Results 111 to 120 of about 26,515 (333)
Are CSR incidents truly bad news?
Journal of Financial Research, EarlyView.Abstract We revisit whether disclosures of negative Corporate Social Responsibility (CSR) incidents adversely affect firms' stock prices. While univariate tests reveal significant negative abnormal returns around incident announcements, the effect disappears once firm characteristics, industry, and time‐fixed effects are controlled for.
Chen Chen +2 more
wiley +1 more source
RAE: Revista de Administração de Empresas, 2010 Nas últimas décadas, o modelo Capital Asset Pricing Model (CAPM) tem despertado grande interesse por parte da comunidadecientífica. Apesar das críticas, o aprimoramento do CAPM estático deu origem a novos modelos dinâmicos que trazem maiorsegurança para ...
Paulo N. Figueiredo, Eduardo C. Miranda
doaj
Testing the Traditional CAPM and MCAPM on Tehran Stock Exchange
Journal of Applied Research on Industrial Engineering, 2017 The purpose of this paper is to empirically test and evaluate the possibility of using the traditional Capital Asset Pricing Model (CAPM) and the Modified Capital Asset Pricing Model (MCAPM) in the Tehran Stock Exchange. Traditional CAPM by Sharpe-Linter
Ebrahim Abbasi +2 more
doaj +1 more source
Does the Conditional CAPM Work? Evidence from the Istanbul Stock Exchange [PDF]
This paper tests whether the conditional CAPM accurately prices assets utilizing data from the Istanbul Stock Exchange (ISE) over the time period from February 1997 to April 2008. In our empirical analysis, we closely follow the methodology introduced in
Nuri Ersahin, Atakan Yalcýn
core
The expected inflation risk premium in the U.S. stock market
Journal of Financial Research, EarlyView.Abstract This article studies how expected inflation risk affects asset prices. We propose an ex‐ante, tradable proxy for this risk, derived from the term spread of gold futures prices. Using cross‐sectional and time series asset pricing tests, we show how an increase in expected inflation risk lowers contemporaneous prices and raises equity returns ...
Pascal Letourneau +2 more
wiley +1 more source
A note on CAPM betas under the carbon tax regime
, 2012 This paper studies the impact of factors that are external to firms and demonstrates that CAPM betas will be unaffected by such an external factor if the factor affects the equity return uniformly across the markets as a ...
Watanabe, Taiji
core +1 more source
Los modelos basados en el CAPM valoran adecuadamente los emprendimientos familiares
, 2016 El presente articulo intenta mostrar la pertinencia del modelo VPN-CAPM (valor presente neto que adopta la tasa de descuento prescrita por el capital asset pricing model) para valorar emprendimientos familiares (EPF).
David Wong Cam +1 more
semanticscholar +1 more source
Another Look at the (Ir)Relevance of Long‐Run Risks for Equity Risk Premia
Journal of Money, Credit and Banking, EarlyView.Abstract I investigate the empirical asset pricing implications of a three‐factor macro model that extends the baseline consumption model Consumption Capital Asset Pricing Model (CCAPM) by adding the innovations in expected long‐run consumption growth (consumption growth news) and expected long‐run consumption variance (variance news) as risk factors ...
PAULO MAIO
wiley +1 more source
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
doaj +1 more source
A rational pricing explanation for the failure of CAPM [PDF]
Many authors have found that the capital asset pricing model (CAPM) does not explain stock returns—possibly because it is only a special case of Merton’s (1973) intertemporal CAPM under the assumption of constant investment opportunities (e.g., a ...
Hui Guo
core