We examine how the empirical implications of the Capital Asset Pricing Model (CAPM) are affected by the length of the period over which returns are measured. We show that the continuous-time CAPM becomes a multifactor model when the asset pricing relation is aggregated temporally. We use Hansen's Generalized Method of Moments (GMM) approach to test the continuous-time CAPM at an unconditional l...

Article history: Received 18 November 2010 Accepted 12 September 2011 Available online 17 September 2011 This paper evaluates and compares asset pricing models in the Korean stock market. The asset pricing models considered are the CAPM, APT-motivated models, the Consumption-based CAPM, Intertemporal CAPM-motivated models, and the Jagannathan and Wang conditional CAPM model. By using various te...

We extend the Consumption-based CAPM (C-CAPM) model for representative agents with different risk attitudes. We introduce the concept of expectation dependence and show that for a risk averse representative agent, it is the first-degree expectation dependence rather than the covariance that determines C-CAPM’s riskiness. We extend the assumption of risk aversion to prudence and provide a weaker...

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...

longer follow. The capital asset pricing model (CAPM) is an elegant theory. With the aid of some simplifying assumptions, it comes to dramatic conclusions about practical matters, such as how to choose an investment portfolio, how to forecast the expected return of a security or asset class, how to price a new security, or how to price risky assets in a merger or acquisition. The CAPM starts wi...

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...