Download or read book La stima del costo del capitale nei modelli di Pricing un confronto tra il CAPM e l APT written by Emanuela Bellitto and published by . This book was released on 2003 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Capital Asset Pricing Model written by Ariane de Saeger and published by 50Minutos.es. This book was released on 2023-01-20 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Comprendete gli elementi essenziali del Capital Asset Pricing Model (noto anche come CAPM) in soli 50 minuti con questo libro pratico e conciso. Il modello di determinazione del prezzo del capitale è un metodo matematico utilizzato per stimare la redditività di qualsiasi attività finanziaria. Il CAPM è uno dei metodi di valutazione del rischio più diffusi e mira a fornire agli investitori il maggior numero possibile di informazioni sui potenziali investimenti, consentendo loro di creare il proprio portafoglio di investimenti con una combinazione di attività rischiose e sicure, come ritengono opportuno. Questo libro vi fornirà un'utile introduzione al CAPM e a come utilizzarlo per fare investimenti migliori. Oltre a imparare come ottenere i massimi rendimenti dai vostri investimenti, prenderete in considerazione casi di studio reali, scoprirete le carenze di questo strumento, tra cui il limite della diversificazione del portafoglio, e conoscerete i modelli correlati, come la teoria dei prezzi di arbitraggio e il modello multifattoriale. Il modello di determinazione del prezzo del capitale: Il CAPM è stato sviluppato in un momento in cui i mercati finanziari stavano iniziando a migliorare e a standardizzarsi. Consente agli investitori di prendere decisioni di investimento informate e di soppesare il rischio di un prodotto con i suoi potenziali rendimenti. In altre parole, aiuta gli investitori a sprecare meno denaro possibile e a fare scelte aziendali razionali. Un altro vantaggio del modello è che fornisce il tasso di sconto appropriato per calcolare le entrate future di un'azienda. Inoltre, sebbene possa essere meno accurato di altri metodi, come la teoria dei prezzi di arbitraggio, è più semplice da utilizzare. In questo libro scoprirete come il CAPM può aiutarvi, imparerete a valutare un'attività finanziaria e userete i risultati per fare investimenti migliori. Una chiara spiegazione dei vantaggi e dei potenziali svantaggi del metodo, la discussione di un caso pratico e un'introduzione ai modelli correlati vi forniranno gli strumenti necessari per adattare l'approccio alla vostra situazione.

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.

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:

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.

Download or read book Faktormodelle und Kapitalkosten Factor Models and the Cost of Capital written by Oliver Stiepel and published by GRIN Verlag. This book was released on 2008-07-07 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diplomarbeit aus dem Jahr 2008 im Fachbereich BWL - Unternehmensführung, Management, Organisation, Note: 1,7, Georg-August-Universität Göttingen (Professur für Finanzwirtschaft), Sprache: Deutsch, Abstract: Grundsätzliches Ziel der Arbeit ist es, die Eigenkapitalkosten für ausgewählte Unternehmen anhand verschiedener Modelle zu berechnen und vergleichend gegenüberzustellen. Dabei wird der aktuelle Stand der Diskussion um das CAPM und APT-konforme Mehrfaktormodelle dargestellt und gezeigt, ob die Modellwahl Auswirkungen auf die Höhe der Eigenkapitalkosten hat. Die Arbeit ist in drei Teile gegliedert und ebenso logisch, wie chronologisch aufgebaut. Im ersten Teil (Kap. 2) wird die Entstehung und Theorie der Kapitalmarktmodelle dargestellt. Beginnend mit dem CAPM soll so ein erster Überblick über die im weiteren Verlauf der Arbeit betrachteten Modelle gegeben werden. Neben dem CAPM steht das Fama-French-Modell als spezielle APT im Mittelpunkt der Betrachtung. Der zweite Teil der Arbeit (Kap. 3) gibt einen chronologischen Überblick über die zum Teil hitzig geführte Debatte der dargestellten Kapitalmarktmodelle. Es handelt sich dabei in erster Linie um empirische Studien, die sich mit dem Erklärungsgehalt des CAPMs zur Beschreibung der erwarteten Rendite von Wertpapieren beschäftigen. Diese Studien sind größtenteils einschlägigen Fachzeitschriften, wie z.B. Journal of Finance, Journal of Portfolio Management und Journal of Fianancial Economics, entnommen. Sie zeigen, wie sich aus den Schwächen des CAPMs andere Kapitalmarktmodelle entwickelten, unter anderem das Fama-French-Modell. Die empirischen Ergebnisse werden dabei für den amerikanischen und deutschen Markt gesondert betrachtet. Im dritten Teil der Arbeit (Kap. 4) werden mit Hilfe des CAPMs und des Fama-French-Modells die Eigenkapitalkosten für ausgewählte Unternehmen empirisch bestimmt. Hierzu wird zu Beginn des Kapitels die Datenbasis und die Berechnungsmethodik zur Schätzung der Modellparameter erläutert. Im Folgenden werden die Ergebnisse der Eigenkapitalkostenberechnungen präsentiert und interpretiert. Abschließend erfolgt eine Empfehlung des Autors zur Bestimmung der Eigenkapitalkosten. In Kapitel 5 erfolgt ein Resümee der Arbeit und gibt einen Ausblick auf zukünftige Entwicklungen.

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.

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.

Download or read book Premio per il rischio written by Fouad Sabry and published by One Billion Knowledgeable. This book was released on 2024-02-04 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cos'è il premio per il rischio Per compensare l'esposizione a un livello di rischio più elevato, un individuo è obbligato a pagare un premio per il rischio, che è una misura quantitativa del rendimento aggiuntivo richiesto. Come mostra la formula che segue, è comunemente utilizzato nei campi della finanza e dell'economia. La sua definizione ampia è il rendimento rischioso previsto meno il rendimento privo di rischio. Come trarrai vantaggio (I) Approfondimenti e convalide su i seguenti argomenti: Capitolo 1: Premio per il rischio Capitolo 2: Economia finanziaria Capitolo 3: Modello di determinazione del prezzo delle attività di capitale Capitolo 4: Costo medio ponderato del capitale Capitolo 5: Avversione al rischio Capitolo 6: Costo del capitale Capitolo 7: Teoria moderna del portafoglio Capitolo 8: Teoria dei prezzi di arbitraggio Capitolo 9: Beta (finanza) Capitolo 10: Puzzle del premio azionario Capitolo 11: Alfa di Jensen Capitolo 12: Rischio azionario Capitolo 13: Anomalia del mercato Capitolo 14: Valutazione aziendale Capitolo 15: Costo del capitale proprio Capitolo 16: Diversificazione (finanza) Capitolo 17: Fama? Modello francese a tre fattori Capitolo 18: Gestore di portafoglio Capitolo 19: Basso -anomalia della volatilità Capitolo 20: Attività non negoziabili Capitolo 21: Investimento fattoriale (II) Rispondere alle principali domande del pubblico sul premio di rischio. (III) Esempi reali dell'utilizzo del premio di rischio in molti campi. A chi è rivolto questo libro Professionisti, studenti universitari e laureati studenti, appassionati, hobbisti e coloro che vogliono andare oltre le conoscenze o le informazioni di base per qualsiasi tipo di premio di rischio.

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.

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.

Download or read book La stima del costo del capitale written by Michele Di Marcantonio and published by G Giappichelli Editore. This book was released on 2017-11-24 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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.