associated with Prospect Theory (Kahneman and Tversky, 1979). Since risk free rates had declined so significantly since the early …

When Capital Asset pricing Model (CAPM) is considered as valid asset pricing theory, Security Market Line (SML) is … returns need not be same as implied discount rates even when CAPM is applicable and markets are efficient. This is because the … over the forecast period. The single period return of CAPM changes every year as the market changes with economic …

This work deals with the classical capital-budgeting criterion derived from the CAPM, according to which a project is …

The Modern Portfolio Theory (MPT) has been the cornerstone of the asset allocation for over 40 years. In the past …, such as the recent sub-prime crisis. The proposed Leveraged Portfolio Theory (LPT) removes the most fundamental axiom of … distribution for assets return, we obtain the classical CAPM beta in LPT framework. We show that extreme risk underestimation by …

relationship with loss aversion coefficients associated with Prospect Theory (Kahneman and Tversky, 1979) suggest it as a solution …

The Capital Asset Pricing Model (CAPM) has dominated finance theory for over thirty years; it suggests that the market … described solely by the one-factor CAPM. Therefore, the idea is to add other factors in order to complete the beta in explaining … the price movements in the stock exchange. The Arbitrage Pricing Theory (APT) has been proposed as the first multifactor …

The Capital Asset Pricing Model (CAPM) is theoretically incomplete in its demand-side focus, risk-averse investors, and … investors can earn higher returns by bearing un-diversifiable risk. Our paper does not merely extend the CAPM with more …) investors who can have heterogeneous expectations or beliefs — an overlooked but required condition for the CAPM to be an …