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 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 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 The Arbitrage Pricing Theory as an Approach to Capital Asset Valuation written by Christian Koch and published by GRIN Verlag. This book was released on 2009-02-27 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diploma Thesis from the year 1996 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, European Business School - International University Schloß Reichartshausen Oestrich-Winkel, language: English, abstract: A “few surprises” could be the trivial answer of the Arbitrage Pricing Theory if asked for the major determinants of stock returns. The APT was developed as a traceable framework of the main principles of capital asset pricing in financial markets. It investigates the causes underlying one of the most important fields in financial economics, namely the relationship between risk and return. The APT provides a thorough understanding of the nature and origins of risk inherent in financial assets and how capital markets reward an investor for bearing risk. Its fundamental intuition is the absence of arbitrage which is, indeed, central to finance and which has been used in virtually all areas of financial study. Since its introduction two decades ago, the APT has been subject to extensive theoretical as well as empirical research. By now, the arbitrage theory is well established in both respects and has enlightened our perception of capital markets. This paper aims to present the APT as an appropriate instrument of capital asset pricing and to link its principles to the valuation of risky income streams. The objective is also to provide an overview of the state of art of APT in the context of alternative capital market theories. For this purpose, Section 2 describes the basic concepts of the traditional asset pricing model, the CAPM, and indicates differences to arbitrage theory. Section 3 constitutes the main part of this paper introducing a derivation of the APT. Emphasis is laid on principles rather than on rigorous proof. The intuition of the pricing formula and its consistency with the state space preference theory are discussed. Important contributions to the APT are classified and briefly reviewed, the question of APT’s empirical evidence and of its risk factors is attempted to be answered. In Section 4, arbitrage theory is linked to traditional as well as to innovative valuation methods. It includes a discussion of the DCF method, arbitrage valuation and previews an option pricing approach to security valuation. Finally, Section 5 concludes the paper with some practical considerations from the investment community.
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 Cost of Capital written by Shannon P. Pratt and published by John Wiley & Sons. This book was released on 2008-02-25 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this long-awaited Third Edition of Cost of Capital: Applications and Examples, renowned valuation experts and authors Shannon Pratt and Roger Grabowski address the most controversial issues and problems in estimating the cost of capital. This authoritative book makes a timely and significant contribution to the business valuation body of knowledge and is an essential part of the expert's library.
Download or read book The Capital Asset Pricing Model in the 21st Century written by Haim Levy and published by . This book was released on 2014-05-14 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Project Theory and the classical models in finance (e.g., the CAPM) seemingly contradict each other, creating a teachin and a research dilemma to professors in finanace and econommics, This tension is particualrly strong for professors who teach both the CAPM and behavioral finance. This book bridges between Prospect Theory and the Classical Models in finance showing that there is no contradictions between them"--
Download or read book Cost of Capital in Managerial Finance written by Dennis Schlegel and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines cost-of-capital models and their application in the context of managerial finance. This includes the use of hurdle rates in capital allocation decisions, as well as target returns in performance management. Besides a review of classical finance models such as the Capital Asset Pricing Model (CAPM), other contemporary models and techniques to determine the cost-of-capital of business units and private companies are discussed. Based on a mixed methods approach, current cost-of-capital practices and their determinants are empirically analyzed among German companies.
Download or read book Modern Portfolio Theory the Capital Asset Pricing Model and Arbitrage Pricing Theory written by Diana R. Harrington and published by Prentice Hall. This book was released on 1987 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Cost of Capital written by Shannon P. Pratt and published by John Wiley & Sons. This book was released on 2010-10-26 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Fourth Edition of Cost of Capital Workbook and Technical Supplement "Pratt and Grabowski went the extra mile to supplement their magnum opus by providing this Workbook and Technical Supplement. As a finance professor for many years, I know from experience that students and teachers really value supplements to textbooks. It allows the teacher to help the student to review and apply what was presented in the text, and the PowerPoints are a great service to teachers in course preparation. The website provides various worksheets that show the inner workings of the models. I enthusiastically recommend the Workbook and Technical Supplement to finance professors and teachers and their students. —Daniel L. McConaughy, PhD, ASA, Professor of Finance, California State University, Northridge, Valuation Services, Crowe Horwath LLP "The Workbook and Technical Supplement provides a detailed tutorial on understanding and executing the theoretical concepts explained in the Fourth Edition. This supplement is three books in one. Part One is a step-by-step tutorial on estimating certain key components of the cost of equity capital. Part Two provides a bridge between the theory and some practical applications, such as estimating the cost of capital for real property. Parts Three and Four allow the readers to test their comprehension of the concepts and identify areas for a review. It is almost as good as having Professors Pratt and Grabowski looking over your shoulder to ensure that one is both comprehending and correctly implementing the complex concepts.." —Ashok Abbott, PhD, Associate Professor of Finance, College of Business & Economics, West Virginia University "This text provides the most comprehensive coverage of cost of capital issues that I have seen to date. Messrs. Pratt and Grabowski have created a very accessible and lucid treatment of what most would consider an opaque subject. The Fourth Edition is especially important for its new topics as well as expanded coverage of concepts from earlier editions. Of particular interest is the review of the extreme market conditions during the 2008–2009 crisis and the effect that the unprecedented volatility had on traditional cost of capital models. For years, Pratt and Grabowski's research has informed the business valuation curriculum of the American Society of Appraisers. This book will be added to our reading list, and thousands of students worldwide will benefit from the state?of?the?art content of the Fourth Edition and the companion Workbook and Technical Supplement. Furthermore, Cost of Capital, Fourth Edition should be a mandatory part of every valuation practitioner's library. If you buy this book, you can expect it to become well worn and remain on your desk within arm's length until the publication of the Fifth Edition." —John Barton, ASA, CPA, Chairman, Business Valuation Committee, ASA "Cost of capital is so much more complex than it used to be. With so many additional considerations regarding each variable of the cost of capital formula, this book is a must for anyone that needs to understand or develop a discount rate. Even the most experienced practitioner will benefit from the outstanding work of Pratt and Grabowski. This book has to become part of your library." —Gary R. Trugman, CPA/ABV, MCBA, ASA, MVS, President, Trugman Valuation Associates, Inc.
Download or read book Testing Multi factor Asset Pricing Models in the Visegrad Countries written by Magdalena Morgese Borys and published by . This book was released on 2007 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Capital Asset Pricing Theories evolution and New Frontiers written by Russell J. Fuller and published by . This book was released on 1981 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Perspectives in Capital Asset Pricing written by Don U. A. Galagedera and published by . This book was released on 2007 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt:
