This paper shows that a decision maker using the CAPM for valuing firms and making decisions may contradict Modigliani … and Miller’s Proposition I, if he adopts the widely-accepted disequilibrium NPV. As a consequence, CAPM-minded agents … disequilibrium NPV for decision-making is deductively drawn from the CAPM, its use for both valuation and decision should be rejected. …

asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market …

Asset Pricing Model (CAPM) under different data frequencies, time frames and indices. It is found that there is no …

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. …

This paper uses the cross-sectional variance of the betas from the CAPM model to study herd behavior towards market … models (DCC and FIDCC GARCH), two Kalman filter based approaches and two bivariate stochastic volatility models. A comparison … filter and the stochastic volatility model with a t distribution for the excess return shocks are the preferred models to …

Jensen’s Alpha, Treynor Index, based on risk as portfolio’s beta, as well as Sharpe’s index based on risk as volatility. Then …, we show the fundamentals of conditional evaluation that can provide us additional elements in comparison with CAPM …

This paper deals with the CAPM-derived capital budgeting criterion, and in particular with Rubinstein’s (1973 …) an example showing that CAPM-minded evaluators may incur arbitrage losses. …

This paper deals with the use of the CAPM for capital budgeting purposes. Four different measures are deductively drawn …