Results 141 to 150 of about 15,156 (192)
Some of the next articles are maybe not open access.
CAPM Failure & New CAPM Relationship
2004The cost of equity is required (besides various other basic data) for many financial applications such as capital budgeting decisions and performance measurements. A common procedure is to use the Capital Asset Pricing Model (CAPM), which involves estimation of an expected risk premium equal to beta times the expected risk premium on the 'market ...
openaire +1 more source
SSRN Electronic Journal, 2013
By means of an amended basic model of financial markets, I reformulate the classical CAPM in two fundamental respects. The first is to have the B-pricing basis extended to include two more market factors; the second is to have the pricing model allow for the hedging relation between ambiguity and ambiguity aversion in the general case of market ...
openaire +1 more source
By means of an amended basic model of financial markets, I reformulate the classical CAPM in two fundamental respects. The first is to have the B-pricing basis extended to include two more market factors; the second is to have the pricing model allow for the hedging relation between ambiguity and ambiguity aversion in the general case of market ...
openaire +1 more source
Intertemporal CAPM with Conditioning Variables
SSRN Electronic Journal, 2011This paper derives and tests an intertemporal capital asset pricing model (ICAPM) based on a conditional version of the Campbell–Vuolteenaho two-beta ICAPM (bad beta, good beta (BBGB)). The novel factor is a scaled cash-flow factor that results from the interaction between cash-flow news and a lagged state variable (market dividend yield or consumer ...
openaire +3 more sources
CAPM: un modelo absurdo (CAPM: An Absurd Model)
SSRN Electronic Journal, 2014Spanish Abstract: El CAPM es un modelo absurdo porque sus hipotesis y sus conclusiones/predicciones son opuestas a la realidad (describen “un mundo” que no es el nuestro). La hipotesis mas extravagante es que los inversores tienen expectativas homogeneas (todos esperan la misma rentabilidad y la misma volatilidad de todas las acciones) y la prediccion ...
openaire +1 more source
2007
This paper reviews the recent literature on CAPM and APT, and reaches a surprising conclusion. While APT died a silent death, CAPM's progeny is alive and well! We provide a short review of the recent literature on the conditional CAPMs, intertemporal CAPMs, and higher-order Co-Moments-based CAPMs.
Sanjay K. Nawalkha, Christopher Schwarz
openaire +1 more source
This paper reviews the recent literature on CAPM and APT, and reaches a surprising conclusion. While APT died a silent death, CAPM's progeny is alive and well! We provide a short review of the recent literature on the conditional CAPMs, intertemporal CAPMs, and higher-order Co-Moments-based CAPMs.
Sanjay K. Nawalkha, Christopher Schwarz
openaire +1 more source
SSRN Electronic Journal, 2016
Capital asset pricing model is a popular formula using to calculate asset prices. This research looks at the sample forecasting of three CAPM constant beta model from 2005 to 2014. This research is going to look at the capabilities of CAPM by using the past varying.
openaire +1 more source
Capital asset pricing model is a popular formula using to calculate asset prices. This research looks at the sample forecasting of three CAPM constant beta model from 2005 to 2014. This research is going to look at the capabilities of CAPM by using the past varying.
openaire +1 more source
SSRN Electronic Journal, 2015
AbstractA new class of Capital Asset Pricing Models (CAPM) arises from the first principle of real investment for individual firms. Conceptually as ‘causal’ as the consumption CAPM, yet empirically more tractable, the investment CAPM emerges as a leading asset pricing paradigm.
openaire +1 more source
AbstractA new class of Capital Asset Pricing Models (CAPM) arises from the first principle of real investment for individual firms. Conceptually as ‘causal’ as the consumption CAPM, yet empirically more tractable, the investment CAPM emerges as a leading asset pricing paradigm.
openaire +1 more source
, 2013 We provide a disaster-based explanation for the failure of the CAPM in the post-Compustat sample as well as its success to explain the value premium in the long sample that includes the Great Depression. In an investment-based asset pricing model embedded with rare disasters, value stocks are more sensitive to disaster shocks than growth stocks.
Lu Zhang, Howard Kung, Hang Bai
openaire
2004
In 1952, Markowitz introduced the Mean-Variance hypothesis, where investors were taken to be value maxinizing and risk averse. Thence, based on the Mean Variance hypothesis and the Liqidity Preference Theory written by Tobin, Charpe constructed the CAPM. Followed by the ICAPM (Metron) and APT (Ross). This paper discusses what deficiencies the CAPM has,
openaire +1 more source
In 1952, Markowitz introduced the Mean-Variance hypothesis, where investors were taken to be value maxinizing and risk averse. Thence, based on the Mean Variance hypothesis and the Liqidity Preference Theory written by Tobin, Charpe constructed the CAPM. Followed by the ICAPM (Metron) and APT (Ross). This paper discusses what deficiencies the CAPM has,
openaire +1 more source
A conditional higher-moment CAPM
International Review of Financial Analysis, 2023Cherif Guermat, Jon Tucker
exaly