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Validity of Capital Assets Pricing Model : Evidence from KSE-Pakistan

Bhatti, Uzair - 2014

Capital Assets Pricing Model (CAPM) is the widely tested, accepted and rejected model of asset pricing. From its … is to form an opinion about authenticity and validity of CAPM. Our methodology includes the beta calculation through … calculation of results. Findings suggest that CAPM gives accurate results for a limited period and for few companies only. Out of …

Persistent link: https://www.econbiz.de/10013070329

Validity of the Capital Assets Pricing Model : Evidence from the Indian Companies – The NSE India

Paul, Muthucattu - 2013

Capital Asset Pricing model (CAPM) is widely researched, tested, and paradoxically both generally accepted and rejected … period. On the whole, the CAPM model could satisfactorily explain the risk-return relationship in the Indian Stock market …

Persistent link: https://www.econbiz.de/10013076267

Equity Risk Premiums (ERP) : Determinants, Estimation and Implications - A Post-Crisis Update

Damodaran, Aswath - 2010

Equity risk premiums are a central component of every risk and return model in finance and are a key input into estimating costs of equity and capital in both corporate finance and valuation. Given their importance, it is surprising how haphazard the estimation of equity risk premiums remains in...

Persistent link: https://www.econbiz.de/10013150556

Political Beta

Fisman, Raymond J. - 2020

Using a framework akin to portfolio theory in asset pricing, we introduce the concept of “political beta” to model firm-level export diversification in response to global political risk. The main implication of our model is that a firm is less responsive to changes in political relations...

Persistent link: https://www.econbiz.de/10012840051

Martingale Measures and Collateral

Hunt, Julien - 2017

This paper discusses the notion of martingale measures in the context of the pricing and hedging of perfectly collateralized derivatives in discrete time. We define a precise mathematical framework to deal with this paradigm. We then prove the main result of equivalence between absence of...

Persistent link: https://www.econbiz.de/10012951984

Capital Asset Pricing Model

Bhattacharya, Rajeev R. - 2017

The capital asset pricing model (CAPM) for a security is a linear relationship between the expected excess return of … construct of the CAPM. While the CAPM has strong underlying assumptions, recent research has relaxed many of these assumptions …

Persistent link: https://www.econbiz.de/10012954859

The Systematic Risk of Short-Sale Restrictions

Hunanyan, Gevorg - 2017

In finance literature it is known that on a financial market in which short-selling of risky assets is restricted, the market portfolio is typically not efficient (see e.g. Fama and French (2004)). This paper analyses two different kinds of regulatory policies of short-sales on financial markets...

Persistent link: https://www.econbiz.de/10012957865

The Impact of Top Executive Gender on Asset Prices : Evidence from Stock Price Crash Risk

Li, Yiwei - 2019

We examine the implication of executive gender on asset prices. Using a large sample of US public firms during 2006--2015, we find a negative association between female CFOs and future stock price crash risk. However, the impact of female CEOs on crash risk is not statistically significant. The...

Persistent link: https://www.econbiz.de/10012900243

Asset Pricing with Heterogeneous Agents and Non-Tradeable Assets

Cantillo, Miguel - 2019

This paper develops a tractable asset pricing framework based on an Arrow Debreu economy with heterogeneous agents. The assumption of heterogeneity recasts the market rather than aggregate consumption as the key element for pricing securities. The model expresses some asset pricing relationships...

Persistent link: https://www.econbiz.de/10012901837

Explaining Returns through Valuation

Johannesson, Erik - 2019

This paper develops an analytically coherent yet parsimonious framework which explains market returns in terms of contemporaneous information. It anchors on the idea that valuation (static perspective) can be connected to the dynamics that explains returns, and vice versa. The framework requires...

Persistent link: https://www.econbiz.de/10012902126