Results 61 to 70 of about 17,534 (244)
Project valuation and investment decisions: CAPM versus arbitrage [PDF]
This paper shows that (i) project valuation via disequilibrium NPV+CAPM contradicts valuation via arbitrage pricing, (ii) standard CAPM-minded decision makers may fail to profit from arbitrage opportunities, (iii) standard CAPM-based valuation violates ...
Magni, Carlo Alberto
core
Eesti Majanduspoliitilised Väitlused, 2012 Government often faces decisions, which concern choosing between projects carrying different risk level and timing of cash flows. For calculating government real estate investment discount rate, we can apply social opportunity cost approach and ...
Priit Sander, Oliver Lukason, Kaia Kask
doaj +1 more source
Explanations for Cross‐Sectional Return Anomalies: Evidence on the IVOL Puzzle
Financial Management, EarlyView.ABSTRACT Considering the time‐series dimension alongside the cross‐sectional dimension helps to almost entirely account for the idiosyncratic volatility (IVOL) puzzle. Based on a purely cross‐sectional approach, the previous literature shows that numerous candidate theories collectively fail to explain the puzzling finding that high‐IVOL stocks ...
Fabian Hollstein +2 more
wiley +1 more source
The Conditional CAPM does not Explain Asset-Pricing Anamolies [PDF]
Recent studies suggest that the conditional CAPM might hold, period-by-period, and that time-varying betas can explain the failures of the simple, unconditional CAPM.
Stefan Nagel, Jonathan Lewellen
core
Tzhoecoen, 2019 Este trabajo tiene como objetivo medir la eficiencia del Costo de Oportunidad de Capital (COK) comparando su estimación a partir del uso betas y retornos de empresas del MILA (ADRs), versus los retornos de los títulos en el mercado.
Wilson Idrogo Rengifo
doaj
Market Uncertainty, Investor Sentiment, and the Beta Premium
Financial Review, EarlyView.ABSTRACT This paper provides new insights into how time‐variation in the beta premium is related to popular measures of market uncertainty and sentiment; specifically, the CBOE's VIX and the sentiment index of Baker‐Wurgler (2006). We show that the beta premium: (1) increases nonlinearly with uncertainty, rising significantly only when VIX exceeds a ...
Naresh Bansal, Chris Stivers
wiley +1 more source
THEORETICAL FLAWS IN THE USE OF THE CAPM FOR INVESTMENT DECISIONS [PDF]
This paper uses counterexamples and simple formalization to show that the standard CAPM-based Net Present Value may not be used for investment valuations.
Magni, Carlo Alberto
core
The Impact of Macro Variables and Alternative Assets on Stock Price Movement in Iran: An ARDL Model [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2007 This paper uses a quarterly data to study the effect of the main economic variables on the stock price index in Iran over the period 1993:3–2003:2. An autoregressive distributed lag (ARDL) approach to cointegration analysis is used to study both short ...
Karim Eslamloueyan, Hashem Zare
doaj
A Quantile Model of Firm Investment
International Economic Review, EarlyView.ABSTRACT Are firms risk averse? We propose a dynamic model of firm investment under uncertainty that captures firms' risk attitudes through quantile preferences. The firm maximizes its present value, defined as current profits and investment plus the discounted value of the τ$\tau$‐quantile of its value next period.
Heitor Almeida +3 more
wiley +1 more source
Firm Value and the mis-use of the CAPM for valuation and decision making [PDF]
This paper shows that a decision maker using the CAPM for valuing firms and making decisions may contradict Modigliani and Miller’s Proposition I, if he adopts the widely-accepted disequilibrium NPV.
Magni, Carlo Alberto
core