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The Capital Asset Pricing Model: A New Empirical Investigation

Zarifhonarvar, Ali - 2023

capital market, one of the most common being the Capital Asset Pricing Model (CAPM). After reviewing the literature in this … area, this study discusses the theoretical background of the CAPM model. After explaining the relationship between … systematic risk and the relation of these coefficients to the CAPM model predictions are tested. Thus, after data sampling to …

Persistent link: https://www.econbiz.de/10013499610

Coherent Measures of Risk from a General Equilibrium Perspective

Csóka, Péter; Herings, Jean-Jacques; Kóczy, László Á. - 2006

-known spectral measure of risk is. We investigate the above mentioned six axioms using tools from general equi- librium (GE) theory …

Persistent link: https://www.econbiz.de/10010494343

Size premium, value premium and market timing: Evidence from an emerging economy

Rashid, Syed Haroon; Sadaqat, Mohsin; Jebran, Khalil; … - In: Journal of Economics, Finance and Administrative Science 23 (2018) 46, pp. 266-288

capital asset pricing model (CAPM) and Fama and French model. Design/methodology/approach This study considers monthly stock …

Persistent link: https://www.econbiz.de/10013192143

The impact of network connectivity on factor exposures, asset pricing and portfolio diversification

Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017

This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding of the causes of systematic risk and shows that (i)...

Persistent link: https://www.econbiz.de/10011598484

The pricing of financial assets in the physical world of finance

Apreda, Rodolfo - 2010

The pricing of financial assets, this paper contends, it does not consist only in assessing a technical value from a valuation model and then calibrating such value by looking at the market. In order to sharpen up this complex process we are going to handle, firstly, a valuation procedure that...

Persistent link: https://www.econbiz.de/10010323087

Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?

Schmeling, Maik; Schrimpf, Andreas - 2008

We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...

Persistent link: https://www.econbiz.de/10010263733

Competitive rational expectations equilibria without apology

Kovalenkov, Alexander; Vives, Xavier - 2008

In a standard financial market model with asymmetric information with a finite number N of risk-averse informed traders, competitive rational expectations equilibria provide a good approximation to strategic equilibria as long as N is not too small: equilibrium prices in each situation converge...

Persistent link: https://www.econbiz.de/10010264474

Asymptotic Maturity Behavior of the Term Structure

Schulze, Klaas - 2008

Pricing and hedging of long-term interest rate sensitive products require to extrapolate the term structure beyond observable maturities. For the resulting limiting term structure we show two results by postulating no arbitrage in a bond market with infinitely increasing maturities: long...

Persistent link: https://www.econbiz.de/10010264921

On equilibrium prices in continuous time

Martins-da-Rocha, V. Filipe; Riedel, Frank - 2008

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about …

Persistent link: https://www.econbiz.de/10010272583

Dynamic trading and asset prices : Keynes vs. Hayek

Cespa, Giovanni; Vives, Xavier - 2009

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...

Persistent link: https://www.econbiz.de/10010272747