Download or read book The Capital Asset Pricing Model Tests of Portfolios Selected from Stocks with Poor Past Performance and an Investigation of the Acility sic of Discriminant Analysis to Differentiate Performance written by Wayne Alan Fairburn and published by . This book was released on 1975 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Portfolio Performance Residual Analysis and Capital Asset Pricing Model Tests written by Edward M. Rice and published by . This book was released on 1979 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent work by Richard Roll has challenged the worth of portfolio performance measures based on the capital asset pricing model. This paper demonstrates that Roll's conclusions are due to his inappropriate use of a 'truly' ex-ante efficient index. Using a choice and information theoretic framework, an appropriate index is shown to be efficient relative to to the probabilities assessed by the 'market.' Residual analyses and portfolio performance tests, using such an index, yield meaningful results for a wide class of information structures. Roll's primary criticisms, however, relate to tests of the model itself. We argue that these criticisms are vastly overstated.

Download or read book National Union Catalog written by and published by . This book was released on 1978 with total page 1032 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 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 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Capital Asset Pricing Model written by Sachin Kuruvithadam and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Das Ziel dieser Arbeit ist es, die Gültigkeit des Capital-Asset-Pricing-Modells (CAPM) zu überprüfen. Zu diesem Zweck wird ein Test auf Portfolios mit amerikanischen Large-Caps-Aktien durchgeführt und der S&P500 Index wird als Proxy für das Marktportfolio verwendet. Der Betrachtungszeitraum umfasst neun Jahren von 2005 bis 2013. Dieser Zeitraum ist ebenfalls in drei Teilperioden von je drei Jahren aufgeteilt, um die Stationarität einiger Parameter zu bewerten. Zuerst wird eine Zeitreihenanalyse durchgeführt, um den Risikokoeffizient Beta und den Achsenabschnitt Alpha für jedes Portfolio zu schätzen und ihre statistische Signifikanz zu testen. Dann wird eine Querschnittsanalyse durchgeführt, um zu beurteilen, ob die aus der Zeitreihe geschätzte Betas zu den Ergebnissen führen, die vom Modell vorausgesetzt werden. Die Ergebnisse zeigen deutliche Abweichungen vom CAPM . Auch wenn die Beta-Werte statistisch signifikant gewesen sind, haben sich einige von ihnen von Teilperiode zu Teilperiode verändert, was zur Folge hat, dass die Schätzungen nicht stationär sind. Die Schätzungen der Abschnitte waren signifikant verschieden von Null in der gesamten Zeitperiode und manchmal insignifikant verschieden von Null in den Teilperioden: somit wird der hypothetische Wert von 0 abgelehnt. Folglich wird das CAPM für die betrachteten Portfolios abgelehnt. Allerdings gibt es bestimmte Einschränkungen, welche die Aussagekraft der durchgeführten Tests und die Bedeutung der erzielten Ergebnisse teilweise schwächen.

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 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 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 Capital Asset Pricing Model written by Ali Jahankhani and published by . This book was released on 1978 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Our research indicated that there is a linear relationship between risk and return and higher risk is associated with higher average return. These results are consistent with the implications of both Sharpe-Lintner version and Black version of the CAPM. Furthermore, our results did not reject the hypotheses that E(Y0)=Rf and E(Y1)=Rm-Rf. therefore, the empirical results of this study supported all the implications of the Sharpe-Lintner CAPM.

