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Author : 游禮維
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (772 download)
Download or read book Testing the Equivalence of Regressions for the Capital Asset Pricing Models written by 游禮維 and published by . This book was released on 2007 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author : Cheng F. Lee
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (31 download)
Download or read book Specification Error, Random Coefficient and the Risk-return Relationship Test in Capital Asset Pricing written by Cheng F. Lee and published by . This book was released on 1980 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anthony P. Rodrigues
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (873 download)
Download or read book A Test of International CAPM written by Anthony P. Rodrigues and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose and implement a Wald test of the international capital asset pricing model. Ex post asset returns are regressed on asset supplies. CAPM requires that the matrix of coefficients from a regression of n rates of return on n asset supply shares be proportional to the covariance matrix of the residuals from those regressions. We test this restriction in the context of a model that aggregates all outside financial assets for each of ten countries. We do not find strong support for the restrictions of CAPM
Author : Jad Zouheir Nohra
Publisher :
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.:/5 (787 download)
Download or read book Testing the Linear Relationship of the Capital Asset Pricing Model written by Jad Zouheir Nohra and published by . This book was released on 2007 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main purpose of the project is to relate the risk of assets to their expecte d returns (mainly assets that are traded on a handful of developed markets, incl uding US, Japanese, French, and German exchanges). In order to do so, we refer t o the Capital Asset Pricing Model (CAPM) which consists of relating the risk of an asset to its expected return by comparing it to the overall stock market. Thi s model is based on the existence of a linear relationship between the expected return of a given asset, and the market rate of return. Consequently, any return that is not explained by this linear relationship (abnormal return) will lead u s to reject the theoretical linear relationship stated and formulated in the CAP M. The first chapter will introduce the topic. The second chapter consists of prese nting the CAPM, its critiques and extensions. In the third chapter, a literature review will be conducted. Then, in the fourth chapter I will undertake time ser ies/cross-sectional analyses of the aforementioned equity markets in order to te st the CAPM model itself. The same stocks will be tested using the international version of the model. Finally, in the fifth chapter I will conclude with the im plications of my findings for asset pricing and investment.
Author : Pierre Henri Hillion
Publisher :
ISBN 13 :
Total Pages : 574 pages
Book Rating : 4.:/5 ( download)
Download or read book The Econometric Problems Associated with Size-sorted Portfolios in Empirical Tests of the Capital Asset Pricing Model written by Pierre Henri Hillion and published by . This book was released on 1988 with total page 574 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zongwu Cai
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (122 download)
Download or read book Testing Capital Asset Pricing Models Using Functional-coefficient Panel Data Models with Cross-sectional Dependence written by Zongwu Cai and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Terry A Marsh
Publisher : Sagwan Press
ISBN 13 : 9781376962604
Total Pages : 68 pages
Book Rating : 4.9/5 (626 download)
Download or read book Capital Asset Pricing Model Tests in a Term Structure Context written by Terry A Marsh and published by Sagwan Press. This book was released on 2018-02-07 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author : Alain Danan
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (615 download)
Download or read book A Test of the Capital Asset Pricing Model written by Alain Danan and published by . This book was released on 1974 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Edward M. Rice
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (31 download)
Download or read book Portfolio Performance, Residual Analysis and Capital Asset Pricing Model Tests written by Edward M. Rice and published by . This book was released on 1979 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent work by Richard Roll has challenged the worth of portfolio performance measures based on the capital asset pricing model. This paper demonstrates that Roll's conclusions are due to his inappropriate use of a 'truly' ex-ante efficient index. Using a choice and information theoretic framework, an appropriate index is shown to be efficient relative to to the probabilities assessed by the 'market.' Residual analyses and portfolio performance tests, using such an index, yield meaningful results for a wide class of information structures. Roll's primary criticisms, however, relate to tests of the model itself. We argue that these criticisms are vastly overstated.
Author : Michael C. Jensen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Capital Asset Pricing Model written by Michael C. Jensen and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Darmawan Napitupulu
Publisher : European Alliance for Innovation
ISBN 13 : 1631903470
Total Pages : 501 pages
Book Rating : 4.6/5 (319 download)
Download or read book ICEBE 2021 written by Darmawan Napitupulu and published by European Alliance for Innovation. This book was released on 2022-04-20 with total page 501 pages. Available in PDF, EPUB and Kindle. Book excerpt: ICEBE is “International Conference of Economics, Business & Entrepreneurship on Global Innovation and Trend in Economy”. The fourth ICEBE 2021 conference was held on October 7, 2021 as a joint collaboration from four distinguished universities in Indonesia, which are Universitas Lampung, Universitas Multimedia Nusantara, Universitas Bhayangkara Raya Jaya and Universitas Malahayati. This conference has brought researchers, scholars and practitioners who were passionate to share their thoughts and research findings on current business management, accounting and economics latest issues. The theme of ICEBE 2021 was “Reshaping Business Strategy Through Technological Innovation from Post Covid-19 Recovery”.
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:
Author : Ali Jahankhani
Publisher :
ISBN 13 :
Total Pages : 320 pages
Book Rating : 4.:/5 (418 download)
Download or read book Empirical Tests of the Capital Asset Pricing Model written by Ali Jahankhani and published by . This book was released on 1977 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert R. Grauer
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (31 download)
Download or read book A Correlations Test of the Capital Asset Pricing Model written by Robert R. Grauer and published by . This book was released on 1983 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Irene Shuen Wei Se
Publisher :
ISBN 13 :
Total Pages : 86 pages
Book Rating : 4.:/5 (243 download)
Download or read book Testing Capital Asset Pricing Models with Unconditional and Conditional Alphas and Betas written by Irene Shuen Wei Se and published by . This book was released on 2000 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jon A. Christopherson
Publisher : McGraw Hill Professional
ISBN 13 : 0071733183
Total Pages : 14 pages
Book Rating : 4.0/5 (717 download)
Download or read book Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
