In this paper, the volatility of the return generating process of the market portfolio and the slope coefficient of the … volatility switching behaviour in a sample of returns in the S&P500 index. In three of the thirty securities in the Dow Jones … security is in the high (low) risk state given the market is in the high (low) volatility regime and show that this information …

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 …

It is well-known that cross-sectional tests of the CAPM are problematic. The market indexes used in empirical tests are … has led many to express serious doubt on the testability of the CAPM. In this paper I show that the CAPM is indeed … the CAPM. The first step uses a simple combination of the coefficients of determination from both Ordinary Least Squares …

factor parameters in the CAPM of Sharpe (1964), the HCAPM of Jagannathan and Wang (1996) and the CCAPM of Lucas (1978) can … models and that (b) a CAPM using the labour income to consumption ratio as a conditioning variable proves to be the best …

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

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. …