Results 271 to 280 of about 68,268 (314)
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Patent Thickets, Stock Returns, and Conditional CAPM
Management Sciences, 2016Patent 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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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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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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, 2013 We provide a disaster-based explanation for the failure of the CAPM in the post-Compustat sample as well as its success to explain the value premium in the long sample that includes the Great Depression. In an investment-based asset pricing model embedded with rare disasters, value stocks are more sensitive to disaster shocks than growth stocks.
Lu Zhang, Howard Kung, Hang Bai
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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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Fama-French, CAPM, and Implied Cost of Equity
, 2019Dev R. Mishra, Thomas J. O'Brien
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Is It Ethical to Teach That Beta and CAPM Explain Something?
, 2019Pablo Fernández
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Annals of Operations Research
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Is CAPM a Behavioral Model? Estimating Sentiments from Rationalism
, 2018N. Apergis, M. Rehman
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A Practitioner’s Guide to the CAPM: An Empirical Study
, 2018J. French
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