Results 151 to 160 of about 343,694 (202)
Vulnerability Analysis Method Based on Network and Copula Entropy. [PDF]
Entropy (Basel)Chen M, Liu J, Zhang N, Zheng Y.
europepmc +1 more source
A Conditional Regime Switching CAPM [PDF]
International Review of Financial Analysis, 2018 Abstract The standard Capital Asset Pricing Model (CAPM) is simple, intuitive, and grounded in sound economic theory. Yet, almost half a century's worth of empirical testing has so far failed to demonstrate its relevance. One major reason given for the CAPM's empirical failure is that beta is not the sole measure of systematic risk.
Cherif Guermat +2 more
exaly +4 more sources
Some of the next articles are maybe not open access.
Related searches:
Related searches:
Explaining the Failure of the Unconditional CAPM With the Conditional CAPM
Management Science, 2023When the cost of hedging is nil, the conditional capital asset pricing model (CAPM) holds. We empirically test the conditional CAPM by regressing asset returns onto the product of their conditional betas and market returns. Estimated intercepts are not statistically different from zero, implying that the conditional CAPM successfully explains the ...
Michael Hasler, Charles Martineau
exaly +3 more sources
The Conditional CAPM and the Cross-Section of Expected Returns
Journal of Finance, 1996 ABSTRACTMost empirical studies of the static CAPM assume that betas remain constant over time and that the return on the value‐weighted portfolio of all stocks is a proxy for the return on aggregate wealth. The general consensus is that the static CAPM is unable to explain satisfactorily the cross‐section of average returns on stocks.
Zhenyu Wang, Ravi Jagannathan
exaly +6 more sources
Patent Thickets, Stock Returns, and Conditional CAPM
Management Science, 2022Patent thickets, a phenomenon of fragmented ownership of overlapping patent rights, hamper firms’ commercialization of patents and thus deliver asset pricing implications. We show that firms with deeper patent thickets are involved in more patent litigations, launch fewer new products, and become less profitable in the future.
Po-Hsuan Hsu, Hsiao-Hui Lee, Tong Zhou
exaly +3 more sources
A conditional CAPM: implications for the estimation of systematic risk [PDF]
SSRN Electronic Journal, 2011 The purpose of this paper is to examine: (i) whether or not, the residuals of the Market Model are conditionally heteroscedastic; (ii) whether or not, there exists an intervalling effect in conditional heteroscedasticity in the residuals of the Market Model; (iii) the effect of conditional heteroscedasticity on the estimation of systematic risk.; as ...
Alexandros E. Milionis +1 more
openaire +1 more source
Contribution to the Valuation of BRVM’s Assets: A Conditional CAPM Approach [PDF]
Journal of Risk and Financial Management, 2019 The conditional capital asset pricing model (CAPM) theory postulates that the systematic risk ( β ) of an asset or portfolio varies over time. Several dynamics are thus given to systematic risk in the literature. This article looks for the dynamic that seems to best explain the returns of the assets of the Regional Stock Exchange of West Africa ...
Ismael ASSANI
exaly +3 more sources
Testing the Conditional CAPM and the Effect of Intervaling: A Note
Pacific-Basin Finance Journal, 1997Traditional 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.
Robert W. Faff, Timothy J Brailsford
exaly +4 more sources