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
core
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
core
On empirical risk measurement with asymmetric returns data [PDF]
, 2002 By formulating a nested test of the asymmetric response model of Bawa, Brown, and Klein (1981), the mean-lower partial moment CAPM (LPMCAPM) of Bawa and Lindenberg (1977) and the mean-variance CAPM of Sharpe (1963, 1964), Lintner (1965) and Mossin (1969),
Hwang, Soosung, Pedersen, Christian S.
core
Observable Implications of the Conditional CAPM
Social Science Research Network, 2020 Thiago de Oliveira Souza
semanticscholar +1 more source
An Intertemporal CAPM with Stochastic Volatility
, 2018 John Y. Campbell +5 more
semanticscholar +1 more source
Post-COVID pulmonary fungal infections: An unanticipated predicament or a ticking time bomb? Clinico-microbiological profile of cases encountered during the second wave of COVID-19 pandemic at a teaching hospital in the Himalayas with a brief literature review. [PDF]
J Family Med Prim Care, 2023 Puri O +9 more
europepmc +1 more source
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
core
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
core
View Bias Towards Ambiguity, Expectile CAPM and the Anomalies
, 2013 Wei Hu, Zhenlong Zheng
openalex +1 more source
GMM and present value test of the C-CAPM under transactions costs: Evidence from the UK stock market
, 2003 In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK stock market over the time period of 1980-2000. Two econometric models are used; first, Fisher’s (1994) asset pricing model is estimated by GMM, and ...
Ioannidis, C, Gregoriou, A
core