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Aplicação e análise do modelo CAPM condicional na bolsa de valores portuguesa
, 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 tempo.
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, 2009 O objetivo deste artigo é fazer uma análise comparativa e testar empiricamente a validade dos modelos CAPM tradicional e condicional utilizando as ações preferenciais da Petrobrás. A metodologia empregada foi a de estimar primeiramente o modelo CAPM tradicional, através do método dos mínimos quadrados ordinários e, posteriormente estimou-se o modelo ...
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An Intertemporal CAPM with Stochastic Volatility
, 2018 John Y. Campbell +5 more
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The Conditional CAPM and the Cross-Section of Expected Returns
, 1996 R. Jagannathan, Zhenyu Wang
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Explaining the Failure of the Unconditional CAPM with the Conditional CAPM
Management Sciences, 2022When the cost of hedging is nil, the conditional capital asset pricing model (CAPM) holds. We empirically test the conditional CAPM by regressing asset returns onto the product of their conditional betas and market returns.
M. Hasler, Charles Martineau
semanticscholar +1 more source
, 2021
This paper aims to improve Risk management information system (RMIS) that is becoming animportant element in MIS system of banking sector in Vietnam in recent years and in future.This study mainly use combination of quantitative methods including OLS ...
D. Huy, Nguyen Thi Hang
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This paper aims to improve Risk management information system (RMIS) that is becoming animportant element in MIS system of banking sector in Vietnam in recent years and in future.This study mainly use combination of quantitative methods including OLS ...
D. Huy, Nguyen Thi Hang
semanticscholar +1 more source
Social Science Research Network, 2020
This paper shows how sustainable investing affects asset returns through exclusionary screening and environmental, social, and governance (ESG) integration. I develop an asset pricing model with partial segmentation and heterogeneous preferences.
O. Zerbib, O. Zerbib
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This paper shows how sustainable investing affects asset returns through exclusionary screening and environmental, social, and governance (ESG) integration. I develop an asset pricing model with partial segmentation and heterogeneous preferences.
O. Zerbib, O. Zerbib
semanticscholar +1 more source
Integrative oncology: Addressing the global challenges of cancer prevention and treatment
Ca-A Cancer Journal for Clinicians, 2022Jun J Mao,, Msce +2 more
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