kernel that depends on returns, as in the CAPM or the APT, can accurately price assets. In this sense, theory based on …

basic firm’s stock market model and a modified Capital Assets Pricing Model (CAPM). The explanatory variables include risk …

The traditional literature on the CAPM assumes that investor's tax payments simply vanish from the model. This … interest rate rf = 0 will not affect prices if taxes are introduced. We show that this result can be extended to the CAPM if …

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 …

-variance efficient in the sense of classical CAPM. We show that, depending on the noise traders' behavior, the performance of efficient …

determining market clearing prices is calculated explicitly. The classical capital market line result of CAPM theory is extended …

The purpose of this work is to empirically assess the validity of the Capital Asset Pricing Model (CAPM) in terms of … how can it model an equity’s return. The goal of this work is not to challenge the theory behind CAPM, nor compare it to … alternatives, but simply to test whether or not it is applicable in the real world. This is an exploratory research study: rather …