REGRESSÃO MÚLTIPLA: FERRAMENTA DE APOIO À DECISÃO NAS PESQUISAS MARKETING INSTITUCIONAL [PDF]
, 2010 Tenciona-se analisar a regressão múltipla como auxílio às políticas institucionais nas pesquisas de marketing voltadas à realidade das Instituições de Ensino Superior no que tange às pesquisas de satisfação ou opinião.
SARMENTO, CHARLES THIBES
core
CAPM Condicional: Betas Variantes no Tempo no Mercado Brasileiro [PDF]
, 2014 The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to business cycle and estimated using Kalman filter.
Aiube, Fernando Antonio Lucena +3 more
core +1 more source
This article describes the academic debate about the usefulness of the capital asset pricing model (the CAPM) developed by Sharpe and Lintner. First the article describes the data the model is meant to explain—the historical average returns for various ...
Ellen R. McGrattan, Ravi Jagnnathan
core
Aplicação e análise do modelo CAPM condicional na bolsa de valores portuguesa [PDF]
, 2014 O CAPM estático é o modelo mais utilizado para avaliar o trade-off entre rentabilidade esperada e risco, baseando-se apenas num único período de tempo. No entanto, numa economia dinâmica deve-se admitir que o risco e o prémio de risco variam ao longo do ...
Bruno, Marlene Sofia Falcão
core
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
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
Yes, the CAPM is testable [PDF]
, 2014 It is well-known that cross-sectional tests of the CAPM are problematic. The market indexes used in empirical tests are likely to be inefficient ex ante, which could lead to spurious results even in the absence of sampling errors.
Guermat, Cherif
core +1 more source
CAPM Condicional no Mercado Brasileiro: um estudo dos efeitos Momento, Tamanho e Book-to-Market entre 1995 e 2008 [PDF]
, 2011 This work investigates the ability of the conditional CAPM to explain anomalous returns related to momentum, size and book-to-market effects using Lewellen and Nagel’s (2006) methodology in the Brazilian stock market.
Bressan, Aureliano Angel +2 more
core +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
Prueba del CAPM condicional de los rendimientos de carteras en los mercados brasileño, argentino y chileno en comparación con el mercado norteamericano [PDF]
, 2010 Over the last few decades the Capital Asset Pricing Model (CAPM) has roused great interest in the scientific community. Despite suffering criticism, improvements in the static CAPM have given rise to new dynamic models that provide the investor with ...
Imoniana, Joshua Onome +3 more
core +1 more source