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A new Model for Stock Price Movements
Venier, Guido - Volkswirtschaftliche Fakultät, … - 2007
A new alternative diffusion model for asset price movements is presented. In contrast to the popular approach of Brownian motion it proposes deterministic diffusion for the modelling of stock price movements. These diffusion processes are a new area of physical research and can be created by the...
Persistent link: https://www.econbiz.de/10005836494
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The Capital Asset Pricing Model: Empirical Evidence from Pakistan
Yasmeen; Masood, Sarwar; Saghir, Ghauri; Muhammad, Waqas - Volkswirtschaftliche Fakultät, … - 2012
The purpose of this study is to examine the validity of the CAPM in the capital markets of the Pakistan. The study used … are used to test the validity of CAPM. The findings of the study are not in support of CAPM. The critical conditions of … the CAPM that the intercept term is equal to zero, there is a positive relation between the risk and return, and market …
Persistent link: https://www.econbiz.de/10011260298
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Validita modelu CAPM na akciovém trhu USA
Širůček, Martin; Šoba, Oldřich; Němeček, Jaroslav - Volkswirtschaftliche Fakultät, … - 2014
The present article is focused on the Capital Asset Pricing Model (CAPM) and its implementation into American Stock … Market. It attempts to empirically test the validity of the CAPM to estimate individual stock returns based on historical … by using the model of Security Market Line (SML) verify the validity of CAPM model by assets pricing. According to Alfa …
Persistent link: https://www.econbiz.de/10011201277
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fama and macbeth revisited: A Critique
Salazar, Juan; Lambert, Annick - Volkswirtschaftliche Fakultät, … - 2010
The main conclusion of the FM study relies on the fact that the average of the slopes of 402 regressions of the monthly returns on 20 portfolios on theirs beta coefficients is positive. Considering this set of 402 slopes as a random sample drawn from the same normally distributed population, FM...
Persistent link: https://www.econbiz.de/10009397170
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Size and liquidity effects in Nigeria: an industrial sector study
Hearn, Bruce - Volkswirtschaftliche Fakultät, … - 2013
asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market …
Persistent link: https://www.econbiz.de/10011108128
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The Fama French Model or the capital asset pricing model: international evidence
Alves, Paulo - Volkswirtschaftliche Fakultät, … - 2013
This research paper attempts to evaluate the benefits of using the Fama and French Model by comparing them with those resulting from the use of the Capital Asset Pricing Model. Local, International, and European Monetary Union functional forms were considered, in an attempt to raise the...
Persistent link: https://www.econbiz.de/10011108748
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Sensitivity Analysis of CAPM Estimates: Data Frequency and Time Frame
Shahzad, Syed Jawad Hussain; Zakaria, Muhammad; Raza, Naveed - Volkswirtschaftliche Fakultät, … - 2014
Asset Pricing Model (CAPM) under different data frequencies, time frames and indices. It is found that there is no …
Persistent link: https://www.econbiz.de/10011109401
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Centre Rules the Markets
Alves, Paulo; Ferreira, Miguel - Volkswirtschaftliche Fakultät, … - 2008
In this paper we evaluate the impact of the European Monetary Union based on the Fama and French three-factor model. Our research shows that the models based on EMU factors present worse explanatory power than models based on local and international factors, although international factors do not...
Persistent link: https://www.econbiz.de/10011109448
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The application of the capital asset pricing model on the Croatian capital market
Tomić, Bojan - Volkswirtschaftliche Fakultät, … - 2013
The paper describes and analyzes the application of the capital asset pricing model (CAPM) and the single-index model … problem of applying the CAPM model is the market index with negative returns during the observation period. …
Persistent link: https://www.econbiz.de/10011110636
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Investment Decisions by Analysts: A Case Study of KSE
Shaikh, Salman - Volkswirtschaftliche Fakultät, … - 2013
Security prices in efficient markets reflect all relevant information. Past price formations and even fundamental analysis cannot guarantee abnormal returns consistently to any pre-identified strategy or market participant, be they novice or expert traders. There have been various studies done...
Persistent link: https://www.econbiz.de/10011113920