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Author : Russell J. Fuller
Publisher :
ISBN 13 :
Total Pages : 100 pages
Book Rating : 4.3/5 (512 download)
Download or read book Capital Asset Pricing Theories--evolution and New Frontiers written by Russell J. Fuller and published by . This book was released on 1981 with total page 100 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 : Manuel Kürschner
Publisher : GRIN Verlag
ISBN 13 : 3638073300
Total Pages : 41 pages
Book Rating : 4.6/5 (38 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 2008-07-04 with total page 41 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, 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 : Diana R. Harrington
Publisher : Prentice Hall
ISBN 13 :
Total Pages : 242 pages
Book Rating : 4.3/5 (97 download)
Download or read book Modern Portfolio Theory, the Capital Asset Pricing Model, and Arbitrage Pricing Theory written by Diana R. Harrington and published by Prentice Hall. This book was released on 1987 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Karim Saadallah Shalak
Publisher :
ISBN 13 :
Total Pages : 152 pages
Book Rating : 4.:/5 (787 download)
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.
Author : Klaus Kobold
Publisher : Walter de Gruyter
ISBN 13 : 311090330X
Total Pages : 341 pages
Book Rating : 4.1/5 (19 download)
Download or read book Interest Rate Futures Markets and Capital Market Theory written by Klaus Kobold and published by Walter de Gruyter. This book was released on 2011-07-22 with total page 341 pages. Available in PDF, EPUB and Kindle. Book excerpt: Above all the study is intended to shed more light on the following questions: - the functioning of interest rate futures markets, - the behaviour and transactions of economic agents in these markets, -factors determining the results of transactionsin interest rate future markets. Above we argued that these markets emerged in an environment of fluctuating interest rates to provide traders in financial markets with an instrument to deal with the risk stemming from unexpected price changes. It will be this hedging aspect of interest rate futures markets on which the following research is concentrated. The main points to be investigated are: - to what extent interest rate risk is reduced or even abolished, - the effects of futures trading in interest-bearing securities on risk and return of single assets and portfolios, - the consequences on the situation of participants in capital markets, - optimal strategies to reduce the exposure to interest rate risk.
Author : Rosalie Ruegg
Publisher : Springer Science & Business Media
ISBN 13 : 1475746881
Total Pages : 492 pages
Book Rating : 4.4/5 (757 download)
Download or read book Building Economics: Theory and Practice written by Rosalie Ruegg and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: We no longer build buildings like we used to nor do we pay for them in the same way. Buildings today are no longer only shelter but are also life support systems, communication terminals, data manufacturing centers, and much more. Buildings are incredibly expensive tools that must be constantly adjusted to function efficiently. The economics of building has become as complex as its design. When buildings were shelter they lasted longer than their builders. The av erage gothic master mason lived 35 or 40 years. Cathedrals took 3 or 4 hundred years to build. Cost estimates were verified by great great grandchildren of the original designer. Today, creative economics has become as important as creative design and creative building. The dient brings builder, contractor, architect, and facilities manager to account in their life time. The cost of building can therefore no longer be left to chance or act of god. Solutions are no longer as ingeniously simple as those proposed by a Flor entine builder early in the 15th century. He proposed to center the dome of S. Maria deI Fiore on a great mound of earth mixed with pennies. When the job was done street urchins would carry away the dirt in their search for the pennies. This was a serious suggestion offered by an early construction manager before Brunelleschi solved the problem more sensibly.
