Results 121 to 130 of about 6,611 (148)

The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test. [PDF]

PLoS One, 2019
Racicot FÉ, Rentz WF, Tessier D, Théoret R.   +3 more
europepmc   +1 more source

How effective is machine learning in stock market predictions? [PDF]

Heliyon
Ayyildiz N, Iskenderoglu O.
europepmc   +1 more source

Risk Aversion in Laboratory Asset Markets [PDF]

Peter Bossaerts, William R. Zame
core  

Effects of a Powered Ankle-Foot Prosthesis and Physical Therapy on Function for Individuals With Transfemoral Limb Loss: Rationale, Design, and Protocol for a Multisite Clinical Trial.

JMIR Res Protoc
Maikos JT, Pruziner AL, Hendershot BD, Herlihy DV, Chomack JM, Hyre MJ, Phillips SL, Sidiropoulos AN, Dearth CL, Nelson LM.   +9 more
europepmc   +1 more source

Equilibrium Asset Pricing and Portofolio Choice Under Asymmetric Information [PDF]

Biais, Bruno, Bossaerts, Peter, Spatt, Chester   +2 more
core  

Forecasting the Ability of Dynamic Versus Static CAPM : Evidence from Amman Stock Exchange

Jordan Journal of Business Administration, 2013
This study tests whether the dynamic (conditional) Capital Asset Pricing Model (CAPM) outperforms the static one in forecasting the returns of the industrial companies listed in Amman Stock Exchange (ASE) over the period 2000-2011. We investigate the in-sample forecasting ability of CAPM estimated via OLS, GJR-GARCH (1, 1), and Kalman Filter.
Moh'd M. Ajlouni, Dima W. H. Alrabadi, Tariq K. Alnader   +2 more
openaire   +1 more source

Epilogue (The Static CAPM)

2018
This chapter studies the static CAPM for two reasons. First, because it is of historical interest. Second, because it highlights the advances and insights obtained from the dynamic models studied in this book. This chapter provides a new derivation of the static CAPM that uses the martingale approach.
openaire   +1 more source

Static Portfolio Theory: CAPM and Extensions

2011
This chapter discusses theoretical foundations and empirical evidence for the most prominent asset pricing theory: the Capital Asset Pricing Model (CAPM). It represents a pricing model for risky assets. The CAPM has been extended to the multi– factor model (MFM) and arbitrage pricing theory (APT).
openaire   +1 more source

The Conditional CAPM and the Cross‐Section of Expected Returns

Journal of Finance, 1996
Ravi Jagannathan, Zhenyu Wang
exaly   +2 more sources

A dynamic conditional regime-switching GARCH CAPM for energy and financial markets

Energy Economics, 2020
Julien Chevallier
exaly