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Author :
Publisher : Bookboon
ISBN 13 : 8776817121
Total Pages : 57 pages
Book Rating : 4.7/5 (768 download)
Download or read book The Capital Asset Pricing Model written by and published by Bookboon. This book was released on with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Patrick Casabona
Publisher :
ISBN 13 :
Total Pages : 264 pages
Book Rating : 4.:/5 (528 download)
Download or read book Duration, Beta and the Capital Asset Pricing Model written by Patrick Casabona and published by . This book was released on 1979 with total page 264 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 : 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 : 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 : 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 : William F. Sharpe
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (254 download)
Download or read book The Capital Asset Pricing Model written by William F. Sharpe and published by . This book was released on 1973 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : Alexander Moßhammer
Publisher : GRIN Verlag
ISBN 13 : 365688787X
Total Pages : 20 pages
Book Rating : 4.6/5 (568 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 2015-02-02 with total page 20 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 : 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 : 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 : Abdulkader Aljandali
Publisher : Springer
ISBN 13 : 3319929852
Total Pages : 284 pages
Book Rating : 4.3/5 (199 download)
Download or read book Economic and Financial Modelling with EViews written by Abdulkader Aljandali and published by Springer. This book was released on 2018-10-22 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: This practical guide in Eviews is aimed at practitioners and students in business, economics, econometrics, and finance. It uses a step-by-step approach to equip readers with a toolkit that enables them to make the most of this widely used econometric analysis software. Statistical and econometrics concepts are explained visually with examples, problems, and solutions. Developed by economists, the Eviews statistical software package is used most commonly for time-series oriented econometric analysis. It allows users to quickly develop statistical relations from data and then use those relations to forecast future values of the data. The package provides convenient ways to enter or upload data series, create new series from existing ones, display and print series, carry out statistical analyses of relationships among series, and manipulate results and output. This highly hands-on resource includes more than 200 illustrative graphs and tables and tutorials throughout. Abdulkader Aljandali is Senior Lecturer at Coventry University in London. He is currently leading the Stochastic Finance Module taught as part of the Global Financial Trading MSc. His previously published work includes Exchange Rate Volatility in Emerging Markers, Quantitative Analysis, Multivariate Methods & Forecasting with IBM SPSS Statistics and Multivariate Methods and Forecasting with IBM® SPSS® Statistics. Dr Aljandali is an established member of the British Accounting and Finance Association and the Higher Education Academy. Motasam Tatahi is a specialist in the areas of Macroeconomics, Financial Economics, and Financial Econometrics at the European Business School, Regent’s University London, where he serves as Principal Lecturer and Dissertation Coordinator for the MSc in Global Banking and Finance at The European Business School-London.
Author : David E. Allen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (76 download)
Download or read book Conditional Beta Capital Asset Pricing Model (CAPM) and Duration Dependence Tests written by David E. Allen and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses a sample of 50 companies continuously listed on Main Board of Bursa Malaysia from January 1994 until December 2001 and uses duration dependence tests whilst applying two asset pricing models based on the CAPM; the two Factor Model developed by Fama and French (F & F)(1998) and Ferson, Sarkissian and Simin's (FSS) (2008) conditional beta model applied to estimate the conditional beta of CAPM as to generate the positive and negative abnormal returns. The findings suggest that both the Log Logistic and Weibull hazard models seem to support the existence of negative duration dependence for both positive and negative runs of abnormal returns, consistent with the presence of bubbles theory as predicted by McQueen and Thorley (1994). The negative runs of abnormal returns for both the F & F and FSS models show that more than 80% of the sample seems to support the existence of negative duration dependence using both hazard models. Meanwhile the positive runs show that not more than 80% of the sample rejects the null hypothesis based on LR tests of the absence of duration dependence. Therefore, the analysis and results suggest that the negative runs of abnormal returns are consistent for both hazard models.
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 : Bruno S. Frey
Publisher : Springer
ISBN 13 : 3319474588
Total Pages : 168 pages
Book Rating : 4.3/5 (194 download)
Download or read book Economic Ideas You Should Forget written by Bruno S. Frey and published by Springer. This book was released on 2017-03-08 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reporting on cutting-edge advances in economics, this book presents a selection of commentaries that reveal the weaknesses of several core economics concepts. Economics is a vigorous and progressive science, which does not lose its force when particular parts of its theory are empirically invalidated; instead, they contribute to the accumulation of knowledge. By discussing problematic theoretical assumptions and drawing on the latest empirical research, the authors question specific hypotheses and reject major economic ideas from the “Coase Theorem” to “Say’s Law” and “Bayesianism.” Many of these ideas remain prominent among politicians, economists and the general public. Yet, in the light of the financial crisis, they have lost both their relevance and supporting empirical evidence. This fascinating and thought-provoking collection of 71 short essays written by respected economists and social scientists from all over the world will appeal to anyone interested in scientific progress and the further development of economics.
Author : 50minutes,
Publisher : 50 Minutes
ISBN 13 : 2806266173
Total Pages : 31 pages
Book Rating : 4.8/5 (62 download)
Download or read book Capital Asset Pricing Model written by 50minutes, and published by 50 Minutes. This book was released on 2015-09-02 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Make smart investment decisions to build a strong portfolio This book is a practical and accessible guide to understanding and implementing the capital asset pricing model, providing you with the essential information and saving time. In 50 minutes you will be able to: • Understand the uses of the capital asset pricing model and how you can apply it to your own portfolio • Analyze the components of your current portfolio and its level of efficiency to assess which assets you should retain and which you should remove • Calculate the level of risk involved in new investments so that you make the right decisions and build the most efficient portfolio possible ABOUT 50MINUTES.COM | Management & Marketing 50MINUTES.COM provides the tools to quickly understand the main theories and concepts that shape the economic world of today. Our publications are easy to use and they will save you time. They provide elements of theory and case studies, making them excellent guides to understand key concepts in just a few minutes. In fact, they are the starting point to take action and push your business to the next level.
Author : Robert A. Korajczyk
Publisher :
ISBN 13 :
Total Pages : 424 pages
Book Rating : 4.3/5 (555 download)
Download or read book Asset Pricing and Portfolio Performance written by Robert A. Korajczyk and published by . This book was released on 1999 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.
