نتایج جستجو برای: ratio of capital to total asset
تعداد نتایج: 22219331 فیلتر نتایج به سال:
Sudden stops can be characterized by sharp reversals in capital inflows, large declines in output, and steep collapses in real asset prices (Mendoza and Smith, 2009). In almost all recent crises, capital account reversals amounting to more than 10% of an afflicted country’s GDP have occurred (Calvo and Reinhart, 1999 and Nabli, 1999). More specifically, reversals in capital flows to emergin...
A key result of the Capital Asset Pricing Model (CAPM) is that the market portfolio— the portfolio of all assets in which each asset’s weight is proportional to its total market capitalization—lies on the mean-variance-efficient frontier, the set of portfolios having mean-variance characteristics that cannot be improved upon. Therefore, the CAPM cannot be consistent with efficient frontiers for...
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. ...
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...
Under the assumption of normally distributed returns, we analyze whether the Cumulative Prospect Theory of Tversky and Kahneman (1992) is consistent with the Capital Asset Pricing Model. We find that in every financial market equilibrium the Security Market Line Theorem holds. However, under the functional form for the utility index suggested by Tversky and Kahneman (1992) financial market equi...
In this paper we propose a new approach to estimating the systematic risk (the beta of an asset) in a capital asset pricing model (CAPM). The proposed method is based on a wavelet multiscaling approach that decomposes a given time series on a scale-by-scale basis. At each scale, the wavelet variance of the market return and the wavelet covariance between the market return and a portfolio are ca...
This article provides an overview of evaluation studies for libraries, a brief introduction to the CAPM Project, a description of the theoretical background for the CAPM methodology and, finally, a discussion of the implementation of the methodology for the CAPM Project.
We show that labor search frictions are an important determinant of the cross-section of equity returns. In the data, sorting firms by loadings on labor market tightness, the key statistic of search models, generates a spread in future returns of 6% annually. We propose a partial equilibrium labor market model in which heterogeneous firms make optimal employment decisions under labor search fri...
We explore the asset pricing implications of an investment-based model that features a stochastic technology frontier and costly technology adoption. Firms adopt the latest technology embodied in new capital to reach a stochastic technology frontier, but this decision entails an adoption cost. The model predicts that old capital firms are more risky and hence offer a higher returns than young c...
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