size and book-to-market ratio in Chapter 3. This is a cross-sectional test of the conditional CAPM. The models examined …-factor asset pricing models. Models tested are the CAPM, the Fama-French three-factor model and a four-factor model including the … three Fama-French factors and a momentum factor. Realized betas of different models are used in the cross …

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 implication of liquidity-adjusted capital asset pricing models (L-CAPM). It is likely that the liquidity premium is …

the implication of liquidity-adjusted capital asset pricing models (L-CAPM). It is likely that the liquidity premium is …

determine the equity risk premium in the capital asset- pricing model ( CAPM). Most appraisers use historical return data from … number of researchers have documented market evidence that small companies have higher returns than the CAPM indicates. The … CAPM estimates the required return on equity with the equationRequired return = Rf + β( Rm− Rf)where Rf is the risk- free …