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The Liquidity-Augmented CAPM: Empirical evidence from the JSE
, 2014 D. E. McClelland
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CAPM und erwartete Renditen: Eine Untersuchung auf Basis der Erwartung von Marktteilnehmern
, 2007 Meike Hagemeister, Alexander Kempf
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Explaining the Failure of the Unconditional CAPM with the Conditional CAPM
Management Science, 2022When the cost of hedging is nil, the conditional capital asset pricing model (CAPM) holds. We empirically test the conditional CAPM by regressing asset returns onto the product of their conditional betas and market returns.
M. Hasler, Charles Martineau
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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.
Ashish Tiwari
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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.
Ashish Tiwari
exaly +2 more sources
Patent Thickets, Stock Returns, and Conditional CAPM
Management Sciences, 2022Patent thickets, a phenomenon of fragmented ownership of overlapping patent rights, hamper firms’ commercialization of patents and thus deliver asset pricing implications.
Po-Hsuan Hsu, Hsiao-Hui Lee, Tong Zhou
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Revisiting CAPM betas in an incomplete market: Evidence from the Korean stock market
Finance Research Letters, 2017Seok-Kyun Hur, Chune Young Chung
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Social Science Research Network, 2020
This paper shows how sustainable investing affects asset returns through exclusionary screening and environmental, social, and governance (ESG) integration. I develop an asset pricing model with partial segmentation and heterogeneous preferences.
O. Zerbib, O. Zerbib
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This paper shows how sustainable investing affects asset returns through exclusionary screening and environmental, social, and governance (ESG) integration. I develop an asset pricing model with partial segmentation and heterogeneous preferences.
O. Zerbib, O. Zerbib
semanticscholar +1 more source