CAPM condicional com aprendizagem aplicado ao mercado brasileiro de ações
, 2019 Modelos de valoración de activos representan una de las más discutidas e inves - tigadas áreas en las finanzas. Son ampliamente utilizados de forma teórica y práctica en el área de investimentos para modelizar y predecir el riesgo y la ren - tabilidad de
Mazzeu, Joao Henrique Goncalves +2 more
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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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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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OS PRINCIPAIS TRABALHOS SOBRE CAPM CONDICIONAL NO WEB OF SCIENCE: UMA ANÁLISE DE CITAÇÕES E COCITAÇÕES ENTRE 2000-2014 [PDF]
, 2016 Esta pesquisa focaliza a produção científica sobre o tema CAPM Condicional, tendo como objetivo apresentar o atual estágio dessa produção materializada na forma de artigos digitais, disponíveis na cole ...
Kuniyoshi, Márcio Shoiti +2 more
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Testes do modelo capm condicional no mercado brasileiro: um estudo dos efeitos momento, tamanho e book-to-market no período de 1995 a 2008. [PDF]
, 2009 This work tries to verify the ability of the conditional CAPM model to explain anomalous returns of momentum, size and book-to-market using Lewellen and Nagels (2006) proposed methodology in the brazilian stock market.
Frederico Valle e Flister
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A Framework for CAPM with Heterogenous Beliefs [PDF]
We introduce heterogeneous beliefs in to the mean-variance framework of the standard CAPM, in contrast to the standard approach which assumes homogeneous beliefs.
Roberto Dieci +2 more
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Non-standardized form of CAPM and stock returns [PDF]
Emerging markets like Pakistan confront with the problem to validate the CAPM in its original form. Since standard form of this model has unrealistic assumptions, different non-standardized forms have been introduced by different researchers.
Muhammad, Irfan
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La libertad condicional como instrumento para la reinserción [PDF]
, 2019 The reform carried out following the Organic Law 1/2015, marked a radical change regarding the nature of parole. According to the previous regulation, parole was established as the fourth and final prison grade, which is to say, the last period of the
Melián Suárez, José Américo
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Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs [PDF]
With the standard mean variance framework, by assuming heterogeneity and bounded rationality of investors, this paper examines their impact on the market equilibrium and implications to the portfolio analysis.
Xue-Zhong He, Lei Shi
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A Theoretical Extension of the Consumption-based CAPM Model [PDF]
We extend the Consumption-based CAPM (C-CAPM) model for representative agents with different risk attitudes. We introduce the concept of expectation dependence and show that for a risk averse representative agent, it is the first-degree expectation ...
Jingyuan Li, Georges Dionne
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