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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 : 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 : 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 : Dr. Fuzuli Aliyev
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (13 download)
Download or read book Empirical Test of Capital Asset Pricing Model on Selected Banking Shares from Borsa Istanbul written by Dr. Fuzuli Aliyev and published by . This book was released on 2018 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we tested Capital Asset Pricing Model (shortly CAPM hereafter) on the selected banking stocks of Borsa Istanbul. Here we tried to explain how to price financial assets based on their risks in the case of BIST-100 index. CAPM is an important model in the portfolio management theory used by economic agents for the selection of financial assets. We used 12 random banking stocks' monthly return data for 2001-2010 periods. To test the validity of the CAPM, we first derived the regression equation for the risk-free interest rate and risk premium relationship using January 2001-December 2009 data. Then, estimated January-December 2010 returns with the equation. Comparing forecasted return with the actual return, we concluded that the CAPM is valid for the portfolio consisting of the 12 banks traded in the ISE, ie. The model could predict the overall outcome of portfolio of selected banking shares.
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 : Manuel Kürschner
Publisher : GRIN Verlag
ISBN 13 : 3640099257
Total Pages : 81 pages
Book Rating : 4.6/5 (4 download)
Download or read book Limitations of the Capital Asset Pricing Model (CAPM) written by Manuel Kürschner and published by GRIN Verlag. This book was released on 2008-07 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (undergraduate) from the year 2008 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, University of Cooperative Education, 31 entries in the bibliography, language: English, abstract: The objective of this paper is to give an overview of the most important movements of the complex area of asset pricing. This will be tried by logically structuring and building up the topic from its origins, the Capital Asset Pricing Model, and then over its main points of critique, in order to arrive at the different options developed by financial science that try to resolve those problematic aspects. Due to the complexity of this subject and the limited scope of this paper, obviously it will not be possible to discuss each model or movement in depth. Coherently, the aim is to point out the main thoughts of each aspect discussed. For further information, especially concerning the deeper mathematical backgrounds and derivations of the models, the author would like to refer the reader to the books mentioned in this paper. Many of those works, finance journal publications and the literature on asset pricing in general, set their focus on different parts of this paper, which again underlines the complexity in terms of scientific scope and intellectual and mathematical intricacy of this topic.
Author : Van Vu
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (13 download)
Download or read book Empirical Test on the Liquidity-Adjusted Capital Asset Pricing Model written by Van Vu and published by . This book was released on 2016 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we examine the effects of systematic liquidity risk on stock returns in the Australian market. We find that liquidity risk, in the form of (i) the co-movement between individual stock liquidity and market liquidity, (ii) the co-movement between stock returns and market liquidity, and (iii) the co-movement between stock liquidity and market returns, is priced individually and jointly in Australian equities. The results are robust to the use of alternative liquidity proxies and after controlling for other factors that are known to affect stock returns. The analysis across different market conditions shows that the net liquidity risk is approximately eight times higher in bearish markets than in bullish markets. Our overall results support the importance of liquidity risk in the generation of stock returns, particularly during market downturns.
Author : Bruce K. Gouldey
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book An Empirical Test of a Multiperiod Capital Asset Pricing Model written by Bruce K. Gouldey and published by . This book was released on 1900 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Iqbal Thonse Hawaldar
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (13 download)
Download or read book Relevance of Capital Asset Pricing Model - A Review written by Iqbal Thonse Hawaldar and published by . This book was released on 2020 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Though it is commonly said that higher the risk higher would be the returns, the questions that remain are, what type of risks are awarded and what is risk premium per unit of risk. A few equilibrium asset-pricing models attempted to answer these questions. Out of these, Capital Asset Pricing Model (CAPM) is the most popular and widely used model. It was independently developed by Sharpe (1964), Lintner (1965), and Mossin (1966). Fama (1968), Black, Jensen and Scholes (1972), Fama and Mac Beth (1973), and Fama and French (1992) and others proposed further refinements. The CAPM provides a precise prediction of the relationship between the risk of an asset and its expected return. In the Indian stock market the empirical studies on CAPM showed mixed results. Roll's critique has attracted attention of many researchers and resulted in popular articles such as “Is Beta Dead?” “Is Beta Dead or Alive?” “Are Reports of Beta's Death Premature? “Is Beta Dead Again?” that effectively reduced the popularity of CAPM in the world of finance in 1992. The debate regarding superiority of Asset Pricing Theory (APT) to CAPM is continuing. The empirical testing of APT is still in its early stage and concrete results in favour of APT or against CAPM do not exist. Till then, CAPM is expected to dominate the capital market as a measure to ascertain expected returns of risky securities.
