Showing 1 - 10 of 12
Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …
Persistent link: https://www.econbiz.de/10005076992
. Such prices determine intrinsic returns that satisfy the CAPM equation. This paper shows that assets that pay a constant … predicts slightly higher discount rates than the CAPM. Empirical evidence supporting the CAPM cannot reject the RVT at a …
Persistent link: https://www.econbiz.de/10005076993
Using one of the greatest hedge fund database ever used (2796 hedge funds including 801 dissolved), we investigate hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama & French (1998) Agarwal & Naik (2000) models and...
Persistent link: https://www.econbiz.de/10005134782
desarrollo del CAPM y APT; y, la actual, correspondiente a las anomalias del CAPM, la cual incluye el estudio del behavioural …
Persistent link: https://www.econbiz.de/10005134816
determine intrinsic expected returns that satisfy the CAPM equation. The intrinsic return of the risk-free asset is equal to the … return betas are approximately equal to intrinsic return betas. Market price expected returns do not satisfy the CAPM …
Persistent link: https://www.econbiz.de/10005134946
Modern aggregation theory and index number theory were introduced into monetary economics by Barnett (1980). The widely used Divisia monetary aggregates were based upon that paper. A key result upon which the rest of the theory depended was Barnett’s derivation of the user-cost price of...
Persistent link: https://www.econbiz.de/10005412580
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 …
Persistent link: https://www.econbiz.de/10005413097
Capital Asset Pricing Model (CAPM) y el Arbitrage Pricing Theory (APT), los dos modelos de valuación de activos de capital … realidad. Además, se presentan aplicaciones prácticas del CAPM y un análisis de las principales diferencias entre ambos modelos. …
Persistent link: https://www.econbiz.de/10005413116
and riskiness. Capital Asset Pricing Model (CAPM) a market equilibrium model is applied to these seven bank’s stocks. The … general models like multi-factor CAPM and arbitrage pricing theory (APT) models could be more appropriate models for analysing …
Persistent link: https://www.econbiz.de/10005413135
This paper provides a review of the main features of asset pricing models. The review includes single-factor and multifactor models, extended forms of the Capital Asset Pricing Model with higher order co- moments, and asset pricing models conditional on time-varying volatility.
Persistent link: https://www.econbiz.de/10005561561