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)...

We examine the relation between US stock market returns and the US business cycle for the period 1960 2003. We identify two channels in the transmission mechanism. One is through the mean of stock returns via the equity risk premium, and the other is through the volatility of returns. We find that the relation is asymmetric with downturns in the business cycle having a greater negative impact o...

In this paper, we propose a novel test of the 3M-CAPM under a positivity constraint on the estimated stochastic discount factor (SDF) and, more importantly, an upper bound on its volatility. The positivity constraint rules out arbitrage opportunities, while the restriction on SDF volatility rules out unduly large Sharpe ratios and is based on a sensible upper bound on investors’ risk aversion. ...

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, ...

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...

El objetivo de este estudio es medir el riesgo mercado portafolios acciones del financiero mexicano en periodos alta volatilidad mediante cuatro metodologías: 1) la Beta CAPM (-CAPM), 2) VaR-Simulación Histórica (VaR-SH), 3) VaR-Delta Normal (VaR-δN) y 4) Montecarlo (VaR-SM). Estas métricas se seleccionaron por ser parsimoniosas. Los resultados muestran que las metodologías son consistentes vo...