Results 131 to 140 of about 68,268 (314)
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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Multifactor consumption based asset pricing model of the UK stock market: The US stock market as a wealth reference [PDF]
, 2011 Copyright @ 2011 University of BirminghamHere a multifactor model of UK stock returns is developed, replac- ingHere a multifactor model of UK stock returns is developed, replacing the conventional consumption habit reference by a relation that depends on
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
Applitability Analysis of CAPM in China A-Share Market [PDF]
, 2023 Mulin Zhu
openalex +1 more source
The causal impact of short‐sale constraints on the idiosyncratic volatility puzzle
Journal of Financial Research, Volume 48, Issue 4, Page 1821-1840, Winter 2025.Abstract We investigate the causal impact of short‐sale constraints on the idiosyncratic volatility (IVOL) puzzle, where high‐IVOL stocks yield lower future returns. We leverage two opposing exogenous shocks to short‐sale constraints: (1) 2005 Regulation SHO, which relaxes constraints for pilot stocks, and (2) 2003 Jobs and Growth Tax Relief ...
Yufeng Han +3 more
wiley +1 more source
Extending the CAPM model [PDF]
This paper extends the well known Capital Asset Pricing Model by Sharpe and Lintner to a multi-period context with possibly price dependent preferences.
Bas Donkers, Hendri Adriaens
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The Journal of Finance, Volume 80, Issue 6, Page 3555-3588, December 2025.ABSTRACT This paper establishes that mutual funds strategically time their trades in environmental, social, and governance (ESG) stocks around disclosure dates to inflate their sustainability ratings. This claim is supported by three empirical findings.
GIANPAOLO PARISE, MIRCO RUBIN
wiley +1 more source
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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Anomalies and Their Short‐Sale Costs
The Journal of Finance, Volume 80, Issue 6, Page 3639-3694, December 2025.ABSTRACT Short‐sale costs eliminate the abnormal returns on asset pricing anomaly portfolios. While many anomalies persist out‐of‐sample before accounting for short‐sale costs, they cannot be exploited with long‐short strategies due to stock borrow fees.
DMITRIY MURAVYEV +2 more
wiley +1 more source
THEORETICAL FLAWS IN THE USE OF THE CAPM FOR INVESTMENT DECISIONS [PDF]
This paper uses counterexamples and simple formalization to show that the standard CAPM-based Net Present Value may not be used for investment valuations.
Magni, Carlo Alberto
core +1 more source