Results 31 to 40 of about 26,515 (333)
On Uniqueness of Equilibria in the CAPM [PDF]
SSRN Electronic Journal, 2000 Working paper / Institute for Empirical Research in Economics ...
Hens, Thorsten +2 more
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Jurnal Aplikasi Manajemen, 2020 This study determines the accuracy level of CAPM and APT in determining the expected return of LQ45 and comparing the expected return from CAPM and APT models. This study uses descriptive and comparative research approaches.
Irni Yunita +2 more
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The CAPM Is Alive and Well [PDF]
, 1993 In empirical studies of the CAPM, it is commonly assumed that, (a) the return to the value-weighted portfolio of all stocks is a reasonable proxy for the return on the market portfolio of all assets in the economy, and (b) betas of assets remain constant over time.
Ravi Jagannathan, Zhenyu Wang
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Further evidence on the validity of CAPM: The Warsaw Stock Exchange application
, 2020 Aim/purpose – The purpose of the research is to verify the Capital Asset Pricing Model (CAPM) in the Polish capital market based on a conventional and downside risk approach.
Lesław Markowski
semanticscholar +1 more source
Modified capital asset pricing model (CAPM) into sharia framework
Journal of Physics: Conference Series, 2020 This study is to expose the sharia concept in the Islamic market, especially on the practice of the equilibrium model or the Capital Asset Pricing Model (CAPM). Islamic index and sharia market are introduced to answer the Islamic investment.
R. Subekti, Abdurakhman, D. Rosadi
semanticscholar +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.
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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
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Management Letters/Cuadernos de Gestión, 2022 The recent research on asset pricing shows that the higher liquidity that results from the globalization of financial markets has significantly reduced the returns tied to many market anomaly-based strategies.
Ana B. Alonso Conde, Javier Rojo Suárez
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Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM? [PDF]
European Journal of Operational Research, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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