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A Study Of Performance Comparison Between Arbitrage Pricing Theory And Capital Asset Pricing Model In The Case Of Thailand
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Book Synopsis A Study of Performance Comparison Between Arbitrage Pricing Theory and Capital Asset Pricing Model in the Case of Thailand by :
Download or read book A Study of Performance Comparison Between Arbitrage Pricing Theory and Capital Asset Pricing Model in the Case of Thailand written by and published by . This book was released on 2012 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Arbitrage Pricing Theory as an Approach to Capital Asset Valuation by : Christian Koch
Download or read book The Arbitrage Pricing Theory as an Approach to Capital Asset Valuation written by Christian Koch and published by GRIN Verlag. This book was released on 2009-03 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diploma Thesis from the year 1996 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, 160 entries in the bibliography, language: English, abstract: A "few surprises" could be the trivial answer of the Arbitrage Pricing Theory if asked for the major determinants of stock returns. The APT was developed as a traceable framework of the main principles of capital asset pricing in financial markets. It investigates the causes underlying one of the most important fields in financial economics, namely the relationship between risk and return. The APT provides a thorough understanding of the nature and origins of risk inherent in financial assets and how capital markets reward an investor for bearing risk. Its fundamental intuition is the absence of arbitrage which is, indeed, central to finance and which has been used in virtually all areas of financial study. Since its introduction two decades ago, the APT has been subject to extensive theoretical as well as empirical research. By now, the arbitrage theory is well established in both respects and has enlightened our perception of capital markets. This paper aims to present the APT as an appropriate instrument of capital asset pricing and to link its principles to the valuation of risky income streams. The objective is also to provide an overview of the state of art of APT in the context of alternative capital market theories. For this purpose, Section 2 describes the basic concepts of the traditional asset pricing model, the CAPM, and indicates differences to arbitrage theory. Section 3 constitutes the main part of this paper introducing a derivation of the APT. Emphasis is laid on principles rather than on rigorous proof. The intuition of the pricing formula and its consistency with the state space preference theory are discussed. Important contributions to the APT are classified and br
Book Synopsis The Capital Asset Pricing Model Vs. the Arbitrage Pricing Theory by : Karim Saadallah Shalak
Download or read book The Capital Asset Pricing Model Vs. the Arbitrage Pricing Theory written by Karim Saadallah Shalak and published by . This book was released on 2007 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two of the most important and well known models for predicting equity returns ar e the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). This project will first examine and compare these two models theoretically fro m all aspects focusing on the strengths and weaknesses of each while taking into consideration past empirical work. In addition, this project will compare the empirical performance of the CAPM and the APT, specifically the Fama-French Thre e Factor Model, in predicting stock returns using stocks on the Dow Jones Indust rial Average. Using traditional measures such as the adjusted R-Squared, t-stat istic, and Wald test, no model was found to be superior to the other. As a resu lt, the Hansen-Jagannathan Distance test was used as a second resort. This test shows that the CAPM is actually superior to the APT. Chapter I will introduce both models and their implications. Chapter II and III will focus on the CAPM and APT respectively describing all their aspects includ ing evolution, strengths, weaknesses and past empirical applications. Chapter I V will comprise of an empirical study comparing both models to see which one doe s a better job in predicting equity returns. Chapter V will conclude the projec t with certain policy implications.
Book Synopsis New Methods For The Arbitrage Pricing Theory And The Present Value Model by : Jianping Mei
Download or read book New Methods For The Arbitrage Pricing Theory And The Present Value Model written by Jianping Mei and published by World Scientific. This book was released on 1994-10-24 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of two essays on new approaches for the Arbitrage Pricing Theory and the Present Value Model, and one essay on cross-sectional correlations in panel data. The new approaches are designed to study a large number of securities over time. They can be employed by security analysts to discover market anomalies without assuming observable factors or constant risk premium. The book shows how these two approaches can be used to determine how many systematic factors affect the U.S. stock market.
