kernel that depends on returns, as in the CAPM or the APT, can accurately price assets. In this sense, theory based on …

returns. The finance literature has uncovered several potential failings of the Capital Asset Pricing Model (CAPM). I … investigate the ability of additional risk factors, which are not considered by the CAPM, to explain these problems. In particular … to refine and reassess the cross-sectional evidence against the CAPM.In the first chapter, I test the cross …

The purpose of this work is to empirically assess the validity of the Capital Asset Pricing Model (CAPM) in terms of … how can it model an equity’s return. The goal of this work is not to challenge the theory behind CAPM, nor compare it to … than testing a specific hypothesis, my goal is to let the data speak for itself.The main difficulty with assessing CAPM is …

(whether routine or not) may amount to double-counting. The Capital Asset Pricing Model (CAPM), which is the generally … on its riskiness) relative to the market as a whole. Indeed, CAPM may actually add on an implicit premium in that it …

emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that …

In this paper, we investigate whether the international version of CAPM can price rational and irrational sentiments of … U.S. individual and institutional investor sentiments. The results show that the CAPM prices rational sentiments driven … positively related to returns predicted, as well as those not predicted by the CAPM. We also compare these findings with the …