Empirical Test of the Relationship between Consumption and Capital Asset Pricing in Tehran Stock Exchange [PDF]
مجله توسعه و سرمایه, 2021 Objective: The purpose of this paper is to derive a better criterion for systematic risk and to develop a closer relationship between the capital market and basic economic concepts and to explain the relationship between risk and return and pricing of ...
Shahrooz Pourfard, Behrooz Pourfard
doaj +1 more source
Developing Q-factor and Adjusted Q-factor Pricing Models by the Expected Investment Growth Factor using an Expected Return Factor [PDF]
تحقیقات مالی, 2022 Objective: Identifying the correct asset pricing model has long been an important topic in the thematic literature of financial economics. Such a model not only explains stock returns but also increases the ability to predict abnormal returns.
Sanaz Aalamifar +2 more
doaj +1 more source
Real Economy Effects on Consumption-Based CAPM
Mathematics, 2022 The consumption-based capital asset pricing model (CCAPM) is an attractive research field in finance, and extant studies have examined the impacts of different factors towards traditional CCAPM, intending to improve the model from the practical ...
Dandan Zheng +3 more
doaj +1 more source
Croatian Economic Survey, 2018 This paper examines the stochastic implications of permanent income hypothesis for speculative prices from a sample of economic data from 1967 to 2017 in the United States.
Chamil W. Senarathne, Wei Jianguo
doaj +1 more source
Asset Pricing with a Reference Level of Consumption : New Evidence from the Cross-Section of Stock Returns [PDF]
, 2006 [Überarbeitete Version, ursprünglicher Titel: Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns] This paper presents an empirical evaluation of recently proposed asset pricing models which extend
Grammig, Joachim, Schrimpf, Andreas
core +1 more source
Estimating the effect of money illusion on the utility function of Iranian households: with Euler equations and GMM approach [PDF]
سیاستگذاری اقتصادیPurpose: Extensive evidence shows that consumption-based asset pricing models (CCAPM) proposed by Lucas (1978) and Breeden (1979) have failed to explain average stock returns in cross-sectional data.
Reza Roshan
doaj +1 more source
Perbandingan Keakuratan Metode Capital Asset Pricing Model dan Arbitrage Pricing Theory dalam Memprediksi Return Saham (Studi pada Perusahaan Sektor Barang Konsumsi dan Sektor Pertambangan yang Terdaftar di Indeks Saham Syariah Indonesia (ISSI) Peri [PDF]
, 2018 CAPM is a balance model that can determine the risks and returns that investors will gain. Under the CAPM, the level of risk and the appropriate rate of return has a positive and linear relationship.
Indra, Y. A. (Yetti)
core +2 more sources
Comparing of the Efficiency of Capital Asset Pricing Model (CAPM) and Consumption-based Capital Asset Pricing Model (CCAPM) in Tehran Stock Exchange (TSE) [PDF]
مطالعات تجربی حسابداری مالی, 2010 The relation between risk and return, and capital asset pricing is the most basic topics in capital market. Capital Asset Pricing Model (CAPM) was suggested by Lintner and Sharpe in 1965 and has been reformed and criticized since.
F. Rostamian, Sh. Javanbakht
doaj
An analysis of Iran banking system balance sheet insolvency and its impact on economic growth using A DSGE model [PDF]
سیاستگذاری اقتصادیPurpose: Pricing The structure of Iranian financial systems is based on banking loans and credits. For this reason, Iranian commercial banks maintain the monopoly over supplying credits to various sectors.
Hasan Chenarani +3 more
doaj +1 more source
Optimal multi-period consumption and investment with short-sale constraints [PDF]
, 2014 Cataloged from PDF version of article.This article examines agents’ consumption-investment problem in a multi-period pure exchange economy where agents are constrained with the short-sale of state-dependent risky contingent claims.
Altay Salih, A. +2 more
core +1 more source