Results 21 to 30 of about 58,661 (262)

Comparing of the Efficiency of Capital Asset Pricing Model (CAPM) and Consumption-based Capital Asset Pricing Model (CCAPM) in Tehran Stock Exchange (TSE) [PDF]

مطالعات تجربی حسابداری مالی, 2010
The relation between risk and return, and capital asset pricing is the most basic topics in capital market. Capital Asset Pricing Model (CAPM) was suggested by Lintner and Sharpe in 1965 and has been reformed and criticized since.
F. Rostamian, Sh. Javanbakht
doaj  

Π-CAPM: The Classical CAPM with Probability Weighting and Skewed Assets

The Review of Financial Studies
Abstract We propose a new asset pricing model that generalizes the mean-variance framework by including probability weighting, specifically the overweighting of rare, high-impact events. Our model—the $ \Pi $-CAPM—generates several new predictions: (i) skewness has a positive price effect, amplified by volatility; (ii) the price ...
Driessen, Joost, Ebert, Sebastian, Koëter, Joren   +2 more
openaire   +4 more sources

Digital Technologies Disclosure and the Cost of Capital: The Mediating Role of Sustainability Performance

Business Strategy and the Environment, EarlyView.
ABSTRACT This study examines the economic consequences of Digital Technologies Disclosure (DTD), focusing on its impact on the cost of capital. The increasing significance of digital transformation in shaping corporate strategies and market perceptions motivates the study.
Hussein Mohsen Saber Ahmed, Awad Elsayed Awad Ibrahim, Khaldoon Albitar   +2 more
wiley   +1 more source

Self-Consistent Asset Pricing Models [PDF]

, 2006
We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the assets whose returns it is (they are) supposed to explain.
Alexander, Axtell, Bai, Black, Blume, Blume, Bodie, Bos, Broomhead, Chan, Collins, Connor, D. Sornette, Fama, Fama, Fama, Fama, Fama, Fang, Figlewski, Hakansson, Harvey, Hwang, Jolliffe, Krauss, Lee, Li, Lim, Malevergne, Malevergne, Michaud, Ohlson, Pliska, Roll, Roll, Rubinstein, Samuelson, Satchell, Sharpe, Simmonds, Vautard, Y. Malevergne   +41 more
core   +2 more sources

Media Attention to Climate Change and Investor Flows in US Equity Mutual Funds

Business Strategy and the Environment, EarlyView.
ABSTRACT This paper investigates how climate‐related news influences mutual fund investor behaviour in the United States. Although prior research has documented the financial relevance of climate risks, little is known about how media attention to climate change shapes capital allocation across mutual funds.
Laura Andreu, Diego Víctor de Mingo‐López, Juan Carlos Matallín‐Saez, José Luis Sarto   +3 more
wiley   +1 more source

Climate Change Mitigation Takes the Lead: EU Taxonomy‐Aligned and Eligible Activities in Relation to Debt Financing

Business Strategy and the Environment, EarlyView.
ABSTRACT This study assesses the degree of alignment with and eligibility to the EU Taxonomy of non‐financial firms and investigates its relationship with their Cost of Debt (CoD). The empirical analysis is based on a sample of 306 non‐financial firms listed on the Stoxx Europe 600 Index across 15 European countries. Taxonomy‐related data were manually
Fabio Rizzato, Simona Fiandrino, Alberto Tonelli, Giorgia La Barbera   +3 more
wiley   +1 more source

MEMBANDINGKAN RISIKO SISTEMATIS MENGGUNAKAN CAPM-GARCH DAN CAPM-EGARCH

E-Jurnal Matematika, 2017
In making stock investments, investors usually pay attention to the rate of return and risk of the stock investment. To calculate risk using capital asset pricing model (CAPM), GARCH, and EGARCH. The data used in this study is secondary data in the form of daily closing price (daily close price), JII price index and monthly SBI rate.
VIKY AMELIAH, KOMANG DHARMAWAN, I NYOMAN WIDANA   +2 more
openaire   +3 more sources

Organizational Resilience to Exogenous Shocks: The Role of Environmental Performance

Business Strategy and the Environment, EarlyView.
ABSTRACT This research examines the influence of environmental performance on organizational resilience during an exogenous shock. Drawing on the natural resource–based view, a sample of 3920 firms from 11 sectors and 19 countries is analyzed. This study employs OLS regressions and Cox proportional hazard models to test the effect of environmental ...
Tim Schroll
wiley   +1 more source

Mean-drawdown risk behavior: drawdown risk and capital asset pricing

Journal of Business Economics and Management, 2013
We develop an alternative approach based on mean-drawdown risk behavior versus the mean-variance behavior. We develop two risk measures as the maximum draw down risk and average drawdown risk to estimate two new betas and then propose two CAPM-like ...
Mohammad Reza Tavakoli Baghdadabad, Fauzias Mat Nor, Izani Ibrahim   +2 more
doaj   +1 more source

How does ESG explain excess returns in emerging market? An Asset-Pricing Approach

Jurnal Manajemen Teori dan Terapan, 2023
Objective: Previous studies found several important risk factors for the capital market in explaining stock performance. However, most studies only consider conventional investment factors without considering sustainable ones.
Clarissa Mulialim, Muhammad Madyan
doaj   +1 more source