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Author : Stephen R. Lowry
Publisher :
ISBN 13 :
Total Pages : 104 pages
Book Rating : 4.:/5 (244 download)
Download or read book An Empirical Study of the Capital Asset Pricing Model written by Stephen R. Lowry and published by . This book was released on 1968 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Haim Levy
Publisher : Cambridge University Press
ISBN 13 : 1139503022
Total Pages : 457 pages
Book Rating : 4.1/5 (395 download)
Download or read book The Capital Asset Pricing Model in the 21st Century written by Haim Levy and published by Cambridge University Press. This book was released on 2011-10-30 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized theoretically and empirically. The advent of behavioral economics, prospect theory and other psychology-minded approaches in finance challenges the rational investor model from which CAPM and M-V derive. Haim Levy argues that the tension between the classic financial models and behavioral economics approaches is more apparent than real. This book aims to relax the tension between the two paradigms. Specifically, Professor Levy shows that although behavioral economics contradicts aspects of expected utility theory, CAPM and M-V are intact in both expected utility theory and cumulative prospect theory frameworks. There is furthermore no evidence to reject CAPM empirically when ex-ante parameters are employed. Professionals may thus comfortably teach and use CAPM and behavioral economics or cumulative prospect theory as coexisting paradigms.
Author : Joseph E. Moussa
Publisher :
ISBN 13 :
Total Pages : 446 pages
Book Rating : 4.:/5 (11 download)
Download or read book The Capital Asset Pricing Model written by Joseph E. Moussa and published by . This book was released on 2007 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the relationship between Stocks returns and The Capital asset Pricing Model (CAPM) in the US market by using the S&P 500 companies; it also tests the level of influence of the Size and Book-to-Market on Stocks Returns. The hypothesis tested is whether there is a significant relationship between the CAPM and Stocks Returns. The methodological approach taken was a sampleof 100 companies from S&P 500 compromising top US companies. The Stocks Returns were regressed against the returns that the CAPM predicted to find a relationship between the Stocks returns and the CAPM and to see how precise the CAPM is. Data relating to Beta, Market Return, Size and Price-to-Book were downloaded from the Yahoo Finance website, the Risk free Rate is from the U.S. Federal Bank Website. Regression tests conducted on the data were significant at 1% level. The results lead to the rejection of the null hypothesis, and accepting the alternative hypothesis which states that the CAPM does predict stock returns. However, the results also lead us to a conclusion that other variables may explain stocks return. This results was consistent with all recent results since all studies have agreed that to CAPM can explain an important part of the returns, moreover the results regarding the size and Book-To-Market were inconsistent with Fama and French (1992) theories since they were relatively insignificant.
Author : Mohammad Sharifzadeh
Publisher : Universal-Publishers
ISBN 13 : 1599423758
Total Pages : 180 pages
Book Rating : 4.5/5 (994 download)
Download or read book An Empirical and Theoretical Analysis of Capital Asset Pricing Model written by Mohammad Sharifzadeh and published by Universal-Publishers. This book was released on 2010-11-18 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem addressed in this dissertation research was the inability of the single-factor capital asset pricing model (CAPM) to identify relevant risk factors that investors consider in forming their return expectations for investing in individual stocks. Identifying the appropriate risk factors is important for investment decision making and is pertinent to the formation of stocks' prices in the stock market. Therefore, the purpose of this study was to examine theoretical and empirical validity of the CAPM and to develop and test a multifactor model to address and resolve the empirical shortcomings of the single-factor CAPM. To verify the empirical validity of the standard CAPM and of the multifactor model, five hypotheses were developed and tested against historical monthly data for U.S. public companies. Testing the CAPM hypothesis revealed that the explanatory power of the overall stock market rate of return in explaining individual stock's expected rates of return is very weak, suggesting the existence of other risk factors. Testing of the other hypotheses verified that the implied volatility of the overall market as a systematic risk factor and the companies' size and financial leverage as nonsystematic risk factors are important in determining stock's expected returns and investors should consider these factors in their investment decisions. The findings of this research have important implications for social change. The outcome of this study can change the way individual and institutional investors as well as corporations make investment decisions and thus change the equilibrium prices in the stock market. These changes in turn could lead to significant changes in the resource allocation in the economy, in the economy's production capacity and production composition, and in the employment structure of the society.
