Results 11 to 20 of about 15,572 (250)
Salmon futures and the Fish Pool market in the context of the CAPM and a three-factor model
Aquaculture Economics & Management, 2021 Futures on fresh farmed salmon traded at the Fish Pool market in Norway are analyzed in the context of the Capital Asset Pricing Model (CAPM) and a corresponding three-factor model where contracts are separated based on their maturities.
C. Ewald +5 more
semanticscholar +1 more source
Quarterly Review, 1995 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 types of assets over long time periods. Then the article develops a version of the CAPM and describes
Ravi Jagannathan +2 more
openaire +3 more sources
Jurnal Aplikasi Manajemen, 2020 This study determines the accuracy level of CAPM and APT in determining the expected return of LQ45 and comparing the expected return from CAPM and APT models. This study uses descriptive and comparative research approaches.
Irni Yunita +2 more
doaj +1 more source
Management Letters/Cuadernos de Gestión, 2022 The recent research on asset pricing shows that the higher liquidity that results from the globalization of financial markets has significantly reduced the returns tied to many market anomaly-based strategies.
Ana B. Alonso Conde, Javier Rojo Suárez
doaj +1 more source
Further evidence on the validity of CAPM: The Warsaw Stock Exchange application
, 2020 Aim/purpose – The purpose of the research is to verify the Capital Asset Pricing Model (CAPM) in the Polish capital market based on a conventional and downside risk approach.
Lesław Markowski
semanticscholar +1 more source
Do Taxes Matter in the CAPM? [PDF]
Business Research, 2009 AbstractThe traditional literature on the CAPM assumes that investor’s tax payments simply vanish from the model. This assumption is not at all consistent with the actual behavior of the Treasury. The theory of general equilibrium states that an interest rate rf = 0 will not affect prices if taxes are introduced.
Kruschwitz, Lutz, Löffler, Andreas
openaire +5 more sources
The Robustness of the CAPM: A Computational Approach [PDF]
SSRN Electronic Journal, 2000 In this paper we argue that in realistically calibrated two period general equilibrium models with incomplete markets CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns are not normally distributed.
P. Jean-Jacques Herings +2 more
openaire +5 more sources
Modified capital asset pricing model (CAPM) into sharia framework
Journal of Physics: Conference Series, 2020 This study is to expose the sharia concept in the Islamic market, especially on the practice of the equilibrium model or the Capital Asset Pricing Model (CAPM). Islamic index and sharia market are introduced to answer the Islamic investment.
R. Subekti, Abdurakhman, D. Rosadi
semanticscholar +1 more source
The Conditional CAPM and the Cross-Section of Expected Returns
, 1996 Most empirical studies of the static CAPM assume that betas remain constant over time and that the return on the value-weighted portfolio of all stocks is a proxy for the return on aggregate wealth. The general consensus is that the static CAPM is unable
R. Jagannathan, Zhenyu Wang
semanticscholar +1 more source
The CAPM Is Alive and Well [PDF]
, 1993 In empirical studies of the CAPM, it is commonly assumed that, (a) the return to the value-weighted portfolio of all stocks is a reasonable proxy for the return on the market portfolio of all assets in the economy, and (b) betas of assets remain constant over time.
Ravi Jagannathan, Zhenyu Wang
openaire +3 more sources