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Zhang, Lu - 2019

-factor model is an empirical implementation of the investment CAPM. The basic philosophy is to price risky assets from the … perspective of their suppliers (firms), as opposed to their buyers (investors). As a disruptive innovation, the investment CAPM …

Persistent link: https://www.econbiz.de/10012168924

A corporate financing-based asset pricing model

Steri, Roberto - 2018

I show that an asset pricing model for the equity claims of a value-maximizing firm can be constructed from its optimal financial contracting behavior. I study a dynamic contracting model in which firms trade off the costs and benefits of a given promise to pay external lenders in a specific...

Persistent link: https://www.econbiz.de/10011900221

Conservatism in Corporate Valuation

Bach, Christian - School of Economics and Management, University of Aarhus - 2011

of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the … consumption rather than historical returns. I compare the pricing performance of the model with the standard CAPM based valuation … based on the results of the respective models. The CCAPM model performs substantially better than the CAPM based model when …

Persistent link: https://www.econbiz.de/10009293656

Validez del Supuesto de Neutralidad del Horizonte de Tiempo en el CAPM y la Metodología del Rango Reescalado: Aplicación a Colombia

Rodríguez, Karen Juliet Leiton - Banco de la Republica de Colombia

neutralidad del horizonte de tiempo en el CAPM, estimando el efecto cuantitativo de la existencia de dependencia de largo plazo en …

Persistent link: https://www.econbiz.de/10009321791

Validez del Supuesto de Neutralidad del Horizonte de Tiempo en el CAPM y la Metodología del Rango Reescalado: Aplicación a Colombia

Rodríguez, Karen Juliet Leiton - BANCO DE LA REPÚBLICA - 2011

neutralidad del horizonte de tiempo en el CAPM, estimando el efecto cuantitativo de la existencia de dependencia de largo plazo en …

Persistent link: https://www.econbiz.de/10009325836

Evaluating Private Equity Performance Using Stochastic Discount Factors

Gredil, Oleg - 2020

— as their assumptions appear consistent with investment objectives of avid PE investors. In contrast to CAPM …

Persistent link: https://www.econbiz.de/10012845721

Asset Pricing with Price Levels

Cho, Thummim - 2020

pricing equation used to study returns. Our GMM test reveals that the CAPM describes the cross-section of prices noticeably … that book-to-market, quality, and size provide a parsimonious model of CAPM mispricing that both long-term buy …

Persistent link: https://www.econbiz.de/10012846334

Financial Distress Risk and Stock Price Crashes

Andreou, Christoforos - 2020

This study uses 469,816 monthly observations of US public firms for the period 1990-2018 to document a strong positive relationship between short-term changes in financial distress risk and future stock price crashes. This result is economically significant as a one interquartile increase of the...

Persistent link: https://www.econbiz.de/10012847850

Five Objections Against Using a Size Premium When Estimating the Required Return of Capital with the Capital Asset Pricing Model

Prat, Ramon - 2016

Adding a size-premium to the CAPM is not an uncommon resort in small companies valuations. The objective of the premium … price. Nevertheless, the use of a premium compromises the economic and statistical basis which sustain the CAPM. I present …

Persistent link: https://www.econbiz.de/10012981738

Understanding Bonds Pricing and the Risks ‘My Name Is Bond, James Bond’

Burgess, Nicholas - 2022

In this article we illustrate how to price bonds and calculate the accrued interest, clean- and dirty price, from which we can compute a bond invoice i.e., the present value for a given cash investment in the bond. We present the classical bond pricing formulae and show how to modify this...

Persistent link: https://www.econbiz.de/10014235519