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A New Statement of the Extended Capital Asset Pricing Model

Zijl, Tony van - In: Australian Journal of Management 9 (1984) 2, pp. 67-86

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 …

Persistent link: https://www.econbiz.de/10010769312

A Simple Exposition of The Arbitrage Pricing Theory Approximation

Beggs, John J. - In: Australian Journal of Management 11 (1986) 1, pp. 13-22

This paper presents the Arbitrage Pricing Theory (APT) in a finite economy for the familiar case of quadratic utility functions. The standard APT result of a linear relationship between expected returns and the covariances of returns is shown to be approximately true, and an expression for the...

Persistent link: https://www.econbiz.de/10010769325

Size, Book to Market and Momentum Effects in the Australian Stock Market

Kassimatis, Konstantinos - In: Australian Journal of Management 33 (2008) 1, pp. 145-168

the Australian stock market. We compare the CAPM to a four-factor model assuming static risk premia, and find that the …

Persistent link: https://www.econbiz.de/10010769444

Cost-of-Capital Estimation and Capital-Budgeting Practice in Australia

Truong, Giang; Partington, Graham; Peat, Maurice - In: Australian Journal of Management 33 (2008) 1, pp. 95-121

for debt and equity. The CAPM is widely used, while other asset pricing models are not. The discount rate is reviewed …

Persistent link: https://www.econbiz.de/10010769473

The Downside Risk and Equity Evaluation: Emerging Market Evidence

Chen, Jianguo; Chen, Dar-Hsin - In: Journal of Emerging Market Finance 3 (2004) 1, pp. 77-93

In this paper we employ several risk measures to evaluate the equity returns in emerging markets. We focus on a downside risk approach, in particular, with shortfall probability, expected shortfall, downside variance and downside deviation. Our results show that return variance is important in...

Persistent link: https://www.econbiz.de/10010772801

Are Price Limits Priced? Evidence from the Taiwan Stock Exchange

Naughton, Tony; Veeraraghavan, Madhu - In: Journal of Emerging Market Finance 3 (2004) 3, pp. 249-267

In this article, a multifactor asset pricing model incorporating a price limit factor is developed to explain the cross section of asset returns following closely the mimicking portfolio methodology of Fama and French (1996). Differing regulatory environments in the Asian region suggest that...

Persistent link: https://www.econbiz.de/10010772807

Dynamic correlation structure and security risk

Vozlyublennaia, Nadia; Meshcheryakov, Artem - In: Journal of Economics and Business 73 (2014) C, pp. 48-64

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....

Persistent link: https://www.econbiz.de/10010777158

On the optimization of a CAPM portfolio using lower partial moments as measure of risk and using the possibility of safeguarding its loss

Spreitzer, U.W.; Reznik, V. - In: Physica A: Statistical Mechanics and its Applications 378 (2007) 2, pp. 423-426

) corresponding to the CAPM we calculate the possible loss of this portfolio. The loss is measured by a so-called lower partial moment …

Persistent link: https://www.econbiz.de/10010590197

Modeling renewable energy company risk

Sadorsky, Perry - In: Energy Policy 40 (2012) C, pp. 39-48

The renewable energy sector is one of the fastest growing components of the energy industry and along with this increased demand for renewable energy there has been an increase in investing and financing activities. The tradeoff between risk and return in the renewable energy sector is, however,...

Persistent link: https://www.econbiz.de/10010597410

ASSET PRICING IN THE INDIAN CAPITAL MARKET: A STUDY OF POSITIVE AND NEGATIVE RETURN PERIODS

SINGLA, RAVI; PASRICHA, J. S. - In: Journal of Academic Research in Economics 4 (2012) 1 (March), pp. 90-101

Capital Asset Pricing Model (CAPM) predicts that expected returns on securities are a positive linear function of their … controversy regarding the empirical validity of CAPM. The present research paper is an empirical assessment of this financial …

Persistent link: https://www.econbiz.de/10010598202