نتایج جستجو برای: capital asset pricing model capm
تعداد نتایج: 2201916 فیلتر نتایج به سال:
In the paper, we use three years of monthly data to compute loadings on the labor market tightness factor. We now evaluate robustness of our results to different beta estimation horizons. In Table IA.I, we estimate betas using 24, 48, or 60 months of data and otherwise do not modify our empirical methods. For all considered horizons, the differences in future performance of portfolios with low ...
This paper presents a test of multi-period asset pricing models using quarterly Philippine data. Using a consumption-based asset-pricing model, the study finds the rate of time preference to be 5.20 percent (on an annual basis). The estimated risk aversion coefficient of 0.043 seems to be on the low side when compared with estimates for other countries. Hansen's J-test finds favorable evidence ...
CAPM augmented with liquidity and size premium in the Croatian stock market Jelena Minović & Boško Živković To cite this article: Jelena Minović & Boško Živković (2014) CAPM augmented with liquidity and size premium in the Croatian stock market, Economic Research-Ekonomska Istraživanja, 27:1, 191-206, DOI: 10.1080/1331677X.2014.952107 To link to this article: http://dx.doi.org/10.1080/1331677X....
From a CAPM-type model the cost of equity is derived for a ...rm operating under various foreign tax systems. The ...rm’s shares are traded in a market which is una¤ected by these systems. The cost of capital depends on the foreign tax system, even for fully equity ...nanced projects. This is neglected in much of the literature. For a corporate income tax the main factor which reduces the cost ...
In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the period 1976-1992. We also test a conditional APT mo deI by using the difference between the 3~day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during thi...
A key result of the Capital Asset Pricing Model (CAPM) is that the market portfolio— the portfolio of all assets in which each asset’s weight is proportional to its total market capitalization—lies on the mean-variance-efficient frontier, the set of portfolios having mean-variance characteristics that cannot be improved upon. Therefore, the CAPM cannot be consistent with efficient frontiers for...
Abstract This paper develops a simple new methodology to test financial market integration. Our technique is tightly based on a general intertemporal asset-pricing model, and relies on estimating and comparing expected discount rates across asset markets. Expected discount rates are allowed to vary freely over time, constrained only by the fact that they are equal across (riskadjusted) assets. ...
CAPM is often the method of choice among practioners for estimating the cost of equity for investment projects in developed economies. But for investment projects in emerging economies, CAPM tends to give estimates that are considered too low by experienced financial managers. Sometimes, CAPM estimates of the cost of equity for projects in emerging markets are even lower than those for comparab...
Under the assumption of normally distributed returns, we analyze whether the Cumulative Prospect Theory of Tversky and Kahneman (1992) is consistent with the Capital Asset Pricing Model. We find that in every financial market equilibrium the Security Market Line Theorem holds. However, under the functional form for the utility index suggested by Tversky and Kahneman (1992) financial market equi...
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