and to discuss the implications for economic theory with respect to market efficiency and option pricing. …

widely used is the Sharpe-Lintner-Black Capital Asset Pricing Model (CAPM). However many anomalies and evidence against this … version have been presented. To assume that the CAPM holds in a conditional sense is to assume that the betas and the market … risk premium vary along time. We present a test of the conditional version of the CAPM for the Mexican economy, that uses a …

timing of stock selection provide real-world applications of investment theory. In addition, special topics, including equity …

Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …

Using a CCAPM based risk adjustment model, consistent with general asset pricing theory, I perform corporate valuations … of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the … consumption rather than historical returns. I compare the pricing performance of the model with the standard CAPM based valuation …

significantly differs from zero. Then they took this result as a proof in favour of the theory that there is in the real world a … favour of the theory that the market portfolio is efficient. In this article, we present several tests and arguments that put …