Results 51 to 60 of about 26,534 (73)

Testing CAPM model and creating optimal portfolios

, 2013
A dolgozatom központi témája a Markowitz-i portfolió elmélet és az ezen alapuló tőkepiaci árazási modell mélyebb megismerése és gyakorlati alkalmazásának tesztelése.
Göblyös, Anna Edina
core  

Análise comparativa dos modelos CAPM tradicional e condicional : um estudo de caso do clube de investimento AIVALE [PDF]

, 2009
The Model for Pricing of Financial Assets CAPM compares or correlates the returns of individual action with the returns of the market by risk index called Beta.
Barbosa, Claudio Alan de Melo
core  

CAPM tests and alternative factor portfolio composition: getting the alphas right. [PDF]

We show that the results of a CAPM test are quite sensitive to the details of the test design. Especially crucial are the aspects related to the weight one gives to small, low-reputation stocks when constructing both the factor portfolios and the test or
De Moor, Lieven, Sercu, Piet
core   +2 more sources

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, Hubert De La Bruslerie   +1 more
core  

CAPM and APT: an empirical verification on the USA market

reservedIl presente elaborato ha lo scopo di fornire un ulteriore prova empirica di due modelli fondamentali per la determinazione del rendimento di un titolo: il Capital Asset Pricing Model (CAPM) e l'Arbitrage Pricing Theory (APT).
VETTORE, DARIO
core  

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A conditional higher-moment CAPM

International Review of Financial Analysis, 2023
Cherif Guermat, Jon Tucker
exaly  

CAPM condicional com aprendizagem aplicado ao mercado brasileiro de ações

Revista De Administracao Mackenzie, 2013
João Henrique Gonçalves Mazzeu
exaly  

O CAPM e o CAPM condicional na precificação de índices acionários: evidências de mudanças nos coeficientes estimados de 2005 a 2008

Revista De Administracao Mackenzie, 2012
Wendel Alex Castro Silva
exaly  

A conditional regime switching CAPM

International Review of Financial Analysis, 2018
Cherif Guermat, Jon Tucker
exaly  

The CAPM strikes back? An equilibrium model with disasters

Journal of Financial Economics, 2019
Erica X N Li, Kewei Hou, Hang Bai
exaly