Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …

Merton’s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …

If co-existing parallel markets are efficient, then arbitrage will maintain a correct pricing relationship. A related … (with transaction costs), in which price differences are studied using levels of arbitrage activity. For the empirical …-the-counter system). In particular, we study the degree of arbitrage activity for different segments of the PSE and the evolution of …

general models like multi-factor CAPM and arbitrage pricing theory (APT) models could be more appropriate models for analysing … and riskiness. Capital Asset Pricing Model (CAPM) a market equilibrium model is applied to these seven bank’s stocks. The …

Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM … permite sostener la tesis central del CAPM. Ninguna de las betas de 6 grupos de variables es capaz de discriminar …

The theory of asset pricing, which takes its roots in the Arrow-Debreu model (Theory of value [1959, chap. 7]), the … frictionless. The main result is that a price process is arbitrage free (or, equivalently, compatible with some equilibrium) if and … only if it is, when appropriately renormalized, a martingale for some equivalent probability measure. The theory of pricing …