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 Capital Asset Pricing Model written by Eugene F. Fama and published by . This book was released on 2013 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The capital asset pricing model (CAPM) of William Sharpe (1964) and John Lintner (1965) marks the birth of asset pricing theory (resulting in a Nobel Prize for Sharpe in 1990). Before their breakthrough, there were no asset pricing models built from first principles about the nature of tastes and investment opportunities and with clear testable predictions about risk and return. Four decades later, the CAPM is still widely used in applications, such as estimating the cost of equity capital for firms and evaluating the performance of managed portfolios. And it is the centerpiece, indeed often the only asset pricing model taught in MBA level investment courses.The attraction of the CAPM is its powerfully simple logic and intuitively pleasing predictions about how to measure risk and about the relation between expected return and risk. Unfortunately, perhaps because of its simplicity, the empirical record of the model is poor - poor enough to invalidate the way it is used in applications. The model's empirical problems may reflect true failings. (It is, after all, just a model.) But they may also be due to shortcomings of the empirical tests, most notably, poor proxies for the market portfolio of invested wealth, which plays a central role in the model's predictions. We argue, however, that if the market proxy problem invalidates tests of the model, it also invalidates most applications, which typically borrow the market proxies used in empirical tests.For perspective on the CAPM's predictions about risk and expected return, we begin with a brief summary of its logic. We then review the history of empirical work on the model and what it says about shortcomings of the CAPM that pose challenges to be explained by more complicated models.

Download or read book The Capital Asset Pricing Model with High Non homogeneous Expectations written by Clodualdo R. Francisco and published by . This book was released on 1987 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Capital Asset Pricing Model written by Joseph E. Moussa and published by . This book was released on 2007 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the relationship between Stocks returns and The Capital asset Pricing Model (CAPM) in the US market by using the S&P 500 companies; it also tests the level of influence of the Size and Book-to-Market on Stocks Returns. The hypothesis tested is whether there is a significant relationship between the CAPM and Stocks Returns. The methodological approach taken was a sampleof 100 companies from S&P 500 compromising top US companies. The Stocks Returns were regressed against the returns that the CAPM predicted to find a relationship between the Stocks returns and the CAPM and to see how precise the CAPM is. Data relating to Beta, Market Return, Size and Price-to-Book were downloaded from the Yahoo Finance website, the Risk free Rate is from the U.S. Federal Bank Website. Regression tests conducted on the data were significant at 1% level. The results lead to the rejection of the null hypothesis, and accepting the alternative hypothesis which states that the CAPM does predict stock returns. However, the results also lead us to a conclusion that other variables may explain stocks return. This results was consistent with all recent results since all studies have agreed that to CAPM can explain an important part of the returns, moreover the results regarding the size and Book-To-Market were inconsistent with Fama and French (1992) theories since they were relatively insignificant.

Download or read book Evaluating Conditional Asset Pricing Models for the German Stock Market written by Andreas Schrimpf and published by . This book was released on 2008 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the performance of conditional asset pricing models in explaining the German cross-section of stock returns. Our test assets are portfolios sorted by size and book-to-market as in the paper by Fama and French (1993). Our results show that the empirical performance of the Capital Asset Pricing Model (CAPM) can be improved substantially when allowing for time-varying parameters of the stochastic discount factor. A conditional CAPM with the term spread as a conditioning variable is able to explain the cross-section of German stock returns about as well as the Fama-French model. Structural break tests do not indicate parameter instability of the model - whereas the reverse is found for the Fama-French model. Unconditional model specifications however do a better job than conditional ones at capturing time-series predictability of the test portfolio returns.

Download or read book Nonnested Procedures in Econometric Tests of Asset Pricing Theories written by Elyas Elyasiani and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper nonnested tests are used to contrast the performance ofthe capital asset pricing (CAPM) and consumption capital assetpricing (CCAPM) theories in describing the United States stock market. The procedures employed include the N-test, the NT-test, the W-test, the J-test,and the Encompassing test. The tests are carried out using data on firms as well as portfolios based on beta, capitalization, and SIC. The findings indicated that while during the 1973-1982 period the CAPM dominates the CCAPM, the results for the 1978-1987 period are mixed and in the 1983-1992 sample period the CCAPM is favored over the CAPM. The finding in favor of the CCAPM in the 1983-1992 period conflicts with much of the existing literature, which favors the CAPM.

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.