Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM … permite sostener la tesis central del CAPM. Ninguna de las betas de 6 grupos de variables es capaz de discriminar …

We investigate the relationship between changing correlation structure of returns, security risk, and mean return …. According to our results, securities that were highly correlated with the market-wide risk factors in the past are likely to … have high systematic and idiosyncratic risk at present. Correlations with the risk factors, however, are not directly …

We use pre-World War I Brussels Stock Exchange (BSE) data to investigate the relation between average stock returns and … market beta, size, momentum, dividend yield and total risk on the cross-section of stock returns. Based on portfolio sorts … and Fama–MacBeth regressions, we find no relationship between market beta, size or total risk and average returns …

capital in the emerging markets. The Capital Asset Pricing Model (CAPM) that is most often used for this purpose in the …. Various factor models have been proposed to overcome the shortcomings of the CAPM. This paper examines both the CAPM and the … countries. We find, as expected, that the CAPM is not able to do this task. However, a four-factor model, including factors such …

The benchmark CAPM linearly relates the expected returns on an arbitrary asset, an arbitrary benchmark portfolio, and …-perfectly correlated with the frontier portfolio. The benchmark CAPM extends and generalizes previous CAPM formulations, including the zero … between the off-frontier benchmark and the frontier portfolio affects the systematic risk of any asset. Each asset has a …

capital in the emerging markets. The Capital Asset Pricing Model (CAPM), which is most often used for this purpose in the …. Various factor models have been proposed to overcome the shortcomings of the CAPM. This paper examines both the CAPM and … find, as expected, that the CAPM is not able to do this task. However, factor models, including factors such as the excess …

, endüstri riski ve firma riski bileşenlerine ayrılmıştır. Toplam risk içinde piyasa riskinin ağırlığı kriz dönemlerinde artmakta …. Yapılan analizlerde toplam risk içindeki en ağırlıklı bileşenin tüm dönemlerde firma riski olduğu belirlenmiştir. Bu durum …

uncertainty. It is difficult to find a field where the decision making process is risk-free. This statement is especially true in … case of financial investments according to which risk taking is rewarded. But it is also true that the financial market …-known theories of financial instruments' risk minimization is the modern portfolio theory, which is the collection of tools and …