the current paper examines intertemporal capital asset pricing model in iran’s stock market. dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. time varying beta is estimated by kalman filter method. based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. significance of...

Options on stocks are priced using information on index options and viewing stocks in a factor model as indirectly holding index risk. The method is particularly suited to developing quotations on stock options when these markets are relatively illiquid and one has a liquid index options market to judge the index risk. The pricing strategy is illustrated on IBM and Sony options viewed as holdin...

One obvious and major limitation in the classic Black-Scholes-Merton model is its assumption that the stock price follows a geometric Brownian motion with constant volatility. Even though there is no perfect way to determine the volatility of a stock, one thing we know for sure is that it varies in time in some random fashion. The implication of the constant volatility assumption leads to a log...

This paper presents an intuitively simple asset pricing model designed to predict stock returns and volatilities, when stock prices may follow a fractal walk rather than a random walk. The model utilizes similarity ratio of the return fractals as the basis for forecasting. We argue that a collection of past returns such as moving average statistics can be “expanded” to generate future returns t...

This research aims to explain the return and risk premium using an APT model from Indonesian stock market. The study uses a two-stage regression model. sample of stocks included in Kompas100 index. represent market capitalization value originality this is inclusion foreign macro-factors use surprise or unanticipated factors Pre-specified Macro-economic Arbitrage Pricing Theory Model. results pr...