Asset pricing in global scenario: a bibliometric analysis [PDF]
IIM Ranchi Journal of Management Studies, 2023 Purpose – This study aims to organise and present the development of asset pricing models in the international environment. The stock market integration and cross-listing lead us to another objective of bibliometric analysis for “International Asset ...
Aditya Keshari, Amit Gautam
doaj +1 more source
Analysis of Conditional Capital Asset Pricing Model with Time Variant Beta using Standard Capital Asset Pricing Model [PDF]
تحقیقات مالی, 2018 Objective: The aim of the present study is to analyze and test the power of Conditional Capital Asset Pricing Model (CAPM) with Time Variant Beta against Standard Capital Asset Pricing Model to find the better model to explain expected return of stocks ...
Saeed Fallahpour +2 more
doaj +1 more source
A Comparison between the Performance of Standard Capital Asset Pricing Model and Capital Asset Pricing Model Based on Symmetric and Asymmetric Conditional Heteroscedasticity in Tehran Stock Exchange [PDF]
تحقیقات مالی, 2017 The capital asset pricing model has been one of the most prevalent models in assessing investors’ expected rate of return. Provided that it is likely that the residuals of the estimated regression of this model resemble conditional heteroscedasticity ...
Reza Raei, Mahdi Asima
doaj +1 more source
Conditional selectivity performance of Indian mutual fund schemes: An empirical study [PDF]
Management Science Letters, 2015 The present study seeks to examine the stock-selection performance of the sample open-ended equity mutual fund schemes of Birla Sun Life Mutual Fund Company based on traditional and conditional performance measures.
Subrata Roy
doaj +1 more source
A wavelet approach of investing behaviors and their effects on risk exposures
Financial Innovation, 2021 Exposure to market risk is a core objective of the Capital Asset Pricing Model (CAPM) with a focus on systematic risk. However, traditional OLS Beta model estimations (Ordinary Least Squares) are plagued with several statistical issues.
Roman Mestre
doaj +1 more source
Another look at the CAPM in South Africa: The influence of bull and bear markets
Journal of Economic and Financial Sciences, 2014 Several studies of the Capital Asset Pricing Model (CAPM) in South Africa find that beta cannot explain returns. However, these studies do not consider the effect of bull and bear markets, yet over the period 1995-2009, excess market returns were ...
Ailie Charteris
doaj +1 more source
Open issues in testing liquidity in frontier financial markets: The case of Serbia [PDF]
Ekonomski Anali, 2010 This paper examines the impact of illiquidity and liquidity risk on expected asset returns in the Serbian stock market. For this market we estimate the conditional Liquidity-adjusted Capital Asset Pricing Model (LCAPM) of Acharya and Pedersen (2005).
Minović Jelena Z., Živković Boško R.
doaj +1 more source
International Journal of Financial Studies, 2017 In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables.
André Ricardo de Pinho Ronzani +2 more
doaj +1 more source
Assessing Discount Rate for a Project Financed Entirely with Equity Capital [PDF]
Theoretical and Applied Economics, 2007 Estimating discount rate for an investment project is one of the most challenging tasks incapital budgeting. In this paper we discuss different kind of models for cost of equity capital proposed infinance literature (static CAPM, conditional CAPM, APT ...
Nicoleta Vintila
doaj +1 more source
The Risk and Return Relations: New Evidence from Pakistani Stock Market
Journal of Accounting and Finance in Emerging Economies, 2021 In this study, we try to answer several empirical questions related to testing of asset pricing models in Pakistan. First, we test the assumptions of capital asset pricing model (CAPM) using cross-sectional regression methodology of Fama and MacBeth (FMB)
Syed Hamid Ali Shah +3 more
doaj