Author : Emanuela Sciubba
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (933 download)
Download or read book The Evolution of Portfolio Rules and the Capital Asset Pricing Model written by Emanuela Sciubba and published by . This book was released on 1999 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James G. Hewlett
Publisher :
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.:/5 (318 download)
Download or read book Investor Perceptions of Nuclear Power written by James G. Hewlett and published by . This book was released on 1984 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 824 pages
Book Rating : 4.:/5 (45 download)
Download or read book The C.F.A. Digest written by and published by . This book was released on 1987 with total page 824 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John H. Cochrane
Publisher : Princeton University Press
ISBN 13 : 1400829135
Total Pages : 560 pages
Book Rating : 4.4/5 (8 download)
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Author : Richard A. Stevenson
Publisher :
ISBN 13 : 9780314656698
Total Pages : 590 pages
Book Rating : 4.6/5 (566 download)
Download or read book Fundamentals of Investments written by Richard A. Stevenson and published by . This book was released on 1988 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William F. Sharpe
Publisher : McGraw-Hill Companies
ISBN 13 : 9780071353205
Total Pages : 0 pages
Book Rating : 4.3/5 (532 download)
Download or read book Portfolio Theory and Capital Markets written by William F. Sharpe and published by McGraw-Hill Companies. This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Thirty years ago, Portfolio Theory and Capital Markets laid the groundwork for today's investment standards, from modern portfolio theory to derivatives, pricing and investment, equity index funds, and more. By providing invaluable insights into the Capital Asset Pricing Model (CAPM) and introducing such innovations as the Sharpe Ratio, Dr. William Sharpe established himself as one of the most influential financial minds of the twentieth century. Now, in Portfolio Theory and Capital Markets, The Original Edition, complete with a new foreword written by Dr. Sharpe, McGraw-Hill reintroduces this essential book - and places its lessons in a meaningful context for modern investors throughout the world."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
Author : Thomas F. Cooley
Publisher : Princeton University Press
ISBN 13 : 9780691043234
Total Pages : 452 pages
Book Rating : 4.0/5 (432 download)
Download or read book Frontiers of Business Cycle Research written by Thomas F. Cooley and published by Princeton University Press. This book was released on 1995-02-26 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction to modern business cycle theory uses a neoclassical growth framework to study the economic fluctuations associated with the business cycle. Presenting advances in dynamic economic theory and computational methods, it applies concepts to t
Author :
Publisher :
ISBN 13 :
Total Pages : 2236 pages
Book Rating : 4.3/5 (91 download)
Download or read book The Cumulative Book Index written by and published by . This book was released on 1982 with total page 2236 pages. Available in PDF, EPUB and Kindle. Book excerpt: A world list of books in the English language.
Author : Ma Chenghu
Publisher : World Scientific Publishing Company
ISBN 13 : 1911299522
Total Pages : 816 pages
Book Rating : 4.9/5 (112 download)
Download or read book Advanced Asset Pricing Theory written by Ma Chenghu and published by World Scientific Publishing Company. This book was released on 2011-01-03 with total page 816 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a broad introduction of modern asset pricing theory with equal treatments for both discrete-time and continuous-time modeling. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium framework.The analyses and coverage are up to date, comprehensive and in-depth. Topics include microeconomic foundation of asset pricing theory, the no-arbitrage principle and fundamental theorem, risk measurement and risk management, sequential portfolio choice, equity premium decomposition, option pricing, bond pricing and term structure of interest rates. The merits and limitations are expounded with respect to allocation and information market efficiency, along with the classical expectations hypothesis concerning the information content of yield curve and bond prices. Efforts are also made towards the resolution of several well-documented puzzles in empirical finance, which include the equity premium puzzle, the risk free rate puzzle, and the money-ness bias phenomenon of Black-Scholes option pricing model.The theory is self-contained and unified in presentation. The inclusion of proofs and derivations to enhance the transparency of the underlying arguments and conditions for the validity of the economic theory makes an ideal advanced textbook or reference book for graduate students specializing in financial economics and quantitative finance. The explanations are detailed enough to capture the interest of those curious readers, and complete enough to provide necessary background material needed to explore further the subject and research literature.
Author : James L. Farrell
Publisher : McGraw-Hill Companies
ISBN 13 :
Total Pages : 376 pages
Book Rating : 4.:/5 (318 download)
Download or read book Guide to Portfolio Management written by James L. Farrell and published by McGraw-Hill Companies. This book was released on 1983 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt:
