Capital Asset Pricing Model (CAPM) suggests that an investor’s cost of equity capital is determined by beta, a measure of systematic risk based on how returns co-move with the overall market. We propose to replace beta with downside beta, a measure more consistent with investors’ perception of risk. Recent empirical evidence suggests that downside beta better captures the risk-return relationsh...

Forecasting the future price trend of a stock traded on financial exchange is aim market prediction. In recent decades, prediction has been fascinating topic in domain Data Science and Finance. reality, movement ambiguous chaotic due to various influencing factors such as government policy, current events, interest rates Etc. At same time, accurate enough forecasting leads substantial benefits ...

Stock are proof of ownership the value a company, stock also one securities traded in capital market. In addition,stocks investment instruments that have high risk and return, however, they still most popular. This is evidenced by increasing number Indonesian investors every year. The purpose this research to assess efficient banking stocks classify them. analytical method used descriptive anal...

This short paper is intended to demonstrate a crucial omission made by traders in setting the risk-free interest rate, especially times of crisis: instead increasing undercut it en masse on contrary. results incorrect investment and financial decisions, those involving CAPM models, option pricing models portfolio theory.

In this paper, we aim at 1. giving formulas of prices and replicating-strategies of defaultable securities(e.g., bonds, swaps, derivatives) in incomplete market, and 2. giving “solvable” examples of quantile hedging strategies in incomplete market. Considering an incomplete market that consists of tradable assets and an unhedgeable defaultable security, whose non-predictable default time has st...

We solve the pricing problem for perpetual American puts and calls on dividend-paying assets. The dependence of a dividend process on the underlying stochastic factor is fairly general: any non-decreasing function is admissible. The stochastic factor follows a Lévy process. This specification allows us to consider assets that pay no dividends at all when the level of the underlying factor (say,...

We consider a simple CAPM with heterogenous expectations on assets’ mean returns and homogenous expectations on the covariance of returns. In this model alpha-opportunities naturally arise in a financial market equilibrium. We show that that the hunt for alpha-opportunities is a zero-sum game and that alpha-opportunities erode with the assets under management. Moreover, it is shown that a posit...