Results 11 to 20 of about 13,953 (241)
The Conditional CAPM and the Cross-Section of Expected Returns
The 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.
Ravi Jagannathan, Zhenyu Wang
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Emerging Markets and the Conditional CAPM
, 2019 Emerging Market equity returns have proved challenging to model using conventional statistical tools. In this paper we use the conditional capital asset pricing model (CCAPM) together with an explicit expectations structure to arrive at a framework which can be easily estimated.
M. F. Ahmed, Stephen Satchell
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Conditional CAPM Using Expected Returns of Brazilian Sustainability Companies
Theoretical Economics Letters, 2018 In the last decades, CAPM model has been of great interest in the scientific scene. Despite all the criticism, the improvement of the static CAPM, which has generated new dynamic models, provided investors with stronger guarantee through financial transactions.
Elmo Tambosi Filho
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Conditional CAPM Relationships in Standard and Accounting Risk Approaches
The North American Journal of Economics and Finance, 2023 Anna Rutkowska-Ziarko +2 more
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Conditional Downside Risk and the CAPM [PDF]
, 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-
Thierry Post, Pim van Vliet
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REGE Revista de Gestão, 2007 Nas últimas décadas, o modelo CAPM tem despertado grande interesse na comunidade científica. Apesar das críticas, o aprimoramento do CAPM estático, que dá origem a novos modelos dinâmicos, traz maior segurança para o investidor ao longo do ciclo de ...
Elmo Tambosi Filho +2 more
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The Conditional CAPM, Cross-Section Returns and Stochastic Volatility [PDF]
, 2013 Bansal and Yaron (2004) demonstrate, by calibration, that the Consumption-Based Capital Asset Pricing Model (CCAPM) can be rescued by assuming that consumption growth rate follows a stochastic volatility model. They show that the conditional equity premium is a linear function of conditional consumption and market return volatilities, which can be ...
Ka Wai Terence Fung +2 more
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The Conditional Beta in the CAPM
SSRN Electronic Journal, 2017 Fabrizio Di Sciorio
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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
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The Conditional CAPM Does Not Explain Asset-Pricing Anomalies
CFA Digest, 2007 C. Mitchell Conover
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