Financial Economics researches have become active since 1950’s and many prominent theories regarding asset pricing and corporate finance have been proposed (Markowitz, 1952; Modigliani, Miller, 1958; Sharpe, 1964; Shleifer, 2000). The assumption of the efficiency of financial markets plays an important role in the literature in traditional financial theory and many research have been conducted ...

The Capital Asset Pricing Model (CAPM) is a model used to calculate the profitability that an investor must demand when making investment in financial asset, depending on risk he assuming.

In this paper, we document that an application of a moving average timing strategy of technical analysis to portfolios sorted by volatility generates investment timing portfolios that substantially outperform the buy-and-hold strategy. For high-volatility portfolios, the abnormal returns, relative to the capital asset pricing model (CAPM) and the Fama-French 3-factor models, are of great econom...

This paper examines the validity of the Sharpe-Linter-Black Capital Asset Pricing Model (CAPM) to stocks traded on the Barbados, Jamaica and Trinidad & Tobago Stock Exchanges. Tests of the CAPM are based on portfolio betas made up of stocks emanating from all three exchanges and are carried out on the alternative multifactor specification proposed by Fama and French (1992), extended to include ...

This paper provides an alternate method of evaluating portfolio performance of stock pricing models. We apply Pitman Closeness Criterion to compare the accuracy of three popular pricing models. This comparison is used to assess which, if any, model outperforms the others. In assessing model performance over a long period of time, we find that the Fama-French three-factor model and the Carhart f...

Article history: Received 18 November 2010 Accepted 12 September 2011 Available online 17 September 2011 This paper evaluates and compares asset pricing models in the Korean stock market. The asset pricing models considered are the CAPM, APT-motivated models, the Consumption-based CAPM, Intertemporal CAPM-motivated models, and the Jagannathan and Wang conditional CAPM model. By using various te...

The capital asset pricing model is used to calculate the expected return of stock firm. Researcher has evaluated ten food processing companies based on its share prices either from National Stock Exchange or Bombay for period 2017-2018 2021-22. researcher cost equity and application in different market conditions with CAPM. CAPM can be applied risk controlling project synergy effects mergers ac...

The capitalization (cap) rate as used in the real estate literature refers to the ratio of net operating income to property value. This rate has a particularly important role in property valuation, because the income capitalization method converts the expected income stream from commercial property into an estimate of asset value by dividing the net operating income stream by the capitalization...