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Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange [PDF]
This study examines the Capital Asset Pricing Model of Sharpe (1964) Lintner (1965) and Black (1972) as the benchmark model in the asset pricing theory.
Attiya Y. Javid, Eatzaz Ahmad
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A Framework for Exploring the Macroeconomic Determinants of Systematic Risk [PDF]
We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting ...
Tim Bollerslev +3 more
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Explaining the Failure of the Unconditional CAPM with the Conditional CAPM
Management Science, 2023When the cost of hedging is nil, the conditional capital asset pricing model (CAPM) holds. We empirically test the conditional CAPM by regressing asset returns onto the product of their conditional betas and market returns. Estimated intercepts are not statistically different from zero, implying that the conditional CAPM successfully explains the ...
Michael Hasler, Charles Martineau
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Economic Modelling, 2020
© 2019 Elsevier B.V. Conventional wisdom suggests that the uncertainty of uninformed noise-traders’ sentiment deters rational traders’ arbitrage activities. However, nowadays, social media have made the public sentiment highly predictable, whereas the CAPM-motivated beta-return relation still does not hold in practice.
Wei Hu, Zhenlong Zheng
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© 2019 Elsevier B.V. Conventional wisdom suggests that the uncertainty of uninformed noise-traders’ sentiment deters rational traders’ arbitrage activities. However, nowadays, social media have made the public sentiment highly predictable, whereas the CAPM-motivated beta-return relation still does not hold in practice.
Wei Hu, Zhenlong Zheng
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A conditional regime switching CAPM [PDF]
International Review of Financial Analysis, 2018 © 2017 Elsevier Inc. The standard Capital Asset Pricing Model (CAPM) is simple, intuitive, and grounded in sound economic theory. Yet, almost half a century's worth of empirical testing has so far failed to demonstrate its relevance.
Cherif Guermat, Jon Tucker
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Journal of Empirical Finance, 2009
Abstract This paper re-examines the tests of the Sharpe–Lintner Capital Asset Pricing Model (CAPM). The null that the CAPM intercepts are zero is tested for ten size-based stock portfolios and for twenty five book-to-market sorted portfolios using five-year, ten-year and longer sub-periods during 1965–2004.
Surajit D. Ray +2 more
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Abstract This paper re-examines the tests of the Sharpe–Lintner Capital Asset Pricing Model (CAPM). The null that the CAPM intercepts are zero is tested for ten size-based stock portfolios and for twenty five book-to-market sorted portfolios using five-year, ten-year and longer sub-periods during 1965–2004.
Surajit D. Ray +2 more
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Necessary Conditions for the CAPM
Journal of Economic Theory, 1997zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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The Journal of Finance, 1992
ABSTRACTSome equilibrium prices in CAPM may be negative because of nonmonotonicity of preferences. We identify several sets of sufficient conditions for prices to be positive. The central conditions impose bounds on the investors' risk aversion. These bounds do not need to hold globally but only in a relevant range of portfolios or combinations of mean
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ABSTRACTSome equilibrium prices in CAPM may be negative because of nonmonotonicity of preferences. We identify several sets of sufficient conditions for prices to be positive. The central conditions impose bounds on the investors' risk aversion. These bounds do not need to hold globally but only in a relevant range of portfolios or combinations of mean
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Annals of Operations Research
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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