منابع مشابه
Comparative Study of Capital Assets Pricing Models (CAPM) with Extrapolating Capital Assets Pricing Models (X-CAPM) in Tehran Exchange Market
The main objective of this article is to present a comparative study of capital assets pricing models (CAPM) with extrapolating capital assets pricing models (X-CAPM) of companies admitted in Tehran Exchange Market which is accomplished for the first time by investigators of this research in Iran. Accordingly, the statistical population under study of this research includes all companies admitt...
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We report on small-scale experiments of simple, repeated asset markets in two risky securities and one riskfree security. As in large-scale experiments, steady convergence towards the CAPM is discovered, but the process is slower and convergence halts before reaching the actual equilibrium. There is evidence that subjects gradually move up in mean-variance space, in accordance with the CAPM. Ye...
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Testing CAPM with a Large Number of Assets This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated errors, using a threshold estimator of the average squares of...
متن کاملAn exact analysis of the consumption CAPM
In this paper we take up Bayesian inference for the consumption capital asset pricing model. The model has several econometric complications. First, it implies exact relationships between asset returns and the endowment growth rate that will be rejected by all possible realizations. Second, it was thought before that it is not possible to express asset returns in closed form. We show that Labad...
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While the traditional view of nancial innovation emphasizes the risk sharing role of new nancial assets, belief disagreements about these assets naturally lead to speculation, which represents a powerful economic force in the opposite direction. This paper investigates the e¤ect of nancial innovation on portfolio risks in an economy when both the risk sharing and the speculation forces are p...
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ژورنال
عنوان ژورنال: Macroeconomic Dynamics
سال: 1997
ISSN: 1365-1005,1469-8056
DOI: 10.1017/s1365100597003088