Las metodologías para el cálculo del riesgo de mercado han sido aplicadas principalmente a economías países desarrollados. En este trabajo investigación se propone utilizar CAPM determinar y rendimiento mínimo esperado las empresas sector corporativo Ecuador periodo 2009-2019. promedio analizaron 48 667 empresas, con base en la información obtenida Superintendencia Compañías, Valores Seguros (S...

The main objective of this article is to present a comparative study of capital assets pricing models (CAPM) with extrapolating capital assets pricing models (X-CAPM) of companies admitted in Tehran Exchange Market which is accomplished for the first time by investigators of this research in Iran. Accordingly, the statistical population under study of this research includes all companies admitt...

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...

We study the impact of delegated portfolio management on asset pricing in a large-scale experimental setting. As predicted by standard models, in early rounds of our experiments delegation has no impact on pricing; we replicate CAPM pricing as in earlier experiments without delegation. However, CAPM pricing fails in later rounds. We attribute this to the fund flows: investors tend to increase a...

Many tests of asset-pricing models address only the pricing predictions, but these pricing predictions rest on portfolio choice predictions that seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices based on unobserved heterogeneity. This approach yields the standard pricing conclusions of classical models but is consistent with very different portfolio...

Markowitz and Sharpe won the Nobel Prize in Economics for the development of MeanVariance (M-V) analysis and the Capital Asset Pricing Model (CAPM). Kahneman won the Nobel Prize in Economics for the development of Prospect Theory. In deriving the CAPM, Sharpe, Lintner and Mossin assume expected utility (EU) maximisation in the face of risk aversion. Kahneman and Tversky suggest Prospect Theory ...