Empirical Test of the Capital Asset Pricing Model (CAPM): Evidence from Indonesia Capital Market
نویسندگان
چکیده
منابع مشابه
risk and return: test of consumption based capital asset pricing model (ccapm) versus traditional capital asset pricing model (capm) in tehran exchange market
explanation relation between risk and return and capital asset pricing are concepts which is appointed as dominator and major paradigms in capital markets. so far as after offering capm by sharp & lintner, this model has been revised and criticized frequently. in this paper another version of capm has been tested versus traditional capm in tehran stock exchange. this version of capm measures se...
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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)...
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Survey evidence suggests that many investors form beliefs about future stock market returns by extrapolating past returns. Such beliefs are hard to reconcile with existing models of the aggregate stock market. We study a consumption-based asset pricing model in which some investors form beliefs about future price changes in the stock market by extrapolating past price changes, while other inves...
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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...
متن کاملThe capital asset pricing model and the market model
Is Beta Dead?” (Wallace [1980]) and other recent articles have asked whether broad consequences, disastrous to modern investment technology, would result from misspecification of the Capital Asset Pricing Model (CAPM), or worse yet, from falsehood of the model. The criticisms have cited imprecise specification of the market portfolio as a misapplication of the CAPM, and have emphasized the diff...
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ژورنال
عنوان ژورنال: International Journal of Economics and Management Studies
سال: 2020
ISSN: 2393-9125
DOI: 10.14445/23939125/ijems-v7i5p126