REGE Revista de Gestão, 2007 Nas últimas décadas, o modelo CAPM tem despertado grande interesse na comunidade científica. Apesar das críticas, o aprimoramento do CAPM estático, que dá origem a novos modelos dinâmicos, traz maior segurança para o investidor ao longo do ciclo de ...
Elmo Tambosi Filho +2 more
doaj
Econometric testing of the CAPM: A granger causality analysis on the Turkish banking industry [PDF]
The CAPM suggests that stock returns are linearly dependent to the market returns. The only risk factor that an asset bears is the market risk which is captured by the asset's beta.
Bayraci, Selcuk
core +1 more source
Capital market of Bulgaria: testing different CAPM corrections [PDF]
, 2010 The present study makes comparison in the usage and the level of accuracy of different methods for calculation of the expected return. The presented methods are based on CAPM, but with different corrections.
Kostenarov, Krasimir, Tsonchev, Radoslav
core
Size and liquidity effects in Nigeria: an industrial sector study [PDF]
, 2013 This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market of Nigeria ...
Hearn, Bruce
core +1 more source
Are CSR incidents truly bad news?
Journal of Financial Research, EarlyView.Abstract We revisit whether disclosures of negative Corporate Social Responsibility (CSR) incidents adversely affect firms' stock prices. While univariate tests reveal significant negative abnormal returns around incident announcements, the effect disappears once firm characteristics, industry, and time‐fixed effects are controlled for.
Chen Chen +2 more
wiley +1 more source
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
Testing the Ex Ante Relationship between Asset and Investment Returns in Japan: An Application of the P-CAPM to Japanese Asset Returns [PDF]
This article provides an empirical investigation into the validity of the production-based capital asset-pricing model (P-CAPM) in the Japanese asset markets during the period 1980-97.
Baba, Naohiko
core
PENERAPAN METODE CAPM SEBAGAI DASAR PENGAMBILAN KEPUTUSAN INVESTASI SAHAM PADA PERUSAHAAN YANG LISTING DI BURSA EFEK JAKARTA [PDF]
, 2007 This research is a case study in shares listed on the Jakarta Stock Exchange between June 2006 under the title "Application of CAPM method as the basis for Investment Decision Making Companies Listing of Shares on the Jakarta Stock Exchange.
NOVAYANTI, EKA AURINA
core
The expected inflation risk premium in the U.S. stock market
Journal of Financial Research, EarlyView.Abstract This article studies how expected inflation risk affects asset prices. We propose an ex‐ante, tradable proxy for this risk, derived from the term spread of gold futures prices. Using cross‐sectional and time series asset pricing tests, we show how an increase in expected inflation risk lowers contemporaneous prices and raises equity returns ...
Pascal Letourneau +2 more
wiley +1 more source
Retorno dos investimentos de empresas do agronegócio brasileiro
RACE: Revista de Administração, Contabilidade e Economia, 2018 Resumo: O objetivo com o estudo foi verificar a atratividade nos retornos dos investimentos de empresas brasileiras do agronegócio com o uso do modelo Capital Asset Pricing Model (CAPM).
Cristian Baú Dal Magro +3 more
doaj +1 more source