Results 11 to 20 of about 1,026,011 (234)

Stock Return Prediction based on a Functional Capital Asset Pricing Model [PDF]

arXiv
The capital asset pricing model (CAPM) is readily used to capture a linear relationship between the daily returns of an asset and a market index. We extend this model to an intraday high-frequency setting by proposing a functional CAPM estimation approach.
Ufuk Beyaztas, Kaiying Ji, Han Lin Shang, Eliza Wu   +3 more
arxiv   +2 more sources

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, Abdollah Khani, Hadi Amiri   +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, Shusheng Ding, Tianxiang Cui, Huan Jin   +3 more
doaj   +1 more source

The Stochastic Implications of Permanent Income Hypothesis for US Speculative Traders: Implications for Consumption-Based Asset Pricing

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

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

Physica 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]

, 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]

arXiv, 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]

PLoS 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]

FUOYE 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