Results 131 to 140 of about 26,515 (333)
This article describes the academic debate about the usefulness of the capital asset pricing model (the CAPM) developed by Sharpe and Lintner. First the article describes the data the model is meant to explain—the historical average returns for various ...
Ellen R. McGrattan, Ravi Jagnnathan
core
The Echo Effect of Momentum and Investor Trading Behavior
International Review of Finance, Volume 26, Issue 2, June 2026.ABSTRACT This study examines the momentum echo effect using cross‐sectional momentum (CMOM) and idiosyncratic momentum (IMOM) in the Korean stock market. The results document robust evidence for CMOM‐based portfolios, while IMOM‐based portfolios exhibit contrasting evidence.
Cheoljun Eom, Jong Won Park
wiley +1 more source
دراسة مقارنة بین النموذج المحاسبى (ABRM) ونموذج تسعیر الأصول الرأسمالیة (CAPM) [PDF]
, 2015 حیدر ستار شذر
openalex +1 more source
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
Wage Differentials, Firm Investment, and Stock Returns
International Review of Finance, Volume 26, Issue 2, June 2026.ABSTRACT This study investigates the effects of labor costs on firms' capital investments and stock returns. I estimate wage premia across US industries and show that the negative investment‐return relation implied by q$$ q $$‐theory is steeper for firms paying high wage premia than for firms paying low wage premia.
Yongjun Kim
wiley +1 more source
Project valuation and investment decisions: CAPM versus arbitrage
This paper shows that (i) project valuation via disequilibrium NPV+CAPM contradicts valuation via arbitrage pricing, (ii) standard CAPM-minded decision makers may fail to profit from arbitrage opportunities, (iii) standard CAPM-based valuation violates ...
Magni, Carlo Alberto
core
A Theoretical Extension of the Consumption-based CAPM Model [PDF]
We extend the Consumption-based CAPM (C-CAPM) model for representative agents with different risk attitudes. We introduce the concept of expectation dependence and show that for a risk averse representative agent, it is the first-degree expectation ...
Jingyuan Li, Georges Dionne
core
Daily entry and exit triggers for open market repurchases
Journal of Financial Research, Volume 49, Issue 2, Page 422-451, Summer 2026.Abstract Using publicly available daily data, we analyse the daily decision repurchasing firms make to enter or exit the market during open market repurchase programs. Firms enter the market to repurchase after a stock price downturn and maintain their presence in the market while stock returns remain negative. The lower the preceding overnight return,
Christine Brown, Sean Pinder
wiley +1 more source
CAPM (Capital Asset Pricing Model) with Stable Distribution
Jurnal Ilmu Dasar, 2010 In the classical finance theory, the CAPM models are developed using the Gaussian framework, that is, weassume the vector of returns can be modeled using the multivariate normal distribution.
Dedi Rosadi
doaj
THEORETICAL FLAWS IN THE USE OF THE CAPM FOR INVESTMENT DECISIONS
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