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simple asset pricing model

A note on the effects of market inefficiency and portfolio constraints on the relationship between the expected return of an asset and the market

A note on the effects of market inefficiency and portfolio constraints on the relationship between the expected return of an asset and the market

... Capital Asset Pricing Model is that the market portfolio is efficient; when it is inefficient, α, the difference between the expected excess return of the asset and the value predicted by the ...

8

Essays on asset pricing

Essays on asset pricing

... is simple: a fixed fraction of wealth is invested into the risky asset and the remainder is invested in the risk-free ...habit-formation model, while several authors look at behavioral ...

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Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure

Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure

... Capital Asset Pricing Model (CAPM) was derived from the works of Sharpe (1964) and Lintner (1965) as an extension of Markowitz’s mean-variance analysis model (also supported by Mossin ...

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A study on application of quantitave finance

A study on application of quantitave finance

... Limitations of the study: The study of the capital asset pricing model was completely related to the pricing movements of the market. We take only into account the returns on the market price ...

5

On the Role of Memory in an Asset Pricing Model with Heterogeneous Beliefs

On the Role of Memory in an Asset Pricing Model with Heterogeneous Beliefs

... in asset prices, unpredictability of returns at daily horizon, mean reversion at long horizons, excess volatility, clustered volatility, and leptokurtosis of asset ...of asset price fluctuations, ...

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Three Important Applications of Mathematics in Financial Mathematics

Three Important Applications of Mathematics in Financial Mathematics

... capital asset pricing (CAPM) model. As one of the predictive model for risk assets based on expected profit equilibrium on the basis of CAPM, explains the formation of market equilibrium in ...

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Examining risk and return profiles of renewable energy investment in developing countries: The Case of the Philippines

Examining risk and return profiles of renewable energy investment in developing countries: The Case of the Philippines

... the simple Capital Asset Pricing Model (or ