Results 81 to 90 of about 17,534 (244)
Another Look at the (Ir)Relevance of Long‐Run Risks for Equity Risk Premia
Journal of Money, Credit and Banking, EarlyView.Abstract I investigate the empirical asset pricing implications of a three‐factor macro model that extends the baseline consumption model Consumption Capital Asset Pricing Model (CCAPM) by adding the innovations in expected long‐run consumption growth (consumption growth news) and expected long‐run consumption variance (variance news) as risk factors ...
PAULO MAIO
wiley +1 more source
, 2014 Tujuan utama dari analisis regresi adalah menduga parameter yang tidak diketahui dalam model. Tiga metode estimasi populer yang banyak digunakan adalah kuadrat terkecil (Least-Squares) dan likelihood maksimum (Maximumum Likelihood) dan metode momen ...
ESTIMASI PARAMETER PADA STANDARD CAPM (CAPITAL ASSETS PRICING MODEL) DENGAN METODE GMM (GENERALIZED METHOD OF MOMENTS)
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MEMBANDINGKAN RISIKO SISTEMATIS MENGGUNAKAN CAPM-GARCH DAN CAPM-EGARCH
E-Jurnal Matematika, 2017 In making stock investments, investors usually pay attention to the rate of return and risk of the stock investment. To calculate risk using capital asset pricing model (CAPM), GARCH, and EGARCH.
VIKY AMELIAH +2 more
doaj +1 more source
Journal of Economic Surveys, EarlyView.ABSTRACT This article summarizes the evolution of portfolio theory from mean–variance optimization to AI‐augmented investment systems. Rather than treating portfolio models as isolated techniques, it organizes the literature as a sequence of responses to different forms of uncertainty: variance, systematic risk, expected‐return estimation error ...
Xuan Feng, Sofia Yang
wiley +1 more source
A rational pricing explanation for the failure of CAPM [PDF]
Many authors have found that the capital asset pricing model (CAPM) does not explain stock returns—possibly because it is only a special case of Merton’s (1973) intertemporal CAPM under the assumption of constant investment opportunities (e.g., a ...
Hui Guo
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RAE: Revista de Administração de Empresas, 2010 Nas últimas décadas, o modelo Capital Asset Pricing Model (CAPM) tem despertado grande interesse por parte da comunidadecientífica. Apesar das críticas, o aprimoramento do CAPM estático deu origem a novos modelos dinâmicos que trazem maiorsegurança para ...
Paulo N. Figueiredo, Eduardo C. Miranda
doaj
Journal of Economic Surveys, EarlyView.ABSTRACT This survey interprets the evolution of quantitative equity investing as a history of changing constraints rather than a succession of increasingly complicated forecasting models. Portfolio theory made diversification calculable; characteristic‐based investing converted value, momentum, profitability, and low‐risk effects into scalable ...
Xuan Feng, Julio P. Cardozo, Dehua Xia
wiley +1 more source
Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM? [PDF]
This paper focuses on inconsistencies arising from the use of NPV and CAPM for capital budgeting. It shows that (i) CAPM capital budgeting decision-making based on disequilibrium NPV is deductively inferred by the Capital Asset Pricing Model, (ii) the ...
Magni, Carlo Alberto
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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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The Validity of CAPM and ICAPM in the Istanbul Stock Exchange
Ekonomi, Politika & Finans Araştırmaları DergisiThis study aims to answer the following research question: Are the Capital Asset Pricing Model (CAPM) and International Capital Asset Pricing Model (ICAPM) valid in the Istanbul Stock Exchange (ISE)?
Gülşah Kulalı, Muhammad Muddasir
doaj +1 more source