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Capital Asset Pricing Model Capm Applicability In The South African Context And Alternative Pricing Models
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Book Synopsis Capital Asset Pricing Model (CAPM) Applicability in the South African Context and Alternative Pricing Models by : Brad Carter
Download or read book Capital Asset Pricing Model (CAPM) Applicability in the South African Context and Alternative Pricing Models written by Brad Carter and published by . This book was released on 2015 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Applicability of Black's Variation of the Capital Asset Pricing Model (CAPM) in the South African Context by : Bradley Carter
Download or read book The Applicability of Black's Variation of the Capital Asset Pricing Model (CAPM) in the South African Context written by Bradley Carter and published by . This book was released on 2017 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ability to accurately price equity is an ineluctable requirement within businesses where decisions need to be taken daily that impact upon the future viability of that business. The Capital asset pricing model (CAPM) is the preeminent tool, that has become entrenched within academia and business, for estimating the cost of equity capital.This study aimed to prove whether the application of the CAPM, in various forms, including the Black's CAPM, was merely a myopic inculcation of the academic and business spheres, or whether it truly reflected the empirical reality of South African markets. The research discredits eight variations of the CAPM through a quantitative causal design, which employed t-tests and ANOVAs, tested upon a sample of the largest 160 shares on the JSE.
Book Synopsis The Stability of Beta and the Usability of the Capital Asset Pricing Model in the South African Context by : Willem John Keogh
Download or read book The Stability of Beta and the Usability of the Capital Asset Pricing Model in the South African Context written by Willem John Keogh and published by . This book was released on 1994 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Application of Capital Asset Pricing (CAPM) and Arbitrage Pricing Theory (APT) Models in Athens Exchange Stock Market by : Eleftherios Giovanis
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.
Book Synopsis Limitations of the Capital Asset Pricing Model (CAPM) by : Manuel Kürschner
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.
Book Synopsis Market Derived Capital Asset Pricing Model by : Samuel William Chivaura
Download or read book Market Derived Capital Asset Pricing Model written by Samuel William Chivaura and published by . This book was released on 2013 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Principles of the Capital Asset Pricing Model and the Importance in Firm Valuation by : Nadine Pahl
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.
Book Synopsis The Capital Asset Pricing Model for Financial Decision-making Under South African Conditions by : Hendrik Johannes Petrus Van Rhijn
Download or read book The Capital Asset Pricing Model for Financial Decision-making Under South African Conditions written by Hendrik Johannes Petrus Van Rhijn and published by . This book was released on 1994 with total page 756 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Capital Asset Pricing Model (CAPM). A Case Study by : Alexander Moßhammer
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.
Book Synopsis South African Applications of the Capital Asset Pricing Model by : C. N. Booth
Download or read book South African Applications of the Capital Asset Pricing Model written by C. N. Booth and published by . This book was released on 19?? with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Test of the "Capital Asset Pricing Modell" (CAPM) on Current Stock Data by : Lucas Ammelung
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 2020-12-30 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2020 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, Munich University of Applied Sciences, language: English, abstract: The goal of this study is thus to determine the best available asset pricing model in Germany and whether the use of pre-existing datasets, with the factors already calculated, brings results as accurate as a custom dataset. This is relevant in Germany as the CAPM is still the most commonly used way to compute the cost of equity with 34% of companies using it. Another 16% of companies are using asset pricing models with additional risk factors. To determine the answer to this, this study will look into the aforementioned three most commonly used models: the CAPM, the Fama and French three-factor model and the Carhart four-factor model. After explaining the background and functioning of the CAPM, this study will show the flaws within the model and how these flaws led to extensions of the CAPM. Each model will then be statistically analyzed with three distinct sets of data. Two of these are publicly available, while the last has been calculated for this study. Lastly, to understand how the difference in data used can influence the results from asset pricing models, the runtime and underlying factor of datasets will be modified, re-analyzed and compared to the initial results.
Book Synopsis The Relationship Between the Future Outlook of Market Risk and Capital Asset Pricing by : G. J. Van den Berg
Download or read book The Relationship Between the Future Outlook of Market Risk and Capital Asset Pricing written by G. J. Van den Berg and published by . This book was released on 2010 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Towards Reformulation of The Capital Asset Pricing Model (CAPM) Focusing on Idiosyncratic Risk and Roll's Meta-Analysis by : Edward J. Lusk
Download or read book Towards Reformulation of The Capital Asset Pricing Model (CAPM) Focusing on Idiosyncratic Risk and Roll's Meta-Analysis written by Edward J. Lusk and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding idiosyncratic risk represents the next important challenge in the evolution of the Capital Asset Pricing Model [CAPM]. After years of trying to fine tune this simple and elegant model, research is now being focused on the filtered output of the CAPM- the residuals. The reason is simple: the CAPM provides some indicator information but falls far short of explaining, in a predictive sense, asset returns in the trading markets. This then rationalizes the next step that is focused on Knight's concept of uncertainty as this is the model characterization of the residuals of the CAPM. Given the insightful analysis of Roll (1988), where, in terms of R2, the CAPM explains less than 50 per cent of the relative linear movement of the firm's returns relative to those of the market, it is clear that the next analytic issue to be addressed is to sort out the structure of the residuals of the CAPM. This has now resulted in the collection of information that tries to explain or give structure to the uncertainty represented by these residuals. After a summary of the relevant literature where the collection of such information has been reported, we report on the analysis of the corporate social responsibility [CSR] dimension of a firm's market profile. We find that the CSR aspect does indeed provide additional information useful in understanding idiosyncratic risk within the context of the CAPM.
Book Synopsis Revisting CAPM And FAMA French Three Factor Model In Indian Equity Market by : Neharika Sobti
Download or read book Revisting CAPM And FAMA French Three Factor Model In Indian Equity Market written by Neharika Sobti and published by . This book was released on 2019 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study aims to explore the applicability of the two most widely used asset pricing models - Capital Asset Pricing Model (CAPM) and Fama French Three Factor Model in the Indian equity market for the period 2005-2015. The study follows Fama Macbeth (1973) methodology of two pass regression to compare both models and draw new insights with regard to informational efficiency of the Indian equity markets. An attempt has been made to evaluate the ability of the alternative asset pricing model to explain variation in returns owing to firm specific characteristics like size and value for 498 companies listed on S&P CNX 500. The study found that Fama French Three Factor Model is a better model than one factor CAPM. A non-linear relationship was found between excess returns and beta (systematic risk) for CAPM contradicting the previous studies. Size effect stills prevails in India equity market whereas value effect is not discernable for the current period.
Book Synopsis Alternative Dynamic Capital Asset Pricing Models by : Chiung-Min Tsai
Download or read book Alternative Dynamic Capital Asset Pricing Models written by Chiung-Min Tsai and published by . This book was released on 2005 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Capital Asset Pricing Model as a Tool for Investment Decisions in South Africa by : Bavanethan Pillay
Download or read book The Capital Asset Pricing Model as a Tool for Investment Decisions in South Africa written by Bavanethan Pillay and published by . This book was released on 2014 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Single Vs. Simultaneous Equation Model in Capital Asset Pricing by : Cheng F. Lee
Download or read book The Single Vs. Simultaneous Equation Model in Capital Asset Pricing written by Cheng F. Lee and published by . This book was released on 1978 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, alternative capital asset pricing models (CAPM) are first reviewed and criticized. Then a new simultaneous equation CAPM is derived to take the essences of the existing capital asset pricing models into account. Some data are also used to show the usefulness of the new CAPM derived in this study.
