Results 1 to 10 of about 994,359 (25)

Defining an intrinsic stickiness parameter of stock price returns [PDF]

open access: yesPhysica A (2020), 2020
We introduce a non linear pricing model of individual stock returns that defines a stickiness parameter of the returns. The pricing model resembles the capital asset pricing model used in finance but has a non linear component inspired from models of earth quake tectonic plate movements.
arxiv   +1 more source

Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences [PDF]

open access: yes, 2020
Although the CML (Capital Market Line), the Intertemporal-CAPM, the CAPM/SML (Security Market Line) and the Intertemporal Arbitrage Pricing Theory (IAPT) are widely used in portfolio management, valuation and capital markets financing; these theories are inaccurate and can adversely affect risk management and portfolio management processes.
arxiv   +1 more source

An Empirical Study of Capital Asset Pricing Model based on Chinese A-share Trading Data [PDF]

open access: yesarXiv, 2023
This paper presents an empirical analysis of the capital asset pricing model using trading data for the Chinese A-share market from 2000 to 2019. Firstly, the standard CAPM is tested using a Fama-MacBetch regression and although the results successfully test the three core hypotheses, the resulting beta risk does not have a significant impact on ...
arxiv  

Entropy-Based Financial Asset Pricing [PDF]

open access: yesPLoS ONE 9(12): e115742, 2015
We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing model. For asset pricing we define the continuous entropy as an alternative measure of risk. Our results show that
arxiv   +1 more source

Capital Market Performance and Macroeconomic Dynamics in Nigeria [PDF]

open access: yesFUOYE Journal of Finance and Contemporary Issues Vol 1, Issue 1, 2021, 38-48, 2022
The study examined the relationship between capital market performance and the macroeconomic dynamics in Nigeria, and it utilized secondary data spanning 1993 to 2020. The data was analyzed using vector error correction model (VECM) technology. The result revealed a significant long run relationship between capital market performance and macroeconomic ...
arxiv  

A six-factor asset pricing model [PDF]

open access: yes, 2018
The present study introduce the human capital component to the Fama and French five-factor model proposing an equilibrium six-factor asset pricing model. The study employs an aggregate of four sets of portfolios mimicking size and industry with varying dimensions. The first set consists of three set of six portfolios each sorted on size to B/M, size to
arxiv   +1 more source

Asset Prices and Capital Share Risks: Theory and Evidence [PDF]

open access: yesarXiv, 2020
An asset pricing model using long-run capital share growth risk has recently been found to successfully explain U.S. stock returns. Our paper adopts a recursive preference utility framework to derive an heterogeneous asset pricing model with capital share risks.While modeling capital share risks, we account for the elevated consumption volatility of ...
arxiv  

Inside Money, Procyclical Leverage, and Banking Catastrophes [PDF]

open access: yesPLoS ONE 9(8): e104219, 2014
We explore a model of the interaction between banks and outside investors in which the ability of banks to issue inside money (short-term liabilities believed to be convertible into currency at par) can generate a collapse in asset prices and widespread bank insolvency.
arxiv   +1 more source

Capital growth and survival strategies in a market with endogenous prices [PDF]

open access: yesarXiv, 2021
We call an investment strategy survival, if an agent who uses it maintains a non-vanishing share of market wealth over the infinite time horizon. In a discrete-time multi-agent model with endogenous asset prices determined through a short-run equilibrium of supply and demand, we show that a survival strategy can be constructed as follows: an agent ...
arxiv  

A simplified Capital Asset Pricing Model [PDF]

open access: yesarXiv, 2011
We consider a Black-Scholes market in which a number of stocks and an index are traded. The simplified Capital Asset Pricing Model is the conjunction of the usual Capital Asset Pricing Model, or CAPM, and the statement that the appreciation rate of the index is equal to its squared volatility plus the interest rate.
arxiv  

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