Testing CAPM with a Large Number of Assets This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated errors, using a threshold estimator of the average squares of...

Abstract This study examines the effect of investor-level income taxes on profit repatriation and dividend payout policies multinational firms. The empirical estimations include two million firm-year observations in 130 countries. By augmenting Lintner model payments, I employ parametric as well semiparametric techniques to provide evidence that dividends neither alter payments investors nor wi...

We show that Black Capital Asset Pricing Model (Black CAPM) is extremely sensitive to the choice of the market portfolio and becomes unstable as market portfolios approach the Global Minimum-Variance portfolio. When market portfolios approach the minimum-variance portfolio, the expected return on the zero beta asset approaches negative infinity and its variance increases rapidly. Moreover, expe...

Paul Mathew, Ph.D., Geoffrey Bell, P.E., Nancy Carlisle, Dale Sartor, P.E., Otto van Geet, P.E. 3 William Lintner, P.E., Phil Wirdzek 1 Lawrence Berkeley National Laboratory, 901 D Street SW, Suite 950, Washington DC 20024. 202-646-7952; [email protected] 2 Lawrence Berkeley National Laboratory 3 National Renewable Energy Laboratory 4 U.S. Department of Energy 5 U.S. Environmental Protection Agency

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...

Lintner’s (1956) partial adjustment model identifies the company’s long-term dividend policy by setting a target payout ratio and speed of adjustment. And although has undergone various modifications methods estimation over more than 60 years, it is still good tool for analyzing decisions made companies. The aim article to show usefulness Lintner changes in during pandemic turmoil. For illustra...