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Jurnal Analisis Bisnis Ekonomi, 2016 Penelitian ini menerapkan secara langsung Capital Asset Pricing Model (CAPM) dan stochastic dominance untuk memecahkan masalah pemilihan portofolio. Adapun tujuan dari penelitian ini adalah untuk mengetahui perbedaan tingkat return dan risiko portofolio ...
Lilik Andriyani +2 more
doaj
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
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Capm empirical problems and the distribution. [PDF]
The CAPM is generally contested on an empirical basis.The tests conducted with data from financial markets do not generally imply the acceptance of the model as describing correctly the range of expected returns.
Desmoulins-Lebeault, François
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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
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CAPM and APT: an empirical verification on the USA market
reservedIl presente elaborato ha lo scopo di fornire un ulteriore prova empirica di due modelli fondamentali per la determinazione del rendimento di un titolo: il Capital Asset Pricing Model (CAPM) e l'Arbitrage Pricing Theory (APT).
VETTORE, DARIO
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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
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Time-Varying Beta: A Boundedly Rational Equilibrium Approach [PDF]
By taking into account conditional expectations and the dependence of the systematic risk of asset returns on micro- and macro-economic factors, the conditional CAPM with time-varying betas displays superiority in explaining the cross-section of returns ...
Roberto Dieci +2 more
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An analysis of the CAPM for Dhaka Stock Exchange: Evidence from non-financial sector
, 2012 In this study, we examine the Capital Asset Pricing Model (CAPM) structure in Dhaka Stock Exchange (DSE)market for non financial companies. The study also aims at exploring whether the CAPM is applicable in DSE.
Mustafa, Adli +3 more
core +1 more source
Consumption, Size and Book-to-Market Ratio in Equity Returns [PDF]
This study extends the standard consumption-based capital asset pricing model (C-CAPM) to include two additional factors related to firm size (SMB) and book-to-market value ratio (HML).
Peter N. Smith +2 more
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A Cross Section of Equity Returns: The No-Arbitrage Test [PDF]
We propose a new test based on the no-arbitrage condition that compares cross-sectional variation in equity returns to the cross-sectional variation in their conditional covariance with the discount factors.
Peter N. Smith +2 more
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