Results 121 to 130 of about 44,329 (240)
On CAPM and Black-Scholes, differing risk-return strategies [PDF]
In their path-finding 1973 paper Black and Scholes presented two separate derivations of their famous option pricing partial differential equation (pde).
Gunaratne, Gemunu H. +1 more
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A Test of International CAPM [PDF]
We propose and implement a Wald test of the international capital asset pricing model. Ex post asset returns are regressed on asset supplies. CAPM requires that the matrix of coefficients from a regression of n rates of return on n asset supply shares be
Anthony P. Rodrigues, Charles Engel
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Non-standardized form of CAPM and stock returns [PDF]
, 2012 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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RAE: Revista de Administração de Empresas, 2010 Nas últimas décadas, o modelo Capital Asset Pricing Model (CAPM) tem despertado grande interesse por parte da comunidadecientífica. Apesar das críticas, o aprimoramento do CAPM estático deu origem a novos modelos dinâmicos que trazem maiorsegurança para ...
Paulo N. Figueiredo, Eduardo C. Miranda
doaj
Autoregressive multifactor APT model for U.S. Equity Markets [PDF]
Arbitrage Pricing Theory is a one period asset pricing model used to predict equity returns based on a multivariate linear regression. We choose three sets of factors – Market specific, firm specific, and an autoregressive return term to explain returns ...
Malhotra, Karan
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RISK ANALYSIS OF INVESTMENTS IN MUTUAL FUNDS [PDF]
Krymskij Naučnyj Vestnik, 2015 Increase in mutual funds’ popularity makes problem of determination of factors, which influence on investor’s decision up-to-date. Investors usually pay more attention to risk factors and future return based on CAPM or any other model. Aim of this paper
Eduard Dadyan
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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.
Carl Chiarella +2 more
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I-Finance, 2015 The aim of this research is to recognize the accuracy of CAPM and APT models in predicting the stock return of rural stocks and conventional stock at Jakarta Islamic Index. Variable of this research are JII stock return, Beta, Risk free, Market return,
Lemiyana Lemiyana
doaj
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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The value of coskewness in evaluating mutual funds [PDF]
, 2008 Recent asset pricing studies demonstrate the relevance of incorporating the coskewness in Asset Pricing Models, and illustrate how this component helps to explain the time variation of ex-ante market risk premiums.
Moreno, David, Rodríguez, Rosa
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