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
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Testing and comparing conditional CAPM with a new approach in the cross-sectional framework [PDF]
, 2014 This study examines the conditional relationship between beta and return for stocks traded on S&P 500 for the period from July 2001 to June 2011. The portfolios formed based on the Book value per share and betas using monthly data.
Petros Messis +2 more
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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.
Vasco Vendrame +2 more
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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
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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
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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
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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
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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.
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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
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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. Method: we rigorously translated and validated the questionnaire
Cristiane Benetti +2 more
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