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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 : 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 : 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 : 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 : 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 : Hersh Shefrin
Publisher : Elsevier
ISBN 13 : 0080482244
Total Pages : 636 pages
Book Rating : 4.0/5 (84 download)
Download or read book A Behavioral Approach to Asset Pricing written by Hersh Shefrin and published by Elsevier. This book was released on 2008-05-19 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition
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 : 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 : 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 : Sachin Kuruvithadam
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (894 download)
Download or read book Capital Asset Pricing Model written by Sachin Kuruvithadam and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Das Ziel dieser Arbeit ist es, die Gültigkeit des Capital-Asset-Pricing-Modells (CAPM) zu überprüfen. Zu diesem Zweck wird ein Test auf Portfolios mit amerikanischen Large-Caps-Aktien durchgeführt und der S&P500 Index wird als Proxy für das Marktportfolio verwendet. Der Betrachtungszeitraum umfasst neun Jahren von 2005 bis 2013. Dieser Zeitraum ist ebenfalls in drei Teilperioden von je drei Jahren aufgeteilt, um die Stationarität einiger Parameter zu bewerten. Zuerst wird eine Zeitreihenanalyse durchgeführt, um den Risikokoeffizient Beta und den Achsenabschnitt Alpha für jedes Portfolio zu schätzen und ihre statistische Signifikanz zu testen. Dann wird eine Querschnittsanalyse durchgeführt, um zu beurteilen, ob die aus der Zeitreihe geschätzte Betas zu den Ergebnissen führen, die vom Modell vorausgesetzt werden. Die Ergebnisse zeigen deutliche Abweichungen vom CAPM . Auch wenn die Beta-Werte statistisch signifikant gewesen sind, haben sich einige von ihnen von Teilperiode zu Teilperiode verändert, was zur Folge hat, dass die Schätzungen nicht stationär sind. Die Schätzungen der Abschnitte waren signifikant verschieden von Null in der gesamten Zeitperiode und manchmal insignifikant verschieden von Null in den Teilperioden: somit wird der hypothetische Wert von 0 abgelehnt. Folglich wird das CAPM für die betrachteten Portfolios abgelehnt. Allerdings gibt es bestimmte Einschränkungen, welche die Aussagekraft der durchgeführten Tests und die Bedeutung der erzielten Ergebnisse teilweise schwächen.
Author : Tom Arild Fearnley
Publisher :
ISBN 13 :
Total Pages : 263 pages
Book Rating : 4.:/5 (249 download)
Download or read book An Empirical Study of a Conditional International Asset Pricing Model for US, Japanese, and European Stock and Government Bond Markets written by Tom Arild Fearnley and published by . This book was released on 2002 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: The dissertation consists of three papers dedicated to empirical tests of a multivariate conditional international Capital Asset Pricing Model (CAPM). The aim is to evaluate to what extent such a model can explain stock and government bond returns in the US, Japan and Europe over the last 10 to 15 years, and whether the model can be usefully employed in global tactical asset allocation. The starting point is the international CAPM of Adler and Dumas (1983), which is made conditional through a multivariate GARCH-in-mean specification. The additional assumption that local inflation rates are zero or deterministic reduces inflation risk premia to currency risk premia. Data are analyzed at weekly frequency. The first paper introduces regime switching GARCH parameters. The second paper adds government bonds to the analysis, and evaluates four different models for the price of market risk. The third paper introduces regime switching prices of risk and intercept terms.
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 : Andrei Shleifer
Publisher : OUP Oxford
ISBN 13 : 0191606898
Total Pages : 295 pages
Book Rating : 4.1/5 (916 download)
Download or read book Inefficient Markets written by Andrei Shleifer and published by OUP Oxford. This book was released on 2000-03-09 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.
Author : Ali Zarifhonarvar
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book The Capital Asset Pricing Model : A New Empirical Investigation written by Ali Zarifhonarvar and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lucas Ammelung
Publisher :
ISBN 13 : 9783346338082
Total Pages : 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 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
