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

the Capital Asset Pricing Model (CAPM) to derive an operational criterion for the optimal risk management of firms. The …Current methods of risk management focus on efficiency and do not provide operational answers to the basic question of … how to optimise and balance the two objectives, maximisation of expected income and minimisation of risk. This paper uses …

As is known skewness and outliers are frequently observed in return series, overlooking both concepts during the … considers skewness and outliers effects was used to investigate the best portfolio diversification. Sixteen stock markets are …

results are driven by two outliers, the “Crash†of October 1987 and the collapse of the hedge fund Long-Term Capital … Management in August 1998. After inserting a dummy variable to account for the impact of the two identified outliers, the …

index, the estimated slope in the market model show strong switching behaviour. In these three securities the low risk state … is more persistent than the high-risk state. For each security we estimate the conditional probabilities that the … 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 … by fundamentals and irrational sentiments not driven by rational risk factors in the case of the U.S. institutional …

assets only, the constrained one, and the presence of a risk-free asset. The use of a generalized form for the budget … – and infer the price of pure risk. Some properties of the several solutions are highlighted. The rationale for a linear …

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 …