Results 71 to 80 of about 15,156 (192)
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
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
Residual Income Valuation and Stock Returns: Evidence From a Value‐to‐Price Investment Strategy*
Financial Review, EarlyView.ABSTRACT This paper contributes to the accounting and asset pricing anomalies literature by investigating the performance of value‐to‐price (V/P) strategies, and the relationship between V/P ratio and various risk proxies. If the V/P ratio successfully predicts future returns at stock level, we hypothesize that portfolios based on the V/P ratio ...
Ahmad Haboub +2 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
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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
When Nature Talks, Markets Move: Forecasting the Equity Premium With Eco‐Climate Incidents
Financial Review, EarlyView.ABSTRACT This paper examines the role of eco‐climate information, particularly biodiversity risks, in forecasting the U.S. equity premium. Using RepRisk controversy data, we construct indicators for biodiversity, greenhouse gas emissions, and local pollution. Biodiversity indicators emerge as strong predictors of the equity premium, outperforming other
Zhiyong Li, Weiping Qin
wiley +1 more source
Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM [PDF]
This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for the period of January 1995 to December 2006.
Md Isa, Abu Hassan +2 more
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Uma contribuição para o entendimento do mercado de ações, através de um teste empírico do CAPM na BOVESPA no período de 1996 a 2000 [PDF]
, 2001 Dissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Tecnológico. Programa de Pós-Graduação em Engenharia de Produção.O CAPM (Capital Asset Pricing Model) é um modelo de previsão dos retornos dos ativos e representa um instrumento útil
Milani, Luís Henrique Pires
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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
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