We investigate the impact of measures of uncertainty on firms’ capital investment behavior using a panel of U.S. firms. Increases in firmspecific and CAPM -based measures have a significant negative effect on investment spending, while market-based uncertainty has a positive impact.

Capital Assets Pricing Model is used as a tool for the estimation of Investments in Capital Markets with the relation of Expected return and Risk on Securities. This study examines the applicability of CAPM on Pakistan Stock Markets and Karachi Stock Exchange being the main capital market of Pakistan is taken for the study. The analysis is done by taking a sample of 10 performing companies of 1...

In response to changeful financial markets and investor’s capital, we discuss a portfolio adjusting problem with additional risk assets and a riskless asset based on credibility theory. We propose two credibilistic mean–variance portfolio adjusting models with general fuzzy returns, which take lending, borrowing, transaction cost, additional risk assets and capital into consideration in portfol...

In this paper we explore the possibility, heretofor unexplored in the marketing literature, that firms “invest funds” in their pricing processes. This builds on some of the recent economic work on the costs of price adjustment. To do this we undertook a two-year, cross-disciplinary, ethnographic study on the nature of investments made by senior managers to enhance the effectiveness of the prici...

Can consumption growth risk (or consumption beta) serve a better measure of risk than market beta? This paper answers this question by testing and comparing the performance of the traditional Capital Asset Pricing Model (CAPM) and consumption-based CAPM (CCAPM) across seven financial market sub-sectors in the emerging Taiwan stock market. The empirical performance of the CAPM is encouraging. Th...

In this paper we take up Bayesian inference for the consumption capital asset pricing model. The model has several econometric complications. First, it implies exact relationships between asset returns and the endowment growth rate that will be rejected by all possible realizations. Second, it was thought before that it is not possible to express asset returns in closed form. We show that Labad...

I model a scenario in which investors do not know the payoff distributions of relatively newer firms and use the payoff distribution of similar well-established firms as starting points. The starting distributions are then adjusted for size, volatility, and other differences. Anchoring bias (Tversky and Kahneman (1974)) implies that such adjustments typically fall short. I show that adjusting c...

This paper studies the relationship between investor risk preferences and asset returns. The paper provides direct evidence on the risk aversion of participants in a securities market. It uses the prices of lottery bonds issued by the Imperial Russian Government in 1864 and 1866 to estimate investor risk aversion and to study changes in preferences toward risk. Time variation in investor risk p...

Th Feynman-Kac Formula offers an intuitive approach to solve PDE of financial assets. Traditionally, it is used to model financial assets without default risk.This paper demonstrates the usefulness of Feynman-Kac formula for pricing certain corporate bond models by revisiting Cathcart and El-Jahel (1998) and Schobel (1999).In the first model, a closed-form formula is derived to replace Cathcart...