Download or read book Testing the Validity of the Capital Asset Pricing Model written by Zena Adnan Mroueh and published by . This book was released on 1997 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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.

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.

Download or read book Testing the CAPM on the German Stock Market written by Daniel Loskamp and published by GRIN Verlag. This book was released on 2007-12 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2005 in the subject Business economics - Investment and Finance, grade: 1,3, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, course: Asset Management Seminar, 34 entries in the bibliography, language: English, abstract: Although the model is widely accepted and practically used as explained above, it is nevertheless far from being perfect as outlined in its record of empirical studies.9 Generally criticized is on the one hand that the underlying assumptions of the model are very theoretical and thus not able to illustrate reality and on the other one that there are problems in implementing well-founded tests of the model relating to the choice of the right market portfolio.10 But, the success of the CAPM will remain as long as there is no other model which offers as " ...] powerful and intuitively pleasing predictions about how to measure risk and the relation between risk and return."11 The objective of this study is to empirically test the CAPM on the German stock market. Since most of the empirical studies that have been made in the past focus on the U.S. stock market, this paper will try to find out if the results of these U.S. empirical studies can also be shown on the German stock market. Therefore, the goal of this paper is to analyze the relationship between risk and return on the German stock market to find out whether the CAPM holds.

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.

Download or read book Testing a Multi Factor Capital Asset Pricing Model in the Jordanian Stock Market written by Dr. Mohammad Elshqirat and published by . This book was released on 2019 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: A valid and accurate capital asset pricing model (CAPM) may help investors and mutual funds managers in determining expected returns which may lead to increase their profits and community resources. The problem is that the traditional CAPM does not accurately predict the expected rate of return. A more accurate model is needed to help investors in determining the intrinsic price of the financial asset they want to sell or buy. The purpose of this study was to examine the validity of the single-factor CAPM and then develop and test a multifactor CAPM in the Jordanian stock market. The study was informed by the modern portfolio theory and specifically by the single-factor CAPM developed by Sharpe, Lintner, and Mossin. The research questions for the study examined the factors that may explain the variation in the expected rate of return on stocks in the Jordanian stock market and the relationship between the expected rate of return and factors of market return, company size, financial leverage, and operating leverage. A causal-comparative quantitative research design was employed to achieve the purpose of the study by testing the listed companies on the Amman stock exchange (ASE) for the period from 2000 to 2015. Data were collected from the ASE database and analyzed using the multiple regression model and t test. The results revealed that market return, company size, and financial leverage are not predictors of the expected rate of return while operating leverage is a predictor.

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 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 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 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 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:

Download or read book Empirical Test of Capital Asset Pricing Model on Selected Banking Shares from Borsa Istanbul written by Dr. Fuzuli Aliyev and published by . This book was released on 2018 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we tested Capital Asset Pricing Model (shortly CAPM hereafter) on the selected banking stocks of Borsa Istanbul. Here we tried to explain how to price financial assets based on their risks in the case of BIST-100 index. CAPM is an important model in the portfolio management theory used by economic agents for the selection of financial assets. We used 12 random banking stocks' monthly return data for 2001-2010 periods. To test the validity of the CAPM, we first derived the regression equation for the risk-free interest rate and risk premium relationship using January 2001-December 2009 data. Then, estimated January-December 2010 returns with the equation. Comparing forecasted return with the actual return, we concluded that the CAPM is valid for the portfolio consisting of the 12 banks traded in the ISE, ie. The model could predict the overall outcome of portfolio of selected banking shares.

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:

Download or read book Evaluation of the Capital Asset Pricing Model written by Bassam Labib Nassar and published by . This book was released on 2003 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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.

Download or read book Capital Asset Pricing Model Tests in a Term Structure Context Classic Reprint written by Terry A. Marsh and published by Forgotten Books. This book was released on 2018-02-04 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Capital Asset Pricing Model Tests in a Term Structure Context The stochastic beta model under the second interpretation of (1) includes the stable beta as a special case; i.e., it nests the stable beta model. Additionally, it will be shown that the stable beta model (1) nests the traditional capm. The rationale for nesting models in this manner is that it takes a model to beat a model, so that tests are best structured to focus on the incremental explanatory power of the increasingly more elaborate models. Indeed, outside this nested hypothesis framework, it is not clear what it even means to reject (say) the traditional capm against a general unspecified alternative. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.

Download or read book Validity of the Asset Pricing Models in Applications to the U S and Korean Markets written by Woong Bae Kim and published by . This book was released on 2018 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Being a simple and intuitive model, the capital asset pricing model (CAPM) has been widely applied to countless cases that require asset pricing for decades. However, there have been doubts about the model recently regarding its loss of explanatory power. Therefore, I will be checking on the validity of CAPM in two different markets, the U.S. and Korean markets, and different periods using the Fama-Macbeth method. Fama-French (1993, 2015) Factor models are also ground-breaking models that incorporate empirical evidence for size and value premium into asset pricing model. I will also be exploring not only the validity of both the Three Factor and the Five Factor models but also the types of flaws they have in different markets.