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The Capital Asset Pricing Model: A New Empirical Investigation

Zarifhonarvar, Ali - 2023

capital market, one of the most common being the Capital Asset Pricing Model (CAPM). After reviewing the literature in this … area, this study discusses the theoretical background of the CAPM model. After explaining the relationship between … systematic risk and the relation of these coefficients to the CAPM model predictions are tested. Thus, after data sampling to …

Persistent link: https://www.econbiz.de/10013499610

Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies

Zou, Liang - 2000

This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are studied undervarious market conditions. Among the...

Persistent link: https://www.econbiz.de/10010324569

A critique of the literature on the US financial debt crisis

Stein, Jerome L. - 2010

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...

Persistent link: https://www.econbiz.de/10010266065

Hidden liquidity: Determinants and impact

Cebiroğlu, Gökhan; Horst, Ulrich - 2012

We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...

Persistent link: https://www.econbiz.de/10010281537

The determinants of stock and bond return comovements

Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates, (expected) inflation,...

Persistent link: https://www.econbiz.de/10011506640

Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?

Botshekan, Mahmoud; Kraeussl, Roman; Lucas, Andre - 2010

We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...

Persistent link: https://www.econbiz.de/10010325965

Portfolio choice and the effects of liquidity

González, Ana; Rubio, Gonzalo - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 1, pp. 53-74

This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for...

Persistent link: https://www.econbiz.de/10010317124

Corporate Responses to Climate Change and Financial Performance: The Impact of Climate Policy

Ziegler, Andreas; Busch, Timo; Hoffmann, Volker H. - 2009

restricted one-factor model based on the Capital Asset Pricing Model (CAPM). While our portfolio analysis shows negative …

Persistent link: https://www.econbiz.de/10011753169

Multiplicative models of financial returns and what we fail to get when they are disregarded

Apreda, Rodolfo - 2011

This paper puts forward an alternative approach to multiplicative models and their assessment of returns out of financial assets. Firstly, it lays down an operative definition but also sets forth a commutative framework of mappings to provide foundations to such a definition. Next, the total...

Persistent link: https://www.econbiz.de/10010323109

Heterogeneity of Investors and Asset Pricing in a Risk-Value World

Franke, Günter; Weber, Martin - 2001

Persistent link: https://www.econbiz.de/10010324093