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Author : Haim Levy
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (248 download)
Download or read book The Capital Asset Pricing Model Inflation and the Investment Horizon written by Haim Levy and published by . This book was released on 1979 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tsʻung-heng Liu
Publisher :
ISBN 13 :
Total Pages : 422 pages
Book Rating : 4.:/5 (122 download)
Download or read book The Market Investment Horizon and the Capital Asset Pricing Model written by Tsʻung-heng Liu and published by . This book was released on 1984 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Levhari
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (762 download)
Download or read book The Capital Asset Pricing Model and the Investment Horizon written by David Levhari and published by . This book was released on 1977 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Levhari
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (61 download)
Download or read book The Capital Asset Pricing Model written by David Levhari and published by . This book was released on 1977 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Haim Levy
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (253 download)
Download or read book The Capital Asset Pricing Model, Market Thinness and the Investment Horizon written by Haim Levy and published by . This book was released on 1978 with total page 44 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 :
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 : 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 : Srijana Baral
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Inflation Hedging Effectiveness of Farmland and Timberland Assets in the United States written by Srijana Baral and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the effectiveness of private- and public-equity farmland and timberland assets in hedging actual, expected, and unexpected inflation by using the capital asset pricing model under inflation and rolling regressions. Private-equity farmland can hedge all inflation types with a 15-year investment horizon, whereas private- and public-equity timberland can hedge expected and unexpected inflation with a 15- and 30-year investment horizon. Public-equity farmland is found to be an ineffective inflation hedge in the whole sample period (2013Q1-2021Q4). There is also evidence that the financial crisis of 2008 is the cutoff period after which the public-equity farmland and timberland assets become more effective inflation hedges and the ability gets stronger as the investment horizon goes beyond 10 years. Results suggest that the inflation hedging effectiveness depends on the investment horizon and the state of the economy, and differs across farmland and timberland assets.
Author : Nadine Pahl
Publisher : GRIN Verlag
ISBN 13 : 3640303350
Total Pages : 77 pages
Book Rating : 4.6/5 (43 download)
Download or read book Principles of the Capital Asset Pricing Model and the Importance in Firm Valuation written by Nadine Pahl and published by GRIN Verlag. This book was released on 2009-04 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (undergraduate) from the year 2007 in the subject Business economics - Investment and Finance, grade: 1,0, University of Applied Sciences Berlin, course: Financial Management, language: English, abstract: In everything you do, or don't do, there is a chance that something will happen that you didn't count on. Risk is the potential for unexpected things to happen. Risk aversion is a common thing among almost all investors. Investors generally dislike uncertainty or risk and agree that a safe dollar is worth more than a risky one. Therefore, investors will have to be persuaded to take higher risk by the offer of higher returns. In this investment context, the additional compensation for taking on higher risk is a higher rate of return.Every investment has a risk element: The investor will always not be certainwhether the investment will be able to generate the required income. The degree of risk defers from industry to industry but also from company to company. It is not possible to eliminate the investment risk altogether but to reduce is. Nevertheless, often there remains a risky part. According to the degree of risk, the investor demands a corresponding rate of return that is, of course, higher than the rate of return of risk-free investments. Taking on a risk should be paid off. The Capital Asset Pricing Model (CAPM) is an economic model for valuing stocks, securities, derivatives and/or assets by relating risk and expected rate of return. CAPM is based on the idea that investors demand additional expected return if they are asked to accept additional risk.
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 : Kathleen Walsh
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book The Investment Horizon and Asset Pricing Models written by Kathleen Walsh and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Life Cycle Hypothesis suggests that the primary motivation for saving is to accumulate resources in order to fund retirement. This suggests that investors have heterogeneous investment horizons, yet many tests of the CAPM assume homogeneous horizons. This paper estimates a time varying heterogeneous investment horizon using over 200 years of demographic data. We test the CAPM and its assumption that the Equity Risk Premium is positive using our estimated investment horizon. We conclude that the CAPM is not violated when tested over a horizon that more accurately reflects investor behavior.
Author : Edwin J. Elton
Publisher : MIT Press
ISBN 13 : 9780262050593
Total Pages : 504 pages
Book Rating : 4.0/5 (55 download)
Download or read book Investments: Portfolio theory and asset pricing written by Edwin J. Elton and published by MIT Press. This book was released on 1999 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of articles in investment and portfolio management spans the thirty-five-year collaborative effort of two key figures in finance. Each of the nine sections begins with an overview that introduces the main contributions of the pieces and traces the development of the field. Each volume contains a foreword by Nobel laureate Harry Markowitz. Volume I presents the authors' groundbreaking work on estimating the inputs to portfolio optimization, including the analysis of alternative structures such as single and multi-index models in forecasting correlations; portfolio maximization under alternative specifications for return structures; the impact of CAPM and APT in the investment process; and taxes and portfolio composition. Volume II covers the authors' work on analysts' expectations; performance evaluation of managed portfolios, including commodity, stock, and bond portfolios; survivorship bias and performance persistence; debt markets; and immunization and efficiency.
Author : Elaine Tren-Yu Chen
Publisher :
ISBN 13 :
Total Pages : 442 pages
Book Rating : 4.:/5 (29 download)
Download or read book Capital Asset Prices Under Uncertain Inflation written by Elaine Tren-Yu Chen and published by . This book was released on 1976 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : C. de Groof
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (642 download)
Download or read book Adjustment of the Capital Asset Pricing Model for Inflation written by C. de Groof and published by . This book was released on 1976 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thomas A. Lawler
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (441 download)
Download or read book Uncertain Inflation, Systematic Risk, and the Capital Asset Pricing Model written by Thomas A. Lawler and published by . This book was released on 1978 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael J. Brennan
Publisher :
ISBN 13 :
Total Pages : 92 pages
Book Rating : 4.:/5 (13 download)
Download or read book Capital Asset Pricing with a Stochastic Horizon written by Michael J. Brennan and published by . This book was released on 2018 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we present empirical tests of an extended version of the Capital Asset Pricing Model that replaces the single period horizon with a probability distribution over different horizons. Adopting a simple parameterization of the probability distribution of the length of the horizon, we estimate the parameters of the distribution as well as the parameters of the CAPM. We find that the extended model is not rejected for several different samples of common stocks and for these samples outperforms not only the standard CAPM but also the Fama-French (1993) three-factor model. The probability distribution over horizon dates varies over time with the NYSE turnover rate. We also find that returns satisfy the Euler equation of a representative financial institution that holds the market portfolio and has horizon probabilities that we estimate from 13F filings.
