This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for … standard CAPM model with constant beta (Model I), the standard CAPM model with time-varying beta (Model II), the CAPM model … conditional on segregating positive and negative market risk premiums with constant beta (Model III), as well as the CAPM model …

This paper deals with the CAPM-derived capital budgeting criterion, and in particular with Rubinstein’s (1973 …) an example showing that CAPM-minded evaluators may incur arbitrage losses …

This paper shows that a decision maker using the CAPM for valuing firms and making decisions may contradict Modigliani … and Miller’s Proposition I, if he adopts the widely-accepted disequilibrium NPV. As a consequence, CAPM-minded agents … disequilibrium NPV for decision-making is deductively drawn from the CAPM, its use for both valuation and decision should be rejected. …

international CAPM; the constant-parameter intertemporal CAPM; and a Markov-switching intertemporal CAPM which allows for the degree …

This paper deals with the use of the CAPM for capital budgeting purposes. Four different measures are deductively drawn …

This paper shows that a decision maker using the CAPM for valuing firms and making decisions may contradict Modigliani … and Miller’s Proposition I, if he adopts the widely-accepted disequilibrium NPV. As a consequence, CAPM-minded agents … disequilibrium NPV for decision-making is deductively drawn from the CAPM, its use for both valuation and decision should be rejected. …

The Capital Asset Pricing Model (CAPM) has dominated finance theory for over thirty years; it suggests that the market … described solely by the one-factor CAPM. Therefore, the idea is to add other factors in order to complete the beta in explaining … successor to the CAPM without being a real success. Later, researchers support that average stock returns are related to some …

Emerging markets like Pakistan confront with the problem to validate the CAPM in its original form. Since standard form …. This paper also introduces a non-standardized form of CAPM to validate whether it is applicable in Pakistan. The data of 20 …

the CAPM beta factor, at least five other factors are significant in determining time series and cross sectional …