In this article, we focus on the estimation of the capital asset pricing model (CAPM) at different time scales for Chile’s stock market. Our sample is comprised of twenty four stocks that were actively traded on the Santiago Stock Exchange over 1997–2002. We find evidence in support of the CAPM at a medium–term horizon. We extend the literature in this area to analyze the impact of time scaling...

Capital asset pricing model (CAPM) and arbitrage pricing theory (APT) are used to assess the financial performance of eight forestry-related investment vehicles.Although results from APT support previous findings from CAPM about timberland investments, three bodies of evidence show that APT findings are more robust. The major conclusions are (a) institutional timberland investments and timberla...

The capital asset pricing model (CAPM) is often based on the Gaussianity or normality assumption. However, such an assumption frequently violated in practical situations. In this paper, we introduce symmetric CAPM considering distributions with lighter heavier tails than normal distribution. These are and belong to family of elliptical distributions. We pay special attention members related nor...

The alpha is one of the most used terms in finance. Yet, the alpha is mystical since it has no theory. It is, for example, in contradiction to the standard CAPM with homogenous beliefs. The purpose of this paper is to show that the alpha naturally arises in a financial market equilibrium when the CAPM is extended to heterogenous beliefs. We show that the hunt for alpha-opportunities is a zero-s...

In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK stock market over the time period of 1980-2000. Two econometric models are used; first, Fisher’s (1994) asset pricing model is estimated by GMM, and secondly, the VAR approach proposed by Campbell and Shiller is extended to include the bid-ask spread. Overall the statistical tests are unable to reje...

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...