Results 111 to 120 of about 17,534 (244)
Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs [PDF]
With the standard mean variance framework, by assuming heterogeneity and bounded rationality of investors, this paper examines their impact on the market equilibrium and implications to the portfolio analysis.
Xue-Zhong He, Lei Shi
core
Pressure‐Driven Cash Holdings Under Biodiversity Risk
European Financial Management, Volume 32, Issue 5, Page 1528-1553, November 2026.ABSTRACT This study examines how biodiversity risk affects corporate cash holdings and the mechanisms shaping this relationship. We find that firms facing higher biodiversity risk significantly increase cash reserves. Internal CSR governance and external institutional pressures both reinforce precautionary cash policies, highlighting the importance of ...
Kangding Wang, Tongbin Xu, Min Yang
wiley +1 more source
Validity of capital asset pricing model: evidence from Karachi stock exchange [PDF]
This study investigates the validity of Capital Asset Pricing (CAP) Model in Karachi stock exchange (KSE). The data of 387 companies of 30 different sectors on monthly, quarterly and semiannual basis are used. The Paired sample t- test is applied to find
Imtiaz, arif +3 more
core
Residual Income Valuation and Stock Returns: Evidence From a Value‐to‐Price Investment Strategy*
Financial Review, Volume 61, Issue 4, Page 1257-1287, November 2026.ABSTRACT This paper contributes to the accounting and asset pricing anomalies literature by investigating the performance of value‐to‐price (V/P) strategies, and the relationship between V/P ratio and various risk proxies. If the V/P ratio successfully predicts future returns at stock level, we hypothesize that portfolios based on the V/P ratio ...
Ahmad Haboub +2 more
wiley +1 more source
A CAPM háromidőszakos kiterjesztése [PDF]
, 2019 Jelen tanulmányban megmutatjuk, hogy a tőkepiaci eszközök árazási modellje (CAPM) levezethető egy háromidőszakos általános egyensúlyelméleti modellből is, ami felveti a CAPM hosszútávú alkalmazhatóságát is.
Habis, Helga, Perge, Laura
core +1 more source
When Nature Talks, Markets Move: Forecasting the Equity Premium With Eco‐Climate Incidents
Financial Review, Volume 61, Issue 4, Page 1379-1404, November 2026.ABSTRACT This paper examines the role of eco‐climate information, particularly biodiversity risks, in forecasting the U.S. equity premium. Using RepRisk controversy data, we construct indicators for biodiversity, greenhouse gas emissions, and local pollution. Biodiversity indicators emerge as strong predictors of the equity premium, outperforming other
Zhiyong Li, Weiping Qin
wiley +1 more source
A Test of International CAPM [PDF]
We propose and implement a Wald test of the international capital asset pricing model. Ex post asset returns are regressed on asset supplies. CAPM requires that the matrix of coefficients from a regression of n rates of return on n asset supply shares be
Anthony P. Rodrigues, Charles Engel
core
Conditional pricing model with heteroscedasticity: Evaluation of Brazilian funds [PDF]
RAE: Revista de Administração de Empresas, 2019 Empirical studies have revealed that the conditional Capital Asset Pricing Model (CAPM) has a higher explanatory power than its unconditional version, particularly for the model in state-space form where the beta is estimated using Kalman filter.
Leandro Santos da Costa +3 more
doaj
An Arbitrary Benchmark CAPM: One Additional Frontier Portfolio is Sufficient [PDF]
The benchmark CAPM linearly relates the expected returns on an arbitrary asset, an arbitrary benchmark portfolio, and an arbitrary MV frontier portfolio.
Ekern, Steinar
core
, 2016 The Capital Asset Pricing Model (CAPM) is among the earliest and most widely used security valuation models. Since its inception, CAPM has been criticized more than it has been appreciated. Although, it has been criticized both empirically and theoretically, it is still one of the most extensively used methods for the calculation of equity betas and ...
openaire +2 more sources