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Portfolio Management in Times of Elevated Risk. Safe-Haven and Hedge Assets in CAPM Setting
Ewa Feder‐Sempach
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Patient and Provider Experiences With Compassionate Care in Virtual Physiatry: Qualitative Study.
J Med Internet ResWasilewski MB +7 more
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Economic Modelling, 2020
© 2019 Elsevier B.V. Conventional wisdom suggests that the uncertainty of uninformed noise-traders’ sentiment deters rational traders’ arbitrage activities. However, nowadays, social media have made the public sentiment highly predictable, whereas the CAPM-motivated beta-return relation still does not hold in practice.
Wei Hu, Zhenlong Zheng
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© 2019 Elsevier B.V. Conventional wisdom suggests that the uncertainty of uninformed noise-traders’ sentiment deters rational traders’ arbitrage activities. However, nowadays, social media have made the public sentiment highly predictable, whereas the CAPM-motivated beta-return relation still does not hold in practice.
Wei Hu, Zhenlong Zheng
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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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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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