Search Results - subject:"capital asset pricing model"

Bank of Japan's ETF purchase program and equity risk premium : a CAPM interpretation

Katagiri, Mitsuru; Shino, Junnosuke; Takahashi, Koji - In: Journal of financial markets 73 (2025), pp. 1-20

Persistent link: https://www.econbiz.de/10015402260

Market equilibrium and the cost of capital with heterogeneous investment horizons

Levy, Moshe; Levy, Haim - In: Risks : open access journal 12 (2024) 3, pp. 1-16

a fatal conceptual problem for the capital asset pricing model (CAPM), which assumes a unique common horizon for all …

Persistent link: https://www.econbiz.de/10014497444

A case study of bank equity valuation methods employed by South African, Nigerian and Kenyan equity researchers

Moyo, Vusani; Obadire, Ayodeji Michael - In: Risks : open access journal 12 (2024) 6, pp. 1-22

The valuation of banks is inherently complicated because of the uncertainties arising from their information opaqueness and inherent risks. Unlike non-banking firms, banks require specialised equity-side valuation approaches. This study addresses a gap in the literature by examining valuation...

Persistent link: https://www.econbiz.de/10014636772

Pricing ability of Carhart Four-Factor and Fama-French Three-Factor models : empirical evidence from Morocco

Benali, Mimoun; Lahboub, Karima; El Bouhadi, Abdelhamid - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-14

In this study, the reliability of the Fama-French Three-Factor model (FF3F) and the Carhart Four-Factor model (C4F) is examined thoroughly. In order to determine which of the asset pricing models is the best to explain portfolio returns on the Moroccan share market, these two models are indeed...

Persistent link: https://www.econbiz.de/10013548909

Towards a deeper comprehension of unlevered betas in emerging markets : Gordon and a regression stock valuation model

Arana Barbier, Pablo José - In: International journal of economic policy in emerging … 17 (2023) 4, pp. 586-599

Persistent link: https://www.econbiz.de/10014340073

Tracking "pure" systematic risk with realized betas for bitcoin and ethereum

Sanhaji, Bilel; Chevallier, Julien - In: Econometrics : open access journal 11 (2023) 3, pp. 1-36

Using the capital asset pricing model, this article critically assesses the relative importance of computing 'realized …

Persistent link: https://www.econbiz.de/10014425687

Application of Chow, Cusum and rolling window in testing stability of systematic risk of companies listed in WIG-ESG in 2019-2022

Mikołajek-Gocejna, Magdalena - In: Journal of banking and financial economics 20 (2023), pp. 1-29

The aim of the article is to analyze the stability of beta coeffi cients of companies listed in WIG-ESG. There are many studies on the stability of companies' systematic risk, but the literature and research lack an analysis of the stability of the beta coeffi cient for ESG companies. We...

Persistent link: https://www.econbiz.de/10014515083

Six-factor plus intellectual capital in the capital asset pricing model and excess stock return : empirical evidence in emerging stock markets

Maharani, Astrid; Narsa, I Made - In: Cogent economics & finance 11 (2023) 2, pp. 1-17

This study expands previous research by adding intellectual capital to the capital asset pricing model and deepening … role of intellectual capital in the capital asset pricing model, which can be helpful when making investment decisions in …-2022; the sample totals 5767 firm-years. The results show a significant relationship between the six-factor capital asset …

Persistent link: https://www.econbiz.de/10014502990

Whether consumer satisfaction benefits the investment portfolio : empirical evidence from hong kong

Li, Jin; Tso, Geoffrey; Wu, Chi Wai - In: The Singapore economic review 68 (2023) 2, pp. 485-506

Persistent link: https://www.econbiz.de/10014279285

A comparison of competing asset pricing models : empirical evidence from Pakistan

Thalassinos, Eleftherios; Khan, Naveed; Ahmed, Shakeel; … - In: Risks : open access journal 11 (2023) 4, pp. 1-24

the validity and applicability of the capital asset pricing model (henceforth CAPM) and multi-factor models, namely Fama …

Persistent link: https://www.econbiz.de/10014303660