Results 181 to 190 of about 55,979 (234)
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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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IFAC Proceedings Volumes, 1998
Abstract In this work a stochastic fomulation of the CAPM (Capital Market Pricing Model) called CAPMVAR, is presented. In the proposed fomulation the coefficients α and β of the model follow a first order vector autoregressive process, which parameters are estimated with the Kalman Filter.
Marcelo C. Medeiros +3 more
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Abstract In this work a stochastic fomulation of the CAPM (Capital Market Pricing Model) called CAPMVAR, is presented. In the proposed fomulation the coefficients α and β of the model follow a first order vector autoregressive process, which parameters are estimated with the Kalman Filter.
Marcelo C. Medeiros +3 more
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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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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 ...
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Το υπόδειγμα CAPM βασισμένο στην κατανάλωση (C-CAPM)
2007Διπλωματική εργασία - Οικονομικό Πανεπιστήμιο Αθηνών.
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International Liquidity CAPM [PDF]
, 2014 In this paper we study how funding constraints affect asset prices internationally. We build an equilibrium model with multiple countries where investors face margin constraints, and derive an international funding-liquidity-adjusted CAPM. In particular, the model has implications for (i) the global and local liquidity effect on asset prices in the ...
Philippe Mueller +3 more
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2022
Rizik i neizvjesnost nisu istoznačnice. Rizik se može izmjeriti dok se neizvjesnost ne može mjeriti te je bitno što preciznije izmjeriti rizik kako bi se smanjila mogućnost odabira krivog uloga. Pojedini investitori su skloni riziku jer na taj način postižu velike prinose, ali isto tako diverzificiraju odnosno ulažu u portfelj vrijednosnih papira. Tema
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Rizik i neizvjesnost nisu istoznačnice. Rizik se može izmjeriti dok se neizvjesnost ne može mjeriti te je bitno što preciznije izmjeriti rizik kako bi se smanjila mogućnost odabira krivog uloga. Pojedini investitori su skloni riziku jer na taj način postižu velike prinose, ali isto tako diverzificiraju odnosno ulažu u portfelj vrijednosnih papira. Tema
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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.
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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.
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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.
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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.
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, 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
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