Keywords: Capital asset pricing model (Capm) Capital asset pricing theory Finance theory Hedonic pricing Portfolio theory Residential rental real estate investment (RRREI) Security market line Systematic/unsystematic risk

explanation relation between risk and return and capital asset pricing are concepts which is appointed as dominator and major paradigms in capital markets. so far as after offering capm by sharp & lintner, this model has been revised and criticized frequently. in this paper another version of capm has been tested versus traditional capm in tehran stock exchange. this version of capm measures se...

INTRODUCTION* Following tradition, I deal here with the Capital Asset Pricing Model, a subject with which I have been associated for over 25 years, and which the Royal Swedish Academy of Sciences has cited in honoring me with the award of the Prize in Economic Sciences in Memory of Alfred Nobel. I first present the Capital Asset Pricing Model (hence, CAPM), incorporating not only my own contrib...

This paper attempts to determine the certainty equivalent of an uncertain future cash flow or value through the option pricing method, and builds models of certainty equivalent and certainty equivalent coefficient. Based on the model of certainty equivalent coefficient, this paper further derives models of risk premium and risk-adjusted discount rate. The latter is a new capital asset pricing m...

This paper surveys some recent developments in the theory of capital markets. Particular emphasis is given to two strands of the literature. The rst covers some recent and fundamental extensions to the theory of risk aversion and the demand for risky assets. These papers are concerned with the e ect of nonhedgeable background risk on risk attitudes. The important implications for nance are for ...

We study a mean-variance capital asset pricing model (CAPM) in which investors have different probability beliefs about assets returns and different attitudes towards risk, all assets are risky, short-selling is allowed and satiation is possible. First, we prove that there exists a competitive equilibrium in the model under a rather general condition. This condition indicates a simple relations...

Assessing risk assets is one of the most important research issues in the financial field. There are various pricing models of capital assets in financial. In many models, it is not possible to consider a lot of restrictions on portfolio selection. In this paper, for choosing optimal portfolios, taking into account the prosperity and recession periods, and the types of investors in terms of ris...

practitioners needing estimates of a firm's equity cost of capital have long relied on the Capital Asset Pricing Model (CAPM). Recent evidence casts renewed doubt on the validity of the CAPM and beta. However, there is not much evidence to gauge the importance of the rejections of the CAPM in a practical decision-making context. This paper presents evidence on the sources of error in estimating...

In this paper the author formulates and tests an international intertemporal capital asset pricing model in the presence of deviations from purchasing power parity (II-CAPM [PPP]). He finds evidence in favor of at least mild segmentation of international equity markets in which only global market risk appears to be priced. When using the Hansen & Jagannathan (1991, 1997) variance bounds and dis...