Download or read book An evaluation of the original and recent variants of the capital asset pricing model written by Samuel C. Hadaway and published by . This book was released on 1975 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 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.

Download or read book The Arbitrage Model of Security Returns written by Bradford Jordan and published by . This book was released on 2019-05-31 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Over the last two decades, the Capital Asset Pricing Model (CAPM) has emerged as the dominant theoretical basis for much of the research in financial economics. Because direct observation of the market portfolio is a pre-requisite for any valid application of the CAPM, it cannot serve as a theoretical basis for empirical research in securities markets. The Arbitrage Pricing Theory (APT) is a theoretical alternative to the CAPM in which the market portfolio plays no particular role. The purpose of this research is to develop and test a model of the security return generating process based on the APT. Particular emphasis is placed on two facets of the proposed arbitrage model. First, the central prediction of the APT is an absence of arbitrage opportunities, the empirical identification of which would lead to a rejection of the theory. Thus, the first use to which the model is put is the examination of abnormal performance for the securities individually and jointly. The second application involves an event study comparison of the arbitrage model and a popular variant of the market model. The objective of this comparison is to establish the stability and usefulness of the arbitrage model against a known benchmark. In light of the growing list of empirical anomalies associated with the market model and the difficulties in application of the CAPM, an empirically tractable and theoretically sound model of security returns would be a significant step forward in financial research. The data used in the study are daily returns for individual securities from the CRSP file and cover the period 1962 through 1979. The results indicate substantial support for the APT and the arbitrage model. Significant arbitrage opportunities are found to occur in less than 1% of the individual cases, and the hypothesis of jointly zero abnormal performance cannot be rejected in any case. In the event study comparison, the arbitrage model was found to work at least as well as the market model in all cases and was markedly superior in accounting for the January effect. Dissertation Discovery Company and University of Florida are dedicated to making scholarly works more discoverable and accessible throughout the world. This dissertation, "The Arbitrage Model of Security Returns" by Bradford Dunson. Jordan, was obtained from University of Florida and is being sold with permission from the author. A digital copy of this work may also be found in the university's institutional repository, IR@UF. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation.

Download or read book An Evaluation of International Asset Pricing Models written by Magnus Dahlquist and published by . This book was released on 2008 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses the ability of international asset pricing models to explain the cross-sectional variation in expected returns. All the models considered seem to capture national market returns fairly well. However, global portfolios, sorted on earnings-price ratio and market value, pose a special challenge. We find that an unconditional international CAPM cannot explain the cross-sectional variation in these portfolio returns. Interestingly, a conditional international asset pricing model that includes foreign exchange risk factors is able to explain a large part of the variation in average returns. Our empirical work suggests that this model has the same explanatory ability as an international three-factor model, where zero-cost portfolios based on earnings-price ratios and market values are used in addition to the world market portfolio. Importantly, the loadings associated with the zero-cost portfolios are driven out by the characteristics themselves, indicating a misspecification.

Download or read book Asset Pricing and Portfolio Performance written by Robert A. Korajczyk and published by . This book was released on 1999 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.

Download or read book A Surprising Development written by James Kurt Dew and published by . This book was released on 2001 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper performs two tests of the efficient market hypothesis in the markets for Turkish securities using GARCH-M methods. The first test is a joint test of the Efficient Market Hypothesis and a Multifactor Capital Asset Pricing Model. We wondered if a Capital Asset Pricing Model with inter-temporal variation of risks would shed any light on the reason for surprisingly low estimates of beta in the Classical Capital Asset Pricing Model for Turkey and other Emerging Markets. We also wondered whether, because of the newness and high volatility of Turkey's financial markets, we could find market inefficiencies. We find that we cannot reject the null hypothesis that the CAPM applies and Turkish securities markets are efficient. The first test analysis also provides an estimate of the cost of capital in Turkey and gives us an estimated value of the beta of Turkey's common stock with the World stock portfolio of about one. The second test develops a forecasting model for returns to a specific portfolio, long the ISE Dollar Index and short the Samp;P 500 composite. We sought once again evidence of market inefficiency by asking whether returns to this portfolio were greater than or were commensurate with its systematic risks. We find that simply buying and holding the portfolio produced a low ratio of return to risk, suggesting that the portfolio is not on the efficient frontier of the Capital Market line. But we found that an active trading rule generates very high returns. Normally this is evidence of weak form inefficiency. But because portfolio risks also vary over time we still cannot reject the efficient market hypothesis. A surprising development.

