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
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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
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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
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Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility [PDF]
Journal of Econometric Methods, 2020 Abstract Based on the maximum entropy (ME) method, we introduce an information theoretic approach to estimating conditional moment functions with incorporating a theoretical constraint implied from the consumption-based capital asset pricing model (CCAPM).
Lee, Tae-Hwy +2 more
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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
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The Consumption-Based Capital Asset Pricing Model [PDF]
Econometrica, 1989 The paper provides conditions on the primitives of a continuous-time economy under which there exist equilibria obeying the Consumption-Based Capital Asset Pricing Model (CCAPM). The paper also extends the equilibrium characterization of interest rates of Cox, Ingersoll, and Ross (1985) to multi-agent economies.
Duffie, Darrell, Zame, William
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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
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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
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Sentiment as a Risk Factor in Capital Markets: An Analysis of the Tehran Stock Exchange Within the Stochastic Discount Factor (SDF) Framework [PDF]
فصلنامه پژوهشهای اقتصادی ایرانThe current study examined the influence of sentiment as a key risk factor in capital markets, which contributes to behavioral deviations in the pricing of financial assets. The stochastic discount factor (SDF) framework was used to propose an estimation
Reza Taleblou +1 more
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Modern Economics & Management Forum, 2021 Recently, the Capital Asset Pricing Model has been widely used in the stock market. The traditional Capital Asset Pricing Model has been revised and expanded to the Consumption-based Capital Asset Model. This article does the research in the following ways. Firstly, this article summarizes the Capital Asset Pricing Model and empirical method. Secondly,
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