Results 11 to 20 of about 44,329 (240)
RETRACTED: Entropy-based financial asset pricing: Evidence from Pakistan.
PLoS ONE, 2022 Entropy is an alternative measure to calculate the risk, simplify the portfolios and equity risk premium. It has higher explanatory power than capital asset price model (CAPM) beta.
Sheng Wang +4 more
doaj +2 more sources
Extending the CAPM model [PDF]
, 2004 This paper extends the well known Capital Asset Pricing Model by Sharpe and Lintner to a multi-period context with possibly price dependent preferences.
Bas Donkers, Hendri Adriaens
core +1 more source
Capital Asset Pricing Model (CAPM) with drawdown measure
European Journal of Operational Research, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zabarankin, Michael +2 more
openaire +4 more sources
Evidence for and against the validity of the capital asset Pricing model [PDF]
Tehnika, 2022 The Capital Asset Pricing Model (CAPM) makes a significant contribution to understanding the relationship between return and risk and valuing assets in the capital market.
Leković Miljan M.
doaj +1 more source
Empirical Test of the Relationship between Consumption and Capital Asset Pricing in Tehran Stock Exchange [PDF]
مجله توسعه و سرمایه, 2021 Objective: The purpose of this paper is to derive a better criterion for systematic risk and to develop a closer relationship between the capital market and basic economic concepts and to explain the relationship between risk and return and pricing of ...
Shahrooz Pourfard, Behrooz Pourfard
doaj +1 more source
Modelling Sustainable Investing in the CAPM
SSRN Electronic Journal, 2023 AbstractEmpirical studies investigate various causes and effects of sustainable investments. While some attempts have been made to describe the results found by theoretical models, these are relatively complex and heterogeneous. We relate to existing studies and use a parsimonious Capital Asset Pricing Model (CAPM) in which we model different aspects ...
Hens, Thorsten, Trutwin, Ester
openaire +1 more source
Testing for Asset Pricing Model based on Sentiment Indexes: SAPM Model [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2022 The purpose of this article is to investigate the effect of behavioral deviations on the pricing of financial assets with the assumption that sentiment is an important and relevant risk factor in the Iranian capital market.
Reza Talebloo +2 more
doaj +1 more source
Multifactor risk models and heterotic CAPM [PDF]
The Journal of Investment Strategies, 2016 49 pages; one reference updated; to appear in The Journal of Investment Strategies.
Kakushadze, Zura, Yu, Willie
openaire +2 more sources
Jurnal Aplikasi Manajemen, 2020 This study determines the accuracy level of CAPM and APT in determining the expected return of LQ45 and comparing the expected return from CAPM and APT models. This study uses descriptive and comparative research approaches.
Irni Yunita +2 more
doaj +1 more source
Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments [PDF]
, 2007 Many tests of asset-pricing models address only the pricing predictions, but these pricing predictions rest on portfolio choice predictions that seem obviously wrong.
Bossaerts, Peter +2 more
core +2 more sources