Author : Janet Xiuqing He
Publisher :
ISBN 13 :
Total Pages : 200 pages
Book Rating : 4.:/5 (11 download)
Download or read book Empirical Test of the Capital Asset Pricing Model and the Predictability of Business Cycles Using Financial Variables written by Janet Xiuqing He and published by . This book was released on 1997 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Salman Ahmed Ahmed Shaikh
Publisher :
ISBN 13 :
Total Pages : 9 pages
Book Rating : 4.:/5 (13 download)
Download or read book Testing Capital Asset Pricing Model on KSE Stocks written by Salman Ahmed Ahmed Shaikh and published by . This book was released on 2014 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: Capital Asset Pricing Model (CAPM) is one of the first asset pricing models to be applied in security valuation. It has had its share of criticism, both empirical and theoretical; however, with its intuitive appeal and simplicity, it has established itself as a useful tool used in practice. One of the most important implications of the model is that the expected stock returns are determined by their corresponding level of systematic risk and not the unsystematic risk. We test the CAPM on 30 stocks traded at Karachi Stock Exchange (KSE) using the Sharpe-Lintner (1965) approach. The evidence does not validate standard CAPM model.
Download or read book Learning about Beta written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "When risk-factor loadings are time-varying and unobservable, investors are forced to form beliefs about the levels of their loadings. The learning process involved in forming these beliefs has normative implications for asset-pricing tests. This paper develops an equilibrium model of learning about time-varying beta. In the model, the capital asset pricing model (CAPM) works for investors' probability distribution. However, mis-pricing can be observed if econometricians estimate betas without accounting for the investors' learning process. The empirical implication for asset-pricing tests is that the factor loadings must be estimated as latent variables. We provide an empirical application of this methodology to the cross section of returns on ten book-to-market and ten size-sorted portfolios. For these assets, the data do not reject a learning-augmented version of CAPM. This model performs better than other common empirical specifications, including the Fama-French three-factor model"--Federal Reserve Bank of New York web site.
Author : Eleftherios Giovanis
Publisher : GRIN Verlag
ISBN 13 : 3640576799
Total Pages : 94 pages
Book Rating : 4.6/5 (45 download)
Download or read book Application of Capital Asset Pricing (CAPM) and Arbitrage Pricing Theory (APT) Models in Athens Exchange Stock Market written by Eleftherios Giovanis and published by GRIN Verlag. This book was released on 2010-03-26 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2007 in the subject Business economics - Investment and Finance, grade: 90.0%, , language: English, abstract: This paper examines the estimating and forecasting performance of the different and various Generalized Autoregressive Conditional Heteroscedasticity-GARCH’s models in relation to Capital Asste Pricing Model (CAPM) model. We apply the CAPM model with ordinary least squares (OLS) method to investigate if an ARCH (Autoregressive Conditional Heteroscedasticity) is presented and we are trying to decide and to analyze which GARCH model is the most appropriate and the best fitted for the financial time series that we have chosen. We apply CAPM model in the financial time series of the share prices of Technology-Software Sector in Athens Exchange stock market for the period January 1st of 2002 to October 30th of 2007 for the enterprises “Unibrain” “MLS Informatics” and “Dionic” respectively , from April 2nd of 2002 to 30th October of 2007 for the enterprise “Compucon”, from August 2nd of 2002 to 30th October of 2007 for the enterprise “Centric”, and finally from February 2nd of 2004 to 30th October of 2007 for the enterprise “Ilyda”. Additionally, we apply roiling regressions, where the full programming routines in EVIEWS and MATLAB are described detailed. We conclude that the slope β coefficient of CAPM model is not constant through the time period of rolling regressions we apply. In the final part we examine a simple Arbitrage Pricing Theory (APT) model.
Author : Norman R. Wight
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.:/5 (795 download)
Download or read book An Investigation and Empirical Test of the Impact of Firm Size on Expected Returns Versus the Returns Predicted by the Capital Asset Pricing Model written by Norman R. Wight and published by . This book was released on 1987 with total page 66 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 : Fischer Black
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (118 download)
Download or read book The Capital Asset Pricing Model written by Fischer Black and published by . This book was released on 1972 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
