In this paper we are concerned with the role of factor strength and pricing errors in asset pricing models, and their … implications for identification and estimation of risk premia. We establish an explicit relationship between the pricing errors and … strength, and distinguish between observed factors and unobserved factors. We show that unobserved factors matter for pricing …

In this paper we are concerned with the role of factor strength and pricing errors in asset pricing models, and their … implications for identification and estimation of risk premia. We establish an explicit relationship between the pricing errors and … strength, and distinguish between observed factors and unobserved factors. We show that unobserved factors matter for pricing …

utilities firms in Brazil with monthly data from March 2006 to June 2011. The traditional CAPM is rejected, together with the … cost of equity increase relative to the traditional CAPM and Fama-French models. Accounting for conditional …

utitlites firms in Brazil with monthly data from March 2006 to June 2011.The main results are that the traditional CAPM is … traditional CAPM and Fama-French. Accounting for conditional heteroskedasticity shows that autocorrelation of variances is more …

The aim of the paper is the empirical verification of fundamental multiples as capital asset pricing tools for the …

multifactor pricing models. In the framework of the Arbitrage Pricing Theory (APT), this paper estimates the set of factors that … influence Greek stock market returns. The estimation procedure follows both the classic APT and the identification of the …

Capital Asset Pricing Model (CAPM) y el Arbitrage Pricing Theory (APT), los dos modelos de valuación de activos de capital … realidad. Además, se presentan aplicaciones prácticas del CAPM y un análisis de las principales diferencias entre ambos modelos. …

Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in explaining excess returns of portfolios of stocks … continuously concerned with the development of asset pricing studies. Moreover, validity of the existing theories in the recent … not single handedly explain portfolio excess returns. The, APT is able to explain the portfolio excess returns in the …

concerned with the development of asset pricing studies. Moreover, validity of the existing theories in the recent Asian … financial difficult years stimulates another challenge to the discipline. This paper attempts to investigate the ability of CAPM … and APT in explaining excess returns of portfolio of stocks traded in Jakarta Stock Exchange (JKSE). The study assesses …

are the CAPM, APT-motivated models, the Consumption-based CAPM, Intertemporal CAPM-motivated models, and the Jagannathan …This paper evaluates and compares asset pricing models in the Korean stock market. The asset pricing models considered … and Wang conditional CAPM model. By using various test portfolios as well as individual stocks, we conduct time …