Results 131 to 140 of about 44,329 (240)
Equity Premium: - Does it exist? Evidence from Germany and United Kingdom [PDF]
Malkiel and Xu (1997) state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns.
Madhu Veeraraghavan +3 more
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Evaluating the Specification Errors of Asset Pricing Models [PDF]
This paper examines the specification errors of several asset pricing models using the methodology of Hansen and Jagannathan (1997) and a common data set.
Robert J. Hodrick, Xiaoyan Zhang
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Contextualist model evaluation: models in financial economics and index funds. [PDF]
Eur J Philos Sci, 2023 Vergara-Fernández M +2 more
europepmc +1 more source
Undiversifiable Returns in a CAPM Economy [PDF]
The effects of endogenous undiversifiable investment and market structure changes on security pricing are analyzed within the GEI-CAPM (General Equilibrium with Incomplete Markets Capital Asset Pricing Model).
Claude Wampach, Peghe Braila
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Ingeniare: Revista Chilena de Ingeniería, 2012 El modelo de valoración de activos de capital (Capital Asset Pricing Model - CAPM) es uno de los modelos más utilizados en la práctica para determinar el premio por riesgo de un activo individual o cartera.
Carlos A Díaz Contreras +1 more
doaj
Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior [PDF]
This paper studies the ability of a general class of habit-based asset pricing models to match the conditional moment restrictions implied by asset pricing theory.
Sydney C. Ludvigson, Xiaohong Chen
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Human capital-based four-factor asset pricing model: An empirical study from Pakistan. [PDF]
Heliyon, 2023 Khan N, Zada H, Ahmed S, Shah FA, Jan S.
europepmc +1 more source
A Cross Section of Equity Returns: The No-Arbitrage Test [PDF]
We propose a new test based on the no-arbitrage condition that compares cross-sectional variation in equity returns to the cross-sectional variation in their conditional covariance with the discount factors.
Michael R. Wickens +2 more
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A multifactor consumption based asset pricing model of the UK stock market: The US stock market as a wealth reference [PDF]
, 2009 Here a multifactor model of UK stock returns is developed, replacing the conventional consumption habit reference by a relation that depends on US wealth.
Hunter, J, Wu, F
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The stable long-run CAPM and the cross-section of expected returns [PDF]
The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical results regarding
Kim, Jeong-Ryeol
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