Author : Soroush Ghazi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (118 download)
Download or read book An Empirical Study of the Sentiment Capital Asset Pricing Model written by Soroush Ghazi and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Soo Woo Choi
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (17 download)
Download or read book An Empirical Study of Capital Asset Pricing Model and Fama-French Three-Factor Model written by Soo Woo Choi and published by . This book was released on 2017 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The thesis tests performances of Capital Asset Pricing Model and Fama-French Three-Factor Model. Through an empirical study on the US stocks from January 2000 to August 2017, the thesis demonstrates that Fama-French Three-Factor model performs better than Capital Asset Pricing Model.
Author : James W. Kolari
Publisher : Springer Nature
ISBN 13 : 3030651975
Total Pages : 326 pages
Book Rating : 4.0/5 (36 download)
Download or read book A New Model of Capital Asset Prices written by James W. Kolari and published by Springer Nature. This book was released on 2021-03-01 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests using US stock returns. The ZCAPM is derived from Fischer Black’s well-known zero-beta CAPM, itself a more general form of the famous capital asset pricing model (CAPM) by 1990 Nobel Laureate William Sharpe and others. It is widely accepted that the CAPM has failed in its theoretical relation between market beta risk and average stock returns, as numerous studies have shown that it does not work in the real world with empirical stock return data. The upshot of the CAPM’s failure is that many new factors have been proposed by researchers. However, the number of factors proposed by authors has steadily increased into the hundreds over the past three decades. This new ZCAPM is a path-breaking asset pricing model that is shown to outperform popular models currently in practice in finance across different test assets and time periods. Since asset pricing is central to the field of finance, it can be broadly employed across many areas, including investment analysis, cost of equity analyses, valuation, corporate decision making, pension portfolio management, etc. The ZCAPM represents a revolution in finance that proves the CAPM as conceived by Sharpe and others is alive and well in a new form, and will certainly be of interest to academics, researchers, students, and professionals of finance, investing, and economics.
Author : Alexander Moßhammer
Publisher : GRIN Verlag
ISBN 13 : 9783656887881
Total Pages : 0 pages
Book Rating : 4.8/5 (878 download)
Download or read book Capital Asset Pricing Model (CAPM). A Case Study written by Alexander Moßhammer and published by GRIN Verlag. This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2015 in the subject Business economics - Investment and Finance, grade: 1,00, University of Innsbruck (Department of Banking and Finance), course: Proseminar: Financial Management, language: English, abstract: The purpose of this paper is to do empirical research on the capital asset pricing model. The bases of our research are the returns of three stocks, the S&P 500 index which represents the market and the LIBOR as a proxy for the risk-free interest rate. The three companies that were chosen in this paper were Kellogg Company, KB Financial Group Inc. and Kate Spade & Company and all of them in combination represent our fictive market.
Author : Lucas Ammelung
Publisher :
ISBN 13 : 9783346338099
Total Pages : 62 pages
Book Rating : 4.3/5 (38 download)
Download or read book An Empirical Test of the "Capital Asset Pricing Modell" (CAPM) on Current Stock Data written by Lucas Ammelung and published by . This book was released on 2020-12-30 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2020 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, Munich University of Applied Sciences, language: English, abstract: The goal of this study is thus to determine the best available asset pricing model in Germany and whether the use of pre-existing datasets, with the factors already calculated, brings results as accurate as a custom dataset. This is relevant in Germany as the CAPM is still the most commonly used way to compute the cost of equity with 34% of companies using it. Another 16% of companies are using asset pricing models with additional risk factors. To determine the answer to this, this study will look into the aforementioned three most commonly used models: the CAPM, the Fama and French three-factor model and the Carhart four-factor model. After explaining the background and functioning of the CAPM, this study will show the flaws within the model and how these flaws led to extensions of the CAPM. Each model will then be statistically analyzed with three distinct sets of data. Two of these are publicly available, while the last has been calculated for this study. Lastly, to understand how the difference in data used can influence the results from asset pricing models, the runtime and underlying factor of datasets will be modified, re-analyzed and compared to the initial results.