Book Synopsis A Survey of the Capital Asset Pricing Model and the Arbitrage Pricing Theory by : Luciano Orengo
Download or read book A Survey of the Capital Asset Pricing Model and the Arbitrage Pricing Theory written by Luciano Orengo and published by . This book was released on 1995 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Comparison of the Capital Asset Pricing Model and the Arbitrage Pricing Model by : George P. Diacogiannis
Download or read book A Comparison of the Capital Asset Pricing Model and the Arbitrage Pricing Model written by George P. Diacogiannis and published by . This book was released on 1984 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Performance Persistence of Fixed Income Funds in Thailand by : Noppakoaw Raungsombut
Download or read book Performance Persistence of Fixed Income Funds in Thailand written by Noppakoaw Raungsombut and published by . This book was released on 2018 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this research is to study the operational performance and persistence of fixed income funds in Thailand during 2008 - 2017. The results reveal that the rate of returns of most fixed income funds give the Under-performing for the case of not considering the risk factors and measuring the performance by Sharpe Ratio. However, when considering Risk-adjusted Returns by using the Capital Asset Pricing Model (CAPM), the majority of fixed income funds are found to be able to generate little excessive returns (Alpha) with statistical significance. Besides, in studying the performance persistence of fixed income funds using the Winner-Winner, Winner-loser Persistence Test, the results of this research confirm the results of most researches on foreign fixed income funds that the performance of the Fixed Income Funds has the persistence at low to moderate level. This demonstrates the empirical results that fixed income funds are likely to continue to generate Poor Performance Persistence more than Good Performance Persistence.
Book Synopsis Risk and Return Relationship in the Securities Exchange of Thailand by : Paiboon Sareewiwatthana
Download or read book Risk and Return Relationship in the Securities Exchange of Thailand written by Paiboon Sareewiwatthana and published by . This book was released on 1985 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Time Series Investigation of the Arbitrage Pricing Theory by : Marilyn Katherine Wiley
Download or read book A Time Series Investigation of the Arbitrage Pricing Theory written by Marilyn Katherine Wiley and published by . This book was released on 1993 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Capital-asset-pricing Model and Arbitrage Pricing Theory by : Ali Khan
Download or read book The Capital-asset-pricing Model and Arbitrage Pricing Theory written by Ali Khan and published by . This book was released on 1996 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Arbitrage Pricing Theory and the Capital Asset Pricing Model - Evidence from the Indian Stock Market by : Raj Dhankar
Download or read book Arbitrage Pricing Theory and the Capital Asset Pricing Model - Evidence from the Indian Stock Market written by Raj Dhankar and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The arbitrage pricing theory (APT) has been proposed as an alternative to the capital asset pricing model (CAPM). This paper uses principal components analysis to estimate the factors that influence stock returns. Analysis of the Indian stock market using monthly and weekly returns for 1991-2002 shows that APT with multiple factors provides a better indication of asset risk and estimates of required rate of return than CAPM which uses beta as the single measure of risk.
Book Synopsis The Arbitrage Pricing Theory Versus the Generalized Intertemporal Capital Asset Pricing Model by : Guoqiang Wei
Download or read book The Arbitrage Pricing Theory Versus the Generalized Intertemporal Capital Asset Pricing Model written by Guoqiang Wei and published by . This book was released on 1986 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis "An Evaluation of the Capital Asset Pricing Model and the Arbitrage Pricing Theory in the Pricing of Assets" by : P. M. Linley
Download or read book "An Evaluation of the Capital Asset Pricing Model and the Arbitrage Pricing Theory in the Pricing of Assets" written by P. M. Linley and published by . This book was released on 1992 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Rise and Fall of the Arbitrage Pricing Theory by : Jamal Munshi
Download or read book The Rise and Fall of the Arbitrage Pricing Theory written by Jamal Munshi and published by . This book was released on 2014 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Arbitrage Pricing Theory (APT) was proposed as a more complex and therefore more complete alternative to the Capital Asset Pricing Model (CAPM) which was thought to be too simple and limited in scope to be a useful or empirically testable theory. In the end it turned out that what the APT had to offer was nothing more than complexity for the sake of complexity. In this paper we review this eventful chapter in the history of finance to gain the insight that research fads often subvert the orderly accumulation of knowledge.
Book Synopsis The Arbitrage Pricing Theory Versus the Generalized Intertemporal Capital Asset Pricing Model by : Kuo-Chiang Wei
Download or read book The Arbitrage Pricing Theory Versus the Generalized Intertemporal Capital Asset Pricing Model written by Kuo-Chiang Wei and published by . This book was released on 1984 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing the Performance of Asset Pricing Models Using Individual Stock Returns in the Case of Thailand by :
Download or read book Testing the Performance of Asset Pricing Models Using Individual Stock Returns in the Case of Thailand written by and published by . This book was released on 2012 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Test of the Arbitrage Pricing Theory by : Sungmoon Lee
Download or read book An Empirical Test of the Arbitrage Pricing Theory written by Sungmoon Lee and published by . This book was released on 1990 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
