F
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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
doaj +1 more source
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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Equity Premium: - Does it exist? Evidence from Germany and United Kingdom [PDF]
Malkiel and Xu (1997) state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns.
Madhu Veeraraghavan +3 more
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How much foreign stocks? : Bayesian approaches to asset allocation can explain the home bias of US investors [PDF]
, 2003 US investors hold much less foreign stocks than mean/variance analysis applied to historical data predicts. In this article, we investigate whether this home bias can be explained by Bayesian approaches to international asset allocation.
Herold, Ulf, Maurer, Raimond
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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