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CAPM-based capital budgeting and nonadditivity

Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2006

This paper deals with the CAPM-derived capital budgeting criterion, and in particular with Rubinstein’s (1973 …) an example showing that CAPM-minded evaluators may incur arbitrage losses …

Persistent link: https://www.econbiz.de/10005616980

Firm Value and the mis-use of the CAPM for valuation and decision making

Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2005

This paper shows that a decision maker using the CAPM for valuing firms and making decisions may contradict Modigliani … and Miller’s Proposition I, if he adopts the widely-accepted disequilibrium NPV. As a consequence, CAPM-minded agents … disequilibrium NPV for decision-making is deductively drawn from the CAPM, its use for both valuation and decision should be rejected. …

Persistent link: https://www.econbiz.de/10005617129

Eficiencia del Mercado Accionario Chileno: Un Enfoque Dinámico usando Tests de Volatilidad

Acuña, Andrés; Pinto, Cristián - Volkswirtschaftliche Fakultät, … - 2007

In this paper we analyze the Chilean Stock Market's efficiency level. The efficiency concept, relates financial asset prices, the outcome from investment decisions, with all the information available to economic agents in their rational economic decision making process. To corroborate the stock...

Persistent link: https://www.econbiz.de/10005619423

Testing the CAPM: Evidences from Italian Equity Markets

Canegrati, Emanuele - Volkswirtschaftliche Fakultät, … - 2008

theory in Italian equity markets. CAPM is a financial model which describes expected returns of any assets (or asset … the CAPM and on the Pettengill's hypothesis (1995) over the relationship between betas and returns. Secondly, I will test …

Persistent link: https://www.econbiz.de/10005621537

An Arbitrary Benchmark CAPM: One Additional Frontier Portfolio is Sufficient

Ekern, Steinar - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2008

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 …

Persistent link: https://www.econbiz.de/10005645047

Risk Exchange as a Market or Production Game

Borglin, Anders; Flåm, Sjur - Nationalekonomiska Institutionen, Ekonomihögskolan - 2007

Risk exchange is considered here as a cooperative game with transferable utility. The set-up fits markets for insurance, securities and contingent endowments. When convoluted payoff is concave at the aggregate endowment, there is a price-supported core solution. Under variance aversion the...

Persistent link: https://www.econbiz.de/10005645107

Capital market equilibrium without riskless assets: heterogeneous expectations

Won, D.; Hahn, G.; Yannelis, N. - In: Annals of Finance 4 (2008) 2, pp. 183-195

Persistent link: https://www.econbiz.de/10005701360

On user costs of risky monetary assets

Barnett, William A.; Wu, Shu - In: Annals of Finance 1 (2005) 1, pp. 35-50

We extend the monetary-asset user-cost risk adjustment of Barnett, Liu and Jensen (1997) and their risk-adjusted Divisia monetary aggregates to the case of multiple non-monetary assets and intertemporal non-separability. Our model can generate potentially larger and more accurate CCAPM user-cost...

Persistent link: https://www.econbiz.de/10005701383

Market Power, Efficiency and the Dispersion of Systematic Risk

Alexander, Donald; Thistle, Paul - In: Review of Industrial Organization 14 (1999) 4, pp. 377-390

Persistent link: https://www.econbiz.de/10005701984

REEXAMINATION OF DYNAMIC BETAINTERNATIONAL CAPM: A SUR WITH GARCH APPROACH

SETIAWAN, Kusdhianto - In: Review of Economic and Business Studies (2012) 10, pp. 105-127

, International Capital Asset Pricing Model (CAPM) is reinvestigated under Seemingly Unrelated Regression (SUR) and SUR with GARCH …-variance efficient under no restriction on short selling and borrowing at riskless rate. CAPM fits well only on ex-post SUR test, but it … is rejected on SUR-GARCH for both ex-ante and ex-post test. However, this paper found that CAPM could be applied for most …

Persistent link: https://www.econbiz.de/10010739307