Results 211 to 220 of about 15,572 (250)
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Fama's Ratio and the Effect of Operating Leverage on the Cost of Capital Under CAPM
Abacus. A Journal of Accounting and Business Studies, 2020The firm's operating leverage is its ratio of fixed to variable costs. It is widely understood that production settings with higher fixed costs and lower variable costs are high risk.
D. Johnstone
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Aggregation, Capital Heterogeneity, and the Investment CAPM
The Review of financial studies, 2019A detailed treatment of aggregation and capital heterogeneity substantially improves the performance of the investment CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio level to ...
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SSRN Electronic Journal, 2004 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
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Fama-French, CAPM, and Implied Cost of Equity
, 2019This study uses U.S. implied cost of equity observations to compare the CAPM with both ex ante and ex post versions of the Fama-French three-factor model. The ex ante version is a simple theoretical model that requires mutual consistency among the factor
Dev R. Mishra, Thomas J. O'Brien
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Company Valuation as Result of Risk Analysis: Replication Approach as an Alternative to the CAPM
Social Science Research Network, 2019Market imperfections call into question the suitability of the CAPM for deriving the cost of capital. The valuation by incomplete replication introduces a valuation concept that takes capital market imperfections into account and derives the risk ...
Werner Gleißner, Dietmar Ernst
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CAPM Failure & New CAPM Relationship
SSRN Electronic Journal, 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 ...
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The Value Premium and the CAPM [PDF]
SSRN Electronic Journal, 2005 ABSTRACTWe examine (1) how value premiums vary with firm size, (2) whether the CAPM explains value premiums, and (3) whether, in general, average returns compensate β in the way predicted by the CAPM. Loughran's (1997) evidence for a weak value premium among large firms is special to 1963 to 1995, U.S.
Eugene F. Fama +2 more
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Is It Ethical to Teach That Beta and CAPM Explain Something?
, 2019My answer to the question in the title is NO. It is crystal clear that CAPM and its Betas do not explain anything about expected or required returns. There are mountains of evidence to support my stance.
Pablo Fernández
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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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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.
N. Eugene Savin +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.
N. Eugene Savin +2 more
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