Search Results - subject:"zero beta"

Papageorgiou, Nicolas A.; Reeves, Jonathan J.; Xie, Xuan - In: International journal of forecasting 32 (2016) 2, pp. 548-558

Persistent link: https://www.econbiz.de/10011597207

Differences in Opinion and Risk Premium

He, Xue-Zhong; Shi, Lei - Finance Discipline Group, Business School - 2010

When people agree to disagree, this paper examines the impact of the disagreement among agents on market equilibrium and equity premium. Within the standard mean variance framework, we consider a market of two risky assets, a riskless asset and two (and then a continuum of) agents who have...

Persistent link: https://www.econbiz.de/10008515807

Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs

He, Xue-Zhong; Shi, Lei - Finance Discipline Group, Business School - 2009

belief, we establish market equilibrium prices of risky assets and show that the standard Black’s zero-beta CAPM under …-8010 Research Paper 244 January 2009 Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs ….qfrc.uts.edu.au  QUANTITATIVE FINANCE RESEARCH CENTRE PORTFOLIO ANALYSIS AND ZERO-BETA CAPM WITH HETEROGENEOUS BELIEFS XUE-ZHONG HE AND LEI SHI …

Persistent link: https://www.econbiz.de/10004984476

Multivariate tests of asset pricing: Simulation evidence from an emerging market

Iqbal, Javed; Brooks, Robert; Galagedera, Don U.A. - Department of Econometrics and Business Statistics, … - 2008

are smaller. Application of the bootstrap tests to the data from the Karachi Stock Exchange strongly supports the zero-beta …

Persistent link: https://www.econbiz.de/10005087609

An Arbitrary Benchmark CAPM: One Additional Frontier Portfolio is Sufficient

Ekern, Steinar - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2008

-perfectly correlated with the frontier portfolio. The benchmark CAPM extends and generalizes previous CAPM formulations, including the zero … beta, two correlated frontier portfolios, riskless augmented frontier, and inefficient portfolio versions. The covariance …

Persistent link: https://www.econbiz.de/10005645047

An empirical investigation of asset pricing models under divergent lending and borrowing rates

Hammami, Yacine - In: Financial Markets and Portfolio Management 28 (2014) 3, pp. 263-279

Asset pricing theory implies that the estimate of the zero-beta rate should fall between divergent lending and …. The empirical investigation highlights that only the intertemporal capital asset pricing model reasonably prices the zero-beta …>) model, do not assign the correct value to the zero-beta rate. Copyright Swiss Society for Financial Market Research 2014 …

Persistent link: https://www.econbiz.de/10010987752

An empirical investigation of asset pricing models under divergent lending and borrowing rates

Hammami, Yacine - In: Financial markets and portfolio management 28 (2014) 3, pp. 263-279

Persistent link: https://www.econbiz.de/10010399273

Portfolio selection and portfolio frontier with background risk

Huang, Hung-Hsi; Wang, Ching-Ping - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 177-196

and Zero-Beta CAPM. In particular, the portfolio frontier constructed from n risky assets plus one riskless asset is …

Persistent link: https://www.econbiz.de/10010730249

On the sensitivity of the Black capital asset pricing model to the market portfolio

Buckley, Winston S.; Harris, Oneil; Perera, Sandun - In: Risk and decision analysis 4 (2013) 3, pp. 177-189

Persistent link: https://www.econbiz.de/10010190158

Portfolio selection and portfolio frontier with background risk

Huang, Hung-hsi; Wang, Ching-ping - In: The North American journal of economics and finance : a … 26 (2013), pp. 177-196

Persistent link: https://www.econbiz.de/10010364815