Results 131 to 140 of about 284 (173)

Testing the conditional CAPM using multivariate GARCH-M

Applied Financial Economics, 1998
The relation between expected return and time varying risk on the Swedish stock market for the period 1977 to 1990 is examined. Using a parsimonious multivariate GARCH-M model, the conditional Sharpe - Lintner - Mossin CAPM is tested against six alternative hypotheses, including the zero-beta version of CAPM, a conditional residual risk model, and ...
Bjorn Hansson, Peter Hordahl
openaire   +1 more source

Conditional CAPM and an Application on the ISE [PDF]

Istanbul Stock Exchange Review, 2002
In the empirical studies carried out on standard CAPM, widely used in finance literature, it has been argued that static CAPM could not entirely explain the portfolio returns. One of the assumptions for one period application is that the beta coefficients of assets are assumed to be constant over time.
Yalcin Karatepe, Elif Karaaslan, Fazil Gokgoz   +2 more
openaire  

Conditional Downside Risk and the CAPM

2004
The mean-semivariance CAPM strongly outperforms the traditional mean-variance CAPM in terms of its ability to explain the cross-section of US stock returns. If regular beta is replaced by downside beta, the traditional risk-return relationship is restored. The downside betas of low-beta stocks are substantially higher than the regular betas, while high-
Post, GT (Thierry), van Vliet, WN (Pim)
openaire   +2 more sources

On the Distributional Conditions for a Consumption-Oriented Three Moment CAPM

The Journal of Finance, 1983
ABSTRACTIn this paper, we develop sufficient conditions on probability distributions for a three moment (mean, variance, and skewness) consumption‐oriented capital asset pricing model (CAPM) to price correctly a subset of assets. The assumptions that individuals in an allocationally efficient capital market have identical probability beliefs and ...
Kraus, Alan, Litzenberger, Robert
openaire   +1 more source

Conditions for a CAPM equilibrium with positive prices

Journal of Economic Theory, 2007
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +1 more source

A conditional CAPM: implications for systematic risk estimation

The Journal of Risk Finance, 2011
PurposeThe purpose of this paper is to examine, whether or not, the residuals of the market model (MM) are conditionally heteroscedastic; to examine, whether or not, there exists an intervalling effect in conditional heteroscedasticity in the residuals of the MM; to propose a simple data‐driven conditional capital asset pricing model (CAPM); and to ...
openaire   +1 more source

Estimation Risk, Information, and the Conditional CAPM: Theory and Evidence

Review of Financial Studies, 2008
We theoretically and empirically investigate the role of information on the cross section of stock returns and firms' cost of capital when investors face estimation risk and learn from noisy signals of uncertain quality. The resultant equilibrium is an information-dependent conditional CAPM. We find strong empirical support for the model.
Praveen Kumar, Sorin M. Sorescu, Rodney D. Boehme, Bartley R. Danielsen   +3 more
openaire   +2 more sources

Testing the Conditional CAPM and the Effect of Intervaling

2017
Traditional tests of asset pricing undertaken within the CAPM framework have provided mixed results. One explanation for the supposed failure of the model is its inability to account for temporal dependence in unconditional residuals which can be induced by time-variation in volatility.
Brailsford, Timothy J., Faff, Robert W.
openaire   +1 more source

The Robustness of the Conditional CAPM with Human Capital

Journal of Financial Econometrics, 2003
An empirical evaluation is provided of the robustness of the conditional capital asset pricing model (CAPM) with human capital to explain the cross-sectional variability of security returns. This model has been evaluated in the literature using the growth rate in per capita labor income.
openaire   +1 more source

Rethinking the Conditional CAPM: The Impact of Financial Leverage

SSRN Electronic Journal, 2009
In a framework in which the equity beta is decomposed into leverage and the beta of assets, this paper shows empirically the impact of financial leverage on the conditional CAPM. A firm's asset beta is estimated using asset returns constructed from market data not only on equity, but also on corporate bonds and loans.
openaire   +1 more source