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A Practitioner’s Guide to the CAPM: An Empirical Study
, 2018The most popular method for calculating asset prices is the Capital Asset Pricing Model (CAPM). What is the appropriate amount of years to use in the estimation and which variation of the capital asset pricing beta provides the best results?
J. French
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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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How Do Investors Compute the Discount Rate? They Use the CAPM
, 2016We provide guidance to corporate managers and investors on how to select the discount rate when evaluating investment opportunities. When making corporate investment decisions on behalf of the equity investors in a firm, an obvious choice is to use the ...
B. BerkJonathan, H. V. BinsbergenJules
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SSRN Electronic Journal, 2013
By means of an amended basic model of financial markets, I reformulate the classical CAPM in two fundamental respects. The first is to have the B-pricing basis extended to include two more market factors; the second is to have the pricing model allow for the hedging relation between ambiguity and ambiguity aversion in the general case of market ...
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By means of an amended basic model of financial markets, I reformulate the classical CAPM in two fundamental respects. The first is to have the B-pricing basis extended to include two more market factors; the second is to have the pricing model allow for the hedging relation between ambiguity and ambiguity aversion in the general case of market ...
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SSRN Electronic Journal, 2003
In 1952, Markowitz introduced the Mean-Variance hypothesis, where investors were taken to be value maxinizing and risk averse. Thence, based on the Mean Variance hypothesis and the Liqidity Preference Theory written by Tobin, Charpe constructed the CAPM. Followed by the ICAPM (Metron) and APT (Ross). This paper discusses what deficiencies the CAPM has,
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In 1952, Markowitz introduced the Mean-Variance hypothesis, where investors were taken to be value maxinizing and risk averse. Thence, based on the Mean Variance hypothesis and the Liqidity Preference Theory written by Tobin, Charpe constructed the CAPM. Followed by the ICAPM (Metron) and APT (Ross). This paper discusses what deficiencies the CAPM has,
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European Economic Review, 1994
Abstract Asset pricing models that rely on the presence of non-tradable assets (such as human wealth) to solve the equity premium puzzle have to confront the effect of decreasing absolute risk aversion: rich investors, who according to micro data hold the stock market and whose behavior is the one that matters, at the margin, for the determination of
Philippe Weil, Philippe Weil
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Abstract Asset pricing models that rely on the presence of non-tradable assets (such as human wealth) to solve the equity premium puzzle have to confront the effect of decreasing absolute risk aversion: rich investors, who according to micro data hold the stock market and whose behavior is the one that matters, at the margin, for the determination of
Philippe Weil, Philippe Weil
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Risk-Adjusting the Returns of Private Equity Using the CAPM and Multi-Factor Extensions
, 2015This paper develops a novel Public Market Equivalent (PME) measure to evaluate the risk-adjusted performance of private equity investments using the standard CAPM and multi-factor extensions.
Axel Buchner
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The CAPM is Wanted, Dead or Alive
The Journal of Finance, 1996ABSTRACTKothari, Shanken, and Sloan (1995) claim that βs from annual returns produce a stronger positive relation between β and average return than βs from monthly returns. They also contend that the relation between average return and book‐to‐market equity (BE/ME) is seriously exaggerated by survivor bias.
Fama, Eugene F, French, Kenneth R
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CAPM: The Model and 307 Comments About It
, 2015We show, as simply as possible, the model’s development, its implications and the assumptions on which it is based. The paper also contains 305 interesting comments and criticism from several professors, finance professionals and Ph.D. students about the
Pablo Fernández
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Intertemporal CAPM with Conditioning Variables
SSRN Electronic Journal, 2011This paper derives and tests an intertemporal capital asset pricing model (ICAPM) based on a conditional version of the Campbell–Vuolteenaho two-beta ICAPM (bad beta, good beta (BBGB)). The novel factor is a scaled cash-flow factor that results from the interaction between cash-flow news and a lagged state variable (market dividend yield or consumer ...
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