Revisiting industry effects: The assignment of firms to industries
Strategic Management Journal, Volume 47, Issue 11, Page 2871-2900, November 2026.Abstract Research Summary Strategy research examines the drivers of firm performance. Variance decomposition studies have analyzed industry's impact, with little attention paid to the industry to which a firm is assigned. This study investigates how industry assignment affects the findings about industry's impact.
Alireza Eshraghi, Bart S. Vanneste
wiley +1 more source
A Theoretical Extension of the Consumption-based CAPM Model [PDF]
We extend the Consumption-based CAPM (C-CAPM) model for representative agents with different risk attitudes. We introduce the concept of expectation dependence and show that for a risk averse representative agent, it is the first-degree expectation ...
Jingyuan Li, Georges Dionne
core
Residual Income Valuation and Stock Returns: Evidence From a Value‐to‐Price Investment Strategy*
Financial Review, Volume 61, Issue 4, Page 1257-1287, November 2026.ABSTRACT This paper contributes to the accounting and asset pricing anomalies literature by investigating the performance of value‐to‐price (V/P) strategies, and the relationship between V/P ratio and various risk proxies. If the V/P ratio successfully predicts future returns at stock level, we hypothesize that portfolios based on the V/P ratio ...
Ahmad Haboub +2 more
wiley +1 more source
An Empirical Examination of Conditional Four-Moment CAPM and APT Pre-Specified Macroeconomic Variables with Market Liquidity in Arab Stocks Markets [PDF]
This thesis empirically examined conditional four-moment CAPM and APT pre-specified macroeconomic variables with market liquidity in four Arab stock markets, namely Jordan, Morocco, Tunisia and Kuwait over a period extended from January 1998 to December ...
Ali, Abubaker Ali
core +2 more sources
Empirical Tests of the Capital Asset Pricing Model (CAPM) Using Data From New York Stock Exchange Market [PDF]
, 2012 This study examines the validity of the Capital Assets Pricing Model (CAPM) using monthly and weekly data on 780 stocks from the New York Stock Exchange Market for period of March,1992 to May, 2012, under the traditional first-pass/second-pass ...
Habib Abdulkarim
core +1 more source
When Nature Talks, Markets Move: Forecasting the Equity Premium With Eco‐Climate Incidents
Financial Review, Volume 61, Issue 4, Page 1379-1404, November 2026.ABSTRACT This paper examines the role of eco‐climate information, particularly biodiversity risks, in forecasting the U.S. equity premium. Using RepRisk controversy data, we construct indicators for biodiversity, greenhouse gas emissions, and local pollution. Biodiversity indicators emerge as strong predictors of the equity premium, outperforming other
Zhiyong Li, Weiping Qin
wiley +1 more source
A Framework for CAPM with Heterogenous Beliefs [PDF]
We introduce heterogeneous beliefs in to the mean-variance framework of the standard CAPM, in contrast to the standard approach which assumes homogeneous beliefs.
Roberto Dieci +2 more
core
Uma contribuição para o entendimento do mercado de ações, através de um teste empírico do CAPM na BOVESPA no período de 1996 a 2000 [PDF]
, 2001 Dissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Tecnológico. Programa de Pós-Graduação em Engenharia de Produção.O CAPM (Capital Asset Pricing Model) é um modelo de previsão dos retornos dos ativos e representa um instrumento útil
Milani, Luís Henrique Pires
core
Interest Term Premiums and C-CAPM: A Test of a Parsimonious Model [PDF]
This paper proposes a consumption-based model that accounts for term premiums of the nominal term structure of interest rates. The driving force behind the model is the looking at the ex ante term premium.
Jessica Fouilloux +1 more
core
Conditional autoencoder asset pricing models for the Korean stock market. [PDF]
PLoS One, 2023 Kim E, Cho T, Koo B, Kang HG.
europepmc +1 more source