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]
Journal of Economic Bussines and Accounting (COSTING), 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.
Yetti Afrida Indra
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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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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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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
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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
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Economic Evaluation for Optimal Allocation of Flared Associated Natural Gas Production in Iranian Oil Fields [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2016 Iran is flaring about 30 million cubic meters of associated gas per day in onshore oil fields. Suboptimality of economic extraction and production of exhaustible natural resources pawn the national benefits.
Ali Faridzad +2 more
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WEATHER DERIVATIVES: THE MOST COMMON PRICING AND VALUATION METHODS [PDF]
Annals of the University of Oradea: Economic Science, 2013 In recent years , weather derivatives have become a common tool in risk management for many sectors. This has its roots in that there is no unique way to determine de value and price solutions that would be generally approved by market-participants, like
Botos Horia Mircea, , ,
doaj
MathematicsThis paper proposes a novel robustness framework for studying the unit elasticity of intertemporal substitution (EIS) assumption based on the Perron-Frobenius sieve estimation model by Christensen, 2017. The sieve nonparametric decomposition is a central
Huarui Jing
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Cogent Economics & FinanceThis paper applies the newly suggested Markov chained Monte Carlo Surface Sampling Algorithm of Zappa estimating European discount factors and relative risk aversions for the CRRA utility functions based on the consumption capital asset pricing model ...
Per Bjarte Solibakke
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Reference-Dependent Asset Pricing with a Stochastic Consumption-Dividend Ratio [PDF]
Social Science Research NetworkWe study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from current ...
Luca De Gennaro Aquino +3 more
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