This paper shows that (i) project valuation via disequilibrium NPV+CAPM contradicts valuation via arbitrage pricing …, (ii) standard CAPM-minded decision makers may fail to profit from arbitrage opportunities, (iii) standard CAPM …-based valuation violates value additivity. As a consequence, the standard use of CAPM for project valuation and decision making should …

This paper uses counterexamples and simple formalization to show that the standard CAPM-based Net Present Value may not … be used for investment valuations. The reason is that the standard CAPM-based capital budgeting criterion implies a … descriptions of the same problem lead to different choices. As a result, the CAPM-based NPV as a tool for valuing projects and …

described solely by the one-factor CAPM. Therefore, the idea is to add other factors in order to complete the beta in explaining …The Capital Asset Pricing Model (CAPM) has dominated finance theory for over thirty years; it suggests that the market … beta alone is sufficient to explain stock returns. However evidence shows that the cross-section of stock returns cannot be …

returns on 20 portfolios on theirs beta coefficients is positive. Considering this set of 402 slopes as a random sample drawn … perfect linear relationship between the expected return and the true beta of securities and portfolios or, in other terms, in …

Emerging markets like Pakistan confront with the problem to validate the CAPM in its original form. Since standard form …. This paper also introduces a non-standardized form of CAPM to validate whether it is applicable in Pakistan. The data of 20 …-bill rates. Beta 3 is calculated using an equation to show the negative relationship between interest rate and market returns …

statistical estimates of beta for two leveraged ETF and one index at sampling rates from one to twenty five minute sampling. I … find that beta is close to the leverage factor for sampling rates between ten and twenty five minutes, which suggests the …

Results in this paper support evidence of time-varying beta coefficients for five sectors in Kuwait Stock Market. The … constant beta. In terms of risk exposure, banks and industrial sectors reflect higher risk as their average betas exceed the … market beta, which is a unit. …