Results 21 to 30 of about 15,572 (250)
The CAPM Strikes Back? An Equilibrium Model with Disasters
Journal of Financial Economics, 2018 Embedding disasters into a general equilibrium model with heterogeneous firms induces strong nonlinearity in the pricing kernel, helping explain the empirical failure of the (consumption) CAPM.
Hang Bai +4 more
semanticscholar +1 more source
Jurnal administrasi bisnis, 2019 The purpose of this study were: (1) To help investors pick efficient and inefficient stocks, (2) Investors know which stocks that have an optimal return and appropriate risk, (3) Investors know about CAPM metodh in determining the best investment ...
Nurain Hasan, F. Pelleng, J. Mangindaan
semanticscholar +1 more source
Instantaneous Arbitrage and the CAPM [PDF]
SSRN Electronic Journal, 2019 22 ...
openaire +3 more sources
CAPM with various utility functions: Theoretical developments and application to international data
Cogent Economics & Finance, 2017 This paper presents an extension of the Capital Assets Pricing Model (hereafter CAPM) where various utility functions are applied. Specifically, we propose an overall CAPM beta that accounts for the higher order moments and reflects the investor ...
Rihab Bedoui, Houda BenMabrouk
doaj +1 more source
Financial asset pricing test in chemical and petrochemical companies: Compare Factor Patterns [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2017 he purpose of this paper is to test the CAPM and APT pricing model for pricing petrochemical companies in Tehran Stock Exchange. In this regard, seasonal data related to stock returns of 18 active chemical and petrochemical companies in the stock market ...
Reza talebloo, Hossein Sheikhi
doaj +1 more source
Veterinární Medicína, 2008 We tested the germicide activity of 1% Chloramin BM, 1% Incidin Plus, 1% Lysoformin 3000, 0.2% Mikasept KP, and 2% Sekusept Forte against viruses in suspension (suspension test) and dried onto a surface (carrier test).
H. Dvorakova +2 more
doaj +1 more source
Pricing Climate Change Risks: CAPM with Rare Disasters and Stochastic Probabilities
, 2019 There are concerns that climate-related physical and political risks are not yet properly reflected in asset prices. To address these concerns, we develop a dynamic asset pricing framework with rare disasters related to climate change.
C. Karydas, A. Xepapadeas
semanticscholar +1 more source
, 2015 We analyse the relationship between large cap returns and sentiment indexes, using a Capital Asset Pricing Model (CAPM) framework. We try to provide a better explanation of asset prices and their deviations from standard theories by means of sentiment indicators, assuming the latter being measures of the very inclination to speculate.
Boido, Claudio, Fasano, Antonio
openaire +4 more sources
Modelling Sustainable Investing in the CAPM
SSRN Electronic Journal, 2023 AbstractEmpirical studies investigate various causes and effects of sustainable investments. While some attempts have been made to describe the results found by theoretical models, these are relatively complex and heterogeneous. We relate to existing studies and use a parsimonious Capital Asset Pricing Model (CAPM) in which we model different aspects ...
Hens, Thorsten, Trutwin, Ester
openaire +1 more source