Results 1 to 10 of about 6,611 (148)
International Journal of Financial Studies, 2017 In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables.
André Ricardo de Pinho Ronzani +2 more
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Assessing Discount Rate for a Project Financed Entirely with Equity Capital [PDF]
Theoretical and Applied Economics, 2007 Estimating discount rate for an investment project is one of the most challenging tasks incapital budgeting. In this paper we discuss different kind of models for cost of equity capital proposed infinance literature (static CAPM, conditional CAPM, APT ...
Nicoleta Vintila
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Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments [PDF]
, 2007 Many tests of asset-pricing models address only the pricing predictions, but these pricing predictions rest on portfolio choice predictions that seem obviously wrong.
Bossaerts, Peter +2 more
core +4 more sources
Australasian Accounting, Business and Finance Journal, 2015 Despite the capital asset pricing model being one of the most influential models in modern portfolio theory, it has also been a victim of criticism in numerous academic papers. Its assumptions which seem to be rather unrealistic, have caused many academics to improve the model by relaxing some of its restrictive statements. In this journal article, we
Mazzola, Paul, Gerace, Dionigi
openaire +3 more sources
LEVERAGE, COST OF CAPITAL AND BANK VALUATION
Journal of Financial Management, Markets and Institutions, 2018 In this paper, we present a model that demonstrates the effect of debt on cost of capital and value in the case of banking firms. Using a static partial equilibrium setting, both in a steady state and steady growth scenario, we derive a bank-specific ...
FEDERICO BELTRAME +2 more
doaj +1 more source
The optimal use of return predictability : an empirical study [PDF]
, 2011 In this paper we study the economic value and statistical significance of asset return predictability, based on a wide range of commonly used predictive variables.
Abhay Abhyankar +3 more
core +2 more sources
Portfolio Theory for α-Symmetric and Pseudoisotropic Distributions: k-Fund Separation and the CAPM
Journal of Probability and Statistics, 2015 The shifted pseudoisotropic multivariate distributions are shown to satisfy Ross’ stochastic dominance criterion for two-fund monetary separation in the case with risk-free investment opportunity and furthermore to admit the Capital Asset Pricing Model ...
Nils Chr. Framstad
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Wavelet multiscale analysis for hedge funds: scaling and strategies [PDF]
, 2008 The wide acceptance of Hedge Funds by Institutional Investors and Pension Funds has led to an explosive growth in assets under management. These investors are drawn to Hedge Funds due to the seemingly low correlation with traditional investments and the ...
Benzi +30 more
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Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies [PDF]
, 2010 In this paper we extend the time series analysis to the panel framework to test the C-CAPM driven by wealth references for developed countries. Specifically, we focus on a linearised form of the Consumption-based CAPM in a pooled cross section panel ...
Hunter, J, Wu, F
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SystemsESG (Environmental, Social, and Governance) considerations are increasingly influencing REIT (real estate investment trust) investment decisions; however, empirical evidence on the ESG–financial performance nexus in infrastructure REITs remains scarce ...
Xinghua Wang, Zhenwu Shi
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