Results 31 to 40 of about 68,268 (314)
Empirical Test of the Relationship between Consumption and Capital Asset Pricing in Tehran Stock Exchange [PDF]
مجله توسعه و سرمایه, 2021 Objective: The purpose of this paper is to derive a better criterion for systematic risk and to develop a closer relationship between the capital market and basic economic concepts and to explain the relationship between risk and return and pricing of ...
Shahrooz Pourfard, Behrooz Pourfard
doaj +1 more source
Do Taxes Matter in the CAPM? [PDF]
Business Research, 2009 AbstractThe traditional literature on the CAPM assumes that investor’s tax payments simply vanish from the model. This assumption is not at all consistent with the actual behavior of the Treasury. The theory of general equilibrium states that an interest rate rf = 0 will not affect prices if taxes are introduced.
Kruschwitz, Lutz, Löffler, Andreas
openaire +4 more sources
Borsa Istanbul Review, 2018 This study makes a comparative analysis of the explanatory power of CAPM and downside CAPM based risk measures for stock returns in Borsa Istanbul. 22 risk measures based on mean-variance and mean-semivariance approaches using global and local single ...
Mehmet Emin Yildiz, Yaman O. Erzurumlu
doaj +1 more source
An Intertemporal CAPM with Stochastic Volatility [PDF]
SSRN Electronic Journal, 2012 This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who is content to hold the aggregate equity market rather than overweighting value stocks and other equity portfolios that are attractive to short-term investors. We show that a conservative long-term investor will avoid such overweights in
Campbell, John Y. +3 more
openaire +3 more sources
AxiomsThe main objective of this article is to present the formulation of a Capital Asset Pricing Model ordered weighted average CAPMOWAand its extensions, called CAPM-induced OWA (CAPMIOWA), CAPM Bonferroni OWA (CAPMBon-OWA), and CAPM Bonferroni-induced OWA ...
Cristhian R. Uzeta-Obregon +5 more
doaj +1 more source
The Robustness of the CAPM: A Computational Approach [PDF]
SSRN Electronic Journal, 2000 In this paper we argue that in realistically calibrated two period general equilibrium models with incomplete markets CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns are not normally distributed.
Herings, P.J.J., Kubler, F.
openaire +4 more sources
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
Business Strategy and the Environment, EarlyView.ABSTRACT Investors have long recognized the importance of firms in promoting sustainability, leading to the rise of socially responsible investment (SRI). Specifically, there is a growing preference for exchange‐traded funds (ETFs) that prioritize environmental, social, and governance (ESG) principles.
Sandra Tenorio‐Salgueiro +3 more
wiley +1 more source
ESG Messaging on Social Media and Cost of Capital: A Canadian Perspective
Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l'Administration, EarlyView.ABSTRACT We examine whether environmental, social and governance (ESG) communications on social media decrease firms' cost of equity. Our results show that ESG messaging on social media does not appear to influence investors, which leads us to examine why.
Dhruv Baswal, Sean Cleary
wiley +1 more source
CAPM-Based Company (Mis)valuations
The Review of financial studies, 2017 There is a discrepancy between CAPM-implied and realized returns. Using the CAPM in capital budgeting—as recommended in textbooks—should thus have real effects. For instance, low beta projects should be valued more by CAPM users than by the market.
Olivier Dessaint +3 more
semanticscholar +1 more source