MEMBANDINGKAN RISIKO SISTEMATIS MENGGUNAKAN CAPM-GARCH DAN CAPM-EGARCH
نویسندگان
چکیده
منابع مشابه
Testing the Capm Revisited
This paper re-examines the tests of the Sharpe-Lintner Capital Asset Pricing Model (CAPM). The null that the CAPM intercepts are zero is tested for ten size-based stock portfolios and for twenty five book-to-market sorted portfolios using five-year, ten-year and longer sub-periods during 1965-2004. The paper shows that the evidence for rejecting the CAPM on statistical grounds is weaker than th...
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We consider whether sentiment affects the validity of CAPM. We hypothesize that pessimistic periods have low levels of noise trading because costly short-selling mutes trading on negative sentiment. On the other hand optimistic sentiment stimulates long positions that are easier to establish, and optimistic periods may also attract more naïve investors, stimulating greater noise trading. Thus, ...
متن کاملInfinite Horizon Capm Equilibrium¤
This paper derives the equilibrium of an in ̄nite-horizon discrete-time CAPM economy in which agents have discounted expected quadratic utility functions. We show that there is an income stream obtainable by trading on the ̄nancial markets which best approximates perfect consumption smoothing (called the least variable income stream or LVI) such that the equilibrium consumption of each agent is ...
متن کاملThe CAPM Debate
This article describes the academic debate about the usefulness of the capital asset pricing model (the CAPM) developed by Sharpe and Lintner. First the article describes the data the model is meant to explain—the historical average returns for various types of assets over long time periods. Then the article develops a version of the CAPM and describes how it measures the risk of investing in p...
متن کاملNecessary Conditions for the CAPM
The general restrictions on all economic primitives (i.e., (a) endowments, (b) preferences, and (c) asset return distributions) that yield the CAPM under the expected utility paradigm are provided. These results are then used to derive the class of restrictions on preferences and the distribution of asset returns alone that provides the CAPM. We also show that the conditions that provide the CA...
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ژورنال
عنوان ژورنال: E-Jurnal Matematika
سال: 2017
ISSN: 2303-1751
DOI: 10.24843/mtk.2017.v06.i04.p172