capital asset pricing model (capm) has been among the common models to estimate expected returns rate. since the linearity assumption is considered in the standard version of the capital asset pricing model, estimating beta in nonlinear setting will be inconsistent and bias-oriented. therefore, this study tries to evaluate predictive power of nonlinear capital asset pricing model as well as sta...

capital asset pricing, as one of the basic theories in finance and investment area, develop a model for estimation of expected rate of return and equity cost of capital. this model has many applications in the field of finance. one of anomalies in the capital asset pricing model is the value premium that its proponents believe this risk premium is compensation for a risk not mentioned in origin...

This paper examines the conditions required to guarantee positive prices in the CAPM. Positive prices imply an upper bound on the equity premium. This upper bound depends on the degree of diversity of firms’ fundamentals, and it is independent of investors’ preferences. In economies with realistically diverse assets the only positive-price CAPM equilibrium theoretically possible is a degenerate...

We consider the standard discrete-time model of a frictionless financial market and show that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value. In contrast to the classical no-arbitrage criteria, this density process may change its sign. We also give an application to the CAPM.

In opaque pricing certain characteristics of the product or service are hidden from the consumer until after purchase, transforming a differentiated good into somewhat of a commodity. Opaque pricing has become popular in service pricing as it allows firms to sell their differentiated products at higher prices to regular brand loyal customers while simultaneously selling to non loyal customers a...

During the last decade, intellectual capital (IC) and intangible assets have been widely considered as critical tool to deliver successful business in an intensive-knowledge environment. Accordingly, the main goal of this paper is therefore to develop and prioritize the most important indicators of intellectual capital in knowledge-based industries. Based on an extensive literature review, a va...

Increased concern for the environment has increased the number of investment opportunities in mutual funds specialized in promoting responsible environmental attitudes. This paper examines the performance and risk sensitivities of US green mutual funds vis-à-vis their conventional peers. We also analyze and compare this performance relative to other Socially Responsible Investing (SRI) mutual f...