A New Measure of Asset Pricing: Friction-Adjusted Three-Factor Model
نویسندگان
چکیده
منابع مشابه
THE CAPITAL ASSET PRICING MODEL VERSUS THE THREE FACTOR MODEL: A United Kingdom Perspective
The Sharpe (1964), Lintner (1965) and Black (1972) Capital Asset Pricing Model (CAPM) is considered one of the foundational contributions to the practice of finance. The model postulates that the equilibrium rates of return on all risky assets are a linear function of their covariance with the market portfolio. Recent work by Fama and French (1996, 2006) introduce a Three Factor Model that ques...
متن کاملCapital Asset Pricing Model (CAPM) with drawdown measure
The notion of drawdown is central to active portfolio management. Conditional Drawdown-at-Risk (CDaR) is defined as the average of a specified percentage of the largest drawdowns over an investment horizon and includes maximum and average drawdowns as particular cases. The necessary optimality conditions for a portfolio optimization problem with CDaR yield the capital asset pricing model (CAPM)...
متن کاملAsset Pricing with No Exogenous Probability Measure
In this paper we propose a model of nancial markets in which agents have limited ability to trade and no probability is given from the outset. In the absence of arbitrage opportunities, assets are priced according to a probability measure that lacks countable additivity. Despite nite additivity, we obtain an explicit representation of the expected value with respect to the pricing measure, ba...
متن کاملDichotomous Asset Pricing Model
Cross-asset derivative securities are studied and a dichotomous asset pricing model (DAPM) is derived that significantly enriches the Sharpe-Lintner-Black capital asset pricing model. An assets beta is shown to be observable ex ante through the price of its cross-market call or put, and the DAPM separately predicts the assets’ expected return beta relations under the upper-market and lower-mark...
متن کاملThe Integration of Multi-Factor Model of Capital Asset Pricing and Penalty Function for Stock Return Evaluation
One of the main concerns of investors is the evaluation of the return on investment, which is conducted using various models such as the CAPM (single-factor model), Fama-French three/five-factor models, and Roy and Shijin’s six-factor model and other models known as multi-factor models. Despite the widespread use of these models, their major drawbacks include sensitivity to unexpected changes, ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Journal of Asian Finance, Economics and Business
سال: 2020
ISSN: 2288-4637,2288-4645
DOI: 10.13106/jafeb.2020.vol7.no12.605