Results 11 to 20 of about 343,694 (202)
A Conditional Higher-Moment CAPM [PDF]
International Review of Financial Analysis, 2022 This paper investigates whether dynamic and moment extensions to the traditional CAPM can improve its empirical performance and offer some alternative explanation to the cross-section of average returns on portfolios of stocks double sorted on book-to ...
Vasco Vendrame +2 more
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The Conditional CAPM Does Not Explain Asset-Pricing Anomalies [PDF]
Journal of Financial Economics, 2003 Recent studies suggest that the conditional CAPM might hold, period-by-period, and that time-varying betas can explain the failures of the simple, unconditional CAPM. We argue, however, that variation in betas and expected returns would have to be implausibly large to explain important asset-pricing anomalies, like book-to-market and momentum.
LEWELLEN, JONATHAN, NAGEL, STEFAN
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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-
Post, GT (Thierry), van Vliet, WN (Pim)
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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
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CONDITIONAL CAPM MODEL APPLIED TO AI (NEURAL NETWORKS) [PDF]
Journal of Law and Sustainable DevelopmentObjective: The objective of this study is to present the conditional CAPM model, discussing its relevance in light of criticisms of the static CAPM, with a focus on the greater security it provides to investors throughout the business cycle. Theoretical Framework: The research is grounded in the fundamentals of CAPM and its static versions, as well ...
Tambosi Filho, Elmo
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A non-parametric test of the conditional capm for the Mexican economy
Estudios Económicos, 2006 Se han sugerido muchos modelos para describir cómo los inversionistas valúan flujos de efectivo riesgosos. El más usado es el Modelo de Valuación de Activos de Capital (CAPM por sus siglas en inglés) de Sharpe-Lintner-Black.
Jorge H . del Castillo-Spíndola
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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 ...
Alexandros Milionis
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Observable Implications of the Conditional CAPM [PDF]
SSRN Electronic Journal, 2020 The derivation of observable implications of the conditional CAPM theory often includes the joint (internally inconsistent) hypothesis that the stock portfolio used in the tests is the theoretical, mean-variance efficient, market portfolio. The present paper generalizes this derivation by avoiding this joint hypothesis.
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An Empirical Examination of Conditional Four-Moment CAPM and APT Pre-Specified Macroeconomic Variables with Market Liquidity in Arab Stocks Markets [PDF]
This thesis empirically examined conditional four-moment CAPM and APT pre-specified macroeconomic variables with market liquidity in four Arab stock markets, namely Jordan, Morocco, Tunisia and Kuwait over a period extended from January 1998 to December ...
Ali, Abubaker Ali
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Financial Management in Practice: Analysis of Brazilian Survey Data
RAC: Revista de Administração Contemporânea, 2021 Objective: this article replicates in Brazil a survey — previously applied in North America and Europe — to inquire CFOs about the cost of capital, capital budgeting, and capital structure.
Cristiane Benetti +2 more
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