Author : Vairamuththu Thuraiappa Alaganar
Publisher :
ISBN 13 :
Total Pages : 268 pages
Book Rating : 4.:/5 (233 download)
Download or read book Empirical Investigation of a Capital Asset Pricing Model Using Fundamental Financial Variables written by Vairamuththu Thuraiappa Alaganar and published by . This book was released on 1990 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : M. Sharifzadeh
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book An empirical and theoretical analysis of capital asset pricing model written by M. Sharifzadeh and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : C J. Green
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (556 download)
Download or read book An Empirical Investigation of the Capital Asset Pricing Model written by C J. Green and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Carlos Perez Gaytan
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (277 download)
Download or read book An Application of the Capital Asset Pricing Model in Risk Analysis, an Empirical Study of the Construction Industry in Mexico written by Carlos Perez Gaytan and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jordan French
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book A Practitioner's Guide to the CAPM written by Jordan French and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The most popular method of calculating asset prices is the capital asset pricing model (CAPM). What is the appropriate amount of years to use in the estimation and which variation of the capital asset pricing beta provides the best results? This research looks at the out of sample forecasting capabilities of three popular CAPM ex-post constant beta models from 2005 to 2014. A total of 11 portfolios, five from developed and six from developing markets, are used to test the amount of input years that will reduce the mispricing in both types of markets. It is found that the best beta model to use varies between developed and developing markets. Additionally, in developing markets a shortened span of historical years improves the pricing, contrary to popular studies that use five to ten years of historical data. There are many different CAPM studies implementing various betas, using different data input lengths, and ran in various countries. This study empirically tests the best practices for those interested in successfully using the CAPM for their basic needs. Find that overall the simple ex-post constant beta mispriced by 0.2 (developing) to 0.3 percent (developed). It was better to use short three year estimation windows with the market beta in developing economies and longer nine year estimation windows with the adjusted beta in the developed.
Author : Amporn Duangjan
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Empirical Study of CAPM on Amazon, Facebook, Apple, Netflix, and Adobe written by Amporn Duangjan and published by . This book was released on 2020 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Capital Asset Pricing Model (CAPM) is one of the most popular models for the estimation of the expected return of an asset. CAPM is widely used throughout the financial field for the purpose of pricing and expected returns for resources provided the risk of these resources and price of capital. This paper will be using knowledge gathered from Yahoo Finance and extra options to analyze the expected get back of every of assets. This data will be used to calculate CAPM in order to predict the expected returns of Amazon, Facebook, Apple, Netflix, and Adobe. The historical pricing of the asset, market index, and the 1-year treasury constant maturity rate are using in regular basis for the range of 10 years (French, 2016).
Author : Daniel Loskamp
Publisher : GRIN Verlag
ISBN 13 : 3638677435
Total Pages : 72 pages
Book Rating : 4.6/5 (386 download)
Download or read book Testing the CAPM on the German Stock Market written by Daniel Loskamp and published by GRIN Verlag. This book was released on 2007-12 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2005 in the subject Business economics - Investment and Finance, grade: 1,3, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, course: Asset Management Seminar, 34 entries in the bibliography, language: English, abstract: Although the model is widely accepted and practically used as explained above, it is nevertheless far from being perfect as outlined in its record of empirical studies.9 Generally criticized is on the one hand that the underlying assumptions of the model are very theoretical and thus not able to illustrate reality and on the other one that there are problems in implementing well-founded tests of the model relating to the choice of the right market portfolio.10 But, the success of the CAPM will remain as long as there is no other model which offers as " ...] powerful and intuitively pleasing predictions about how to measure risk and the relation between risk and return."11 The objective of this study is to empirically test the CAPM on the German stock market. Since most of the empirical studies that have been made in the past focus on the U.S. stock market, this paper will try to find out if the results of these U.S. empirical studies can also be shown on the German stock market. Therefore, the goal of this paper is to analyze the relationship between risk and return on the German stock market to find out whether the CAPM holds.
Author : Paul Andrew Lyles
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (858 download)
Download or read book An Empirical Study of Capital Asset Pricing Model Anomalies on the JSE written by Paul Andrew Lyles and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
