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

The study analyses the nature and behaviour of volatility, the risk-return relationship and the long-term trend of … follows: Firstly, volatility is largely persistent and asymmetric. Secondly, risk at both the aggregate and disaggregate level …

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 …

asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market …

This paper deals with the CAPM-derived capital budgeting criterion, and in particular with Rubinstein’s (1973 …) criterion, according to which a project is profitable if the project rate of return is greater than the risk-adjusted cost of … capital, where the latter depends on the project’s disequilibrium systematic risk. It is shown that the disequilibrium net …

proposed measure is used in pricing portfolios reflecting the size, value, and momentum premia. The conditional CAPM of … Jagannathan and Wang (1996) is found to best the performance of both the simple CAPM and the ICAPM of Petkova (2006). Moreover, it …