ajustadas al riesgo. El objetivo principal es mostrar que es posible utilizar el Modelo CAPM (Capital Asset Pricing Model), en …

This paper examines how well the capital asset pricing model (CAPM) is able to describe the performance of individual …) methodology is employed in the study. While there is a reasonable amount of empirical studies on the performance of the CAPM in … Africa, the validity of the model has not previously been addressed in this manner in Morocco and South Africa. The CAPM …

The CAPM implies that investors require equity risk premia when choosing risky investments and therefore demand higher …

flat, or even negative. This is inconsistent with theoretical models such as the CAPM, which predict a positive relation …

In this study, variance changing to the scale and multi-scale Capital Asset Pricing Model (CAPM) is tested by Wavelets … a general risk indicator, and to multi-scale CAPM portfolio theory as a systematic risk indicator. In the study … (1 to 4 days). In multi-scale CAPM, it is determined that systematic risk of all stocks is changed to frequency (scale …

A fundamental feature of the CAPM is that the investor holds individual assets within a portfolio which is mean … variance efficient. In the basic CAPM of Sharp, Lintner, and Mossin, this aspect is acknowledged by stating risk margins … relative to an efficient portfolio. This paper proposes a similar statement for the extended CAPM. It is shown that the …