Results 21 to 30 of about 55,979 (234)

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

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

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

The Influence of ESG Controversies on Financing Costs for European Companies: Does Culture Matter?

Business Strategy and the Environment, EarlyView.
ABSTRACT This study examines the relationship between environmental, social, and governance (ESG) controversies and corporate financing costs, focusing on the moderating effect of national culture. It analyzes European companies listed on the STOXX 600 Index from 2016 to 2023.
Souad Brinette, Marie‐Josèphe Rigobert, Slimane ED‐Dafali   +2 more
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

Different methods to estimating the cost of equity. An analysis on a sample of too big to fail banks [PDF]

, 2018
In this study, a comparison was made between the Capital Asset Pricing Model (CAPM), the most widely used methodology, and an actuarial method with the use of credit default swaps (CDSs) and the method based on the inverse of the multiple P/E.
Coluccia, Daniela, Fontana, Stefano, Solimene, Silvia   +2 more
core   +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

The Evolution of Environmental, Social, and Governance (ESG) and Risk and Its Implications for Sustainable Finance: A Systematic Literature Review

Corporate Social Responsibility and Environmental Management, EarlyView.
ABSTRACT Recent literature addressing ESG and risk has increased by 70% since mid‐2022, reflecting a growing interest in sustainable finance. Guided by the PRISMA flow diagram, this paper employs a hybrid systematic review methodology, combining bibliometric analysis with content analysis, to provide a comprehensive overview of the evolution of ESG and
Fahad Asmi, Alain Neher, Alfred Wong
wiley   +1 more source

The Investment CAPM

European Financial Management, 2017
exaly   +2 more sources

CAPM option pricing [PDF]

Finance Research Letters, 2011
This paper extends the option pricing equations of Black and Scholes (1973), Jarrow and Madan (1997) and Husmann and Stephan (2007). In particular, we show that the length of the individual planning horizon is a determinant of an option’s value. The derived pricing equations can be presented in terms of the Black and Scholes (1973) option values which ...
Husmann, Sven, Todorova, Neda
openaire   +2 more sources