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:
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.
Download or read book Alternative Capital Asset Pricing Models written by Attiya Y. Javed and published by . This book was released on 2000 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
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 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 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:
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:
Download or read book Multifactor Models Do Not Explain Deviations from the CAPM written by Archie Craig MacKinlay and published by . This book was released on 1994 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of studies have presented evidence rejecting the validity of the Capital Asset Pricing Model (CAPM). This evidence has spawned research into possible explanations. These explanations can be divided into two main categories - the risk based alternatives and the nonrisk based alternatives. The risk based category includes multifactor asset pricing models developed under the assumptions of investor rationality and perfect capital markets. The nonrisk based category includes biases introduced in the empirical methodology, the existence of market frictions, or explanations arising from the presence of irrational investors. The distinction between the two categories is important for asset pricing applications such as estimation of the cost of capital. This paper proposes to distinguish between the two categories using ex ante analysis. A framework is developed showing that ex ante one should expect that CAPM deviations due to missing risk factors will be very difficult to statistically detect. In contrast, deviations resulting from nonrisk based sources will be easy to detect. Examination of empirical results leads to the conclusion that the risk based alternatives is not the whole story for the CAPM deviations. The implication of this conclusion is that the adoption of empirically developed multifactor asset pricing models may be premature.
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:
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 The Capital Asset Pricing Model CAPM and Its Relevance as an Investment Decision Tool in the Context of Capital Markets Environment of Developing Countries written by Firman Djunasien and published by . This book was released on 1983 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
Download or read book An Empirical Evaluation of the Capital Asset Pricing Model in South Africa written by Alan James Harris Stewart and published by . This book was released on 1986 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
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.
