The purpose of this work is to empirically assess the validity of the Capital Asset Pricing Model (CAPM) in terms of … how can it model an equity’s return. The goal of this work is not to challenge the theory behind CAPM, nor compare it to … than testing a specific hypothesis, my goal is to let the data speak for itself.The main difficulty with assessing CAPM is …

- CAPM and the prevailing High Frequency Trading (HFT) method of stocks trading and to explain the relationship between them … and Wang's paper (The Conditional CAPM and the cross-section of expected return, 1996) to explain the capability of CAPM …

(whether routine or not) may amount to double-counting. The Capital Asset Pricing Model (CAPM), which is the generally … on its riskiness) relative to the market as a whole. Indeed, CAPM may actually add on an implicit premium in that it …

-variance efficient in the sense of classical CAPM. We show that, depending on the noise traders' behavior, the performance of efficient …

determining market clearing prices is calculated explicitly. The classical capital market line result of CAPM theory is extended …

The thesis consists of two essays: "The CAPM -- A General Equilibrium Foundation" and "The Foreign Exchange Rate in … Financial Markets".The Capital Asset Pricing Model (CAPM) is one of the most successful models for portfolio selection. The … advantages are the simple risk measure and the quite applicable properties of CAPM-equilibria: The Mutual Fund Theorem, the Beta …