Artificial neural networks are used in conjunction with the Sharpe-Linter form of the Capital Asset Pricing Method (CAPM) to predict when the returns on U.S. stocks will be greater than financial risk models would predict. The advantage of using a nonlinear approach is to model the financial system more accurately than linear techniques. The Sharpe-Lintner form is used to control for risk and d...

This paper aims to examine the financial risks faced by Chinese airline companies and provide useful information investors who are interested in investing these firms. The study will conduct valuations on three largest China, namely China Southern Airlines, Air Eastern assess differences taken companies. methodology used be Capital Asset Pricing Model (CAPM) metric of beta, which is volatility ...

Las metodologías para el cálculo del riesgo de mercado han sido aplicadas principalmente a economías países desarrollados. En este trabajo investigación se propone utilizar CAPM determinar y rendimiento mínimo esperado las empresas sector corporativo Ecuador periodo 2009-2019. promedio analizaron 48 667 empresas, con base en la información obtenida Superintendencia Compañías, Valores Seguros (S...

This article investigates the structure onpreferences required to derive Ross’s arbitrage pricing theory (APT). It is shown that only ordinalpreferences are required. In particular, the APT does not require that agents possess preferences representable as riskaverse expected utility functions. This characteristic of the APT is not shared by the standard equilibriumbased capital asset pricing mo...

Purpose of the study: This study examines influence investment decisions and consumption on asset pricing from 1980 to 2016.
 Methodology: has used a quantitative research design secondary source is deployed collect data 2016. The was gathered Saint Louis Fed, whereas Standard Poor’s 500 (S&P index at closing price first day month) Yahoo Finance. software for analysis R Studio statisti...

The focus of this research was to determine and investigate the application Capital Asset Pricing Modeling (CAPM) technique in analyzing investment decisions particular banking stocks that specialize digital operating models. Investors generally follow IT or sector (Tech stocks) due sector's track record delivering high returns promise for even greater future. In sector, investors continue purs...

Does Subjective Evaluation of Probability Impact Asset Prices? The Nobel Prize–winning capital asset pricing model (CAPM) predicts that expected excess return any is positively proportional to its exposure the overall market: beta, leading an upward-sloping security market line. However, this prediction contradicted by empirical studies return–beta slope often flat or even downward-sloping, a p...

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. ...

The duality principle in option pricing aims at simplifying valuation problems that depend on several variables by associating them to the corresponding dual option pricing problem. Here we analyze the duality principle for options that depend on several assets. The asset price processes are driven by general semimartingales, and the dual measures are constructed via an Esscher transformation. ...