Results 41 to 50 of about 27,055 (72)
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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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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, 2004 This study seeks to assess the systematic risk of Brazilian agribusiness companies through the use of CAPM. The ARCH-LM tests confirm the presence of conditional heteroskedasticity in all the estimated equations.
Bertucci, Luiz Alberto +3 more
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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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Does the Conditional CAPM Work? Evidence from the Istanbul Stock Exchange [PDF]
This paper tests whether the conditional CAPM accurately prices assets utilizing data from the Istanbul Stock Exchange (ISE) over the time period from February 1997 to April 2008. In our empirical analysis, we closely follow the methodology introduced in
Nuri Ersahin, Atakan Yalcýn
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GMM and present value test of the C-CAPM under transactions costs: Evidence from the UK stock market [PDF]
, 2003 In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK stock market over the time period of 1980-2000. Two econometric models are used; first, Fisher’s (1994) asset pricing model is estimated by GMM, and ...
Ioannidis, C, Gregoriou, A
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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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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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Interest Term Premiums and C-CAPM: A Test of a Parsimonious Model [PDF]
This paper proposes a consumption-based model that accounts for term premiums of the nominal term structure of interest rates. The driving force behind the model is the looking at the ex ante term premium.
Jessica Fouilloux +1 more
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CAPM condicional: impacto da idade da empresa e da inovação na volatilidade do mercado na precificação de ativos financeiros no Brasil [PDF]
, 2016 openaire +1 more source