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 An evaluation of capital asset pricing model theory in the determination of diversification strategy written by Francis David Durand and published by . This book was released on 1978 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Death of the Capital Asset Pricing Model written by Min Deng and published by . This book was released on 2017 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: The expected return of the stock described by the Portfolio Theory and the CAPM is not the true expected return of the stock in the real-life world. In the real-life world, the expected return could not replace the actual return of the stock, variance of the return could not replace the risk of the stock, and there is no trade-off between the expected return and variance of the return of the stock.An intensive analysis of the central prediction along with its implications which constitute the core of the CAPM lead to the following conclusions: (i) As a model of the determination of the expected return of the stock, the CAPM does not include the true expected return of the stock in the real-life world, which is the most critical factor. The CAPM is an unscientific description of the determination of the expected return of the stock in the real-life world, investors could not use it to calculate the true expected return of the stock in the real-life world. (ii) As a stock pricing model, the CAPM is an untrue description of the actual stock pricing in the real-life world. The CAPM can neither scientifically describe the actual stock pricing mechanism and process nor provide quantitative explanations on the formation of the actual return of the stock. The CAPM basically mixes up the determination of the expected return of the stock and the determination of the pricing of the stock, which are two issues of an entirely different nature. (iii) The CAPM central prediction that market portfolio is a mean-variance efficient portfolio is not supported by the real world data. In the real world, there is neither linear relationship nor any other relationship between the expected return of the stock and beta. Differences in betas are fully incapable of explaining the differences in expected returns across stocks and portfolios, beta is not the reasonable measure of the actual risk of the stock. (iv) The conclusion of this paper confirms with the current consensus within the profession that beta--the single risk factor is not quite enough for describing the cross-section of the expected returns of the stock.

Download or read book Comprehensive Dissertation Index written by and published by . This book was released on 1989 with total page 978 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An evaluation of the capital asset pricing model as a capital budgeting technique for the small firm written by Willard Eldridge Brown and published by . This book was released on 1976 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Evaluation of the Capital Asset Pricing Model and the Arbitrage Pricing Theory in the Pricing of Assets written by P. M. Linley and published by . This book was released on 1992 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Investment Evaluation and Parameter Stability of a Nominal and Real Capital Asset Pricing Model written by John E. Wagner and published by . This book was released on 1990 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Catalog of Copyright Entries Third Series written by Library of Congress. Copyright Office and published by Copyright Office, Library of Congress. This book was released on 1977 with total page 1480 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Capital Asset Pricing Model in the 21st Century written by Haim Levy and published by Cambridge University Press. This book was released on 2011-10-30 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized theoretically and empirically. The advent of behavioral economics, prospect theory and other psychology-minded approaches in finance challenges the rational investor model from which CAPM and M-V derive. Haim Levy argues that the tension between the classic financial models and behavioral economics approaches is more apparent than real. This book aims to relax the tension between the two paradigms. Specifically, Professor Levy shows that although behavioral economics contradicts aspects of expected utility theory, CAPM and M-V are intact in both expected utility theory and cumulative prospect theory frameworks. There is furthermore no evidence to reject CAPM empirically when ex-ante parameters are employed. Professionals may thus comfortably teach and use CAPM and behavioral economics or cumulative prospect theory as coexisting paradigms.

Download or read book Portfolio Theory and Capital Markets written by William F. Sharpe and published by McGraw-Hill Companies. This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Thirty years ago, Portfolio Theory and Capital Markets laid the groundwork for today's investment standards, from modern portfolio theory to derivatives, pricing and investment, equity index funds, and more. By providing invaluable insights into the Capital Asset Pricing Model (CAPM) and introducing such innovations as the Sharpe Ratio, Dr. William Sharpe established himself as one of the most influential financial minds of the twentieth century. Now, in Portfolio Theory and Capital Markets, The Original Edition, complete with a new foreword written by Dr. Sharpe, McGraw-Hill reintroduces this essential book - and places its lessons in a meaningful context for modern investors throughout the world."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved