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Applied Financial Economics Letters, 2006
The issue of 'best-beta' arises as soon as potential errors in the Sharpe-Lintner-Black capital asset pricing model (CAPM) are acknowledged. By incorporating a target variable into the investor preferences, this study derives a best-beta CAPM (BCAPM) that maintains the CAPM's theoretical appeal and analytical simplicity yet unambiguously improves its ...
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The issue of 'best-beta' arises as soon as potential errors in the Sharpe-Lintner-Black capital asset pricing model (CAPM) are acknowledged. By incorporating a target variable into the investor preferences, this study derives a best-beta CAPM (BCAPM) that maintains the CAPM's theoretical appeal and analytical simplicity yet unambiguously improves its ...
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SSRN Electronic Journal, 2008
In this paper we extend the Capital Asset Pricing Model (CAPM) to include the case where investors allocate a part of their funds in n risky assets while the rest funds are kept as cash that generates no interest. This more general version of the model, which has practical relevance to investments in mutual funds, contains Black's (1972) CAPM as a ...
Kevin Golden, Stylianos Paganopoulos
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In this paper we extend the Capital Asset Pricing Model (CAPM) to include the case where investors allocate a part of their funds in n risky assets while the rest funds are kept as cash that generates no interest. This more general version of the model, which has practical relevance to investments in mutual funds, contains Black's (1972) CAPM as a ...
Kevin Golden, Stylianos Paganopoulos
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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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The CAPM and Stochastic Dominance
1998In this chapter we employ SD rules to prove that the CAPM is theoretically intact in a wide range of frameworks corresponding to the assumption about the distribution of returns and the length of the investment horizon. This is a surprising integration of the MV and SD paradigms, as these two paradigms represent two distinct branches of expected ...
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Journal of Banking & Finance, 2014
It is well-known that cross-sectional tests of the CAPM are problematic. The market indexes used in empirical tests are likely to be inefficient ex ante, which could lead to spurious results even in the absence of sampling errors. This problem has led many to express serious doubt on the testability of the CAPM.
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It is well-known that cross-sectional tests of the CAPM are problematic. The market indexes used in empirical tests are likely to be inefficient ex ante, which could lead to spurious results even in the absence of sampling errors. This problem has led many to express serious doubt on the testability of the CAPM.
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Financial Review, 1982 Is CAPM a Behavioral Model? Estimating Sentiments from Rationalism
, 2018N. Apergis, M. Rehman
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A conditional regime switching CAPM
, 2018Vasco Vendrame, C. Guermat, J. Tucker
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