Search Results - subject:"BetaCAPM"

Cayirl, Omer; Kayalidere, Koray; Aktas, Huseyin - In: Borsa Istanbul Review 22 (2022) 6, pp. 1062-1068

We mathematically show that, no matter how many factors are added to the capital asset pricing model (CAPM), beta will always matter. We also show that adding more factors to a single-factor CAPM requires market risk premiums to be modeled as time varying. In addition to allowing time-varying...

Persistent link: https://www.econbiz.de/10014305738

Asset pricing in a multifactor setting

Cayirl, Omer; Kayalidere, Koray; Aktas, Huseyin - In: Borsa İstanbul Review 22 (2022) 6, pp. 1062-1068

Persistent link: https://www.econbiz.de/10015635856

Credit Risk Taking by Japanese Investors: Is Skewness Risk Priced in Japanese Corporate Bond Market?

Nishioka, Shinichi; Baba, Naohiko - Bank of Japan - 2004

orthodox beta-CAPM and gamma-risk arising from skewness. We call the pricing model with gamma-risk gamma-CAPM. The weight … Japanese data show that (i) specification tests tend to accept gamma-CAPM, rejecting beta-CAPM, and (ii) the estimated values …

Persistent link: https://www.econbiz.de/10010894598