Results 11 to 20 of about 17,534 (244)
RETRACTED: Entropy-based financial asset pricing: Evidence from Pakistan.
PLoS ONE, 2022 Entropy is an alternative measure to calculate the risk, simplify the portfolios and equity risk premium. It has higher explanatory power than capital asset price model (CAPM) beta.
Sheng Wang +4 more
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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
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CAPM with various utility functions: Theoretical developments and application to international data
Cogent Economics & Finance, 2017 This paper presents an extension of the Capital Assets Pricing Model (hereafter CAPM) where various utility functions are applied. Specifically, we propose an overall CAPM beta that accounts for the higher order moments and reflects the investor ...
Rihab Bedoui, Houda BenMabrouk
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The Robustness of the CAPM: A Computational Approach [PDF]
, 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, Felix E. Kubler
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MENENTUKAN SAHAM YANG EFISIEN DENGAN MENGGUNAKAN METODE CAPITAL ASSET PRICING MODEL (CAPM)
E-Jurnal Matematika, 2020 CAPM has been well known as a method to select which stocks are efficient in a portfolio. The purpose of this study is to determine efficient stocks using CAPM method.
ELVINA LIADI +2 more
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Veterinární Medicína, 2008 We tested the germicide activity of 1% Chloramin BM, 1% Incidin Plus, 1% Lysoformin 3000, 0.2% Mikasept KP, and 2% Sekusept Forte against viruses in suspension (suspension test) and dried onto a surface (carrier test).
H. Dvorakova +2 more
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Financial asset pricing test in chemical and petrochemical companies: Compare Factor Patterns [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2017 he purpose of this paper is to test the CAPM and APT pricing model for pricing petrochemical companies in Tehran Stock Exchange. In this regard, seasonal data related to stock returns of 18 active chemical and petrochemical companies in the stock market ...
Reza talebloo, Hossein Sheikhi
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Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM? [PDF]
European Journal of Operational Research, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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GMM and present value test of the C-CAPM under transactions costs: Evidence from the UK stock market [PDF]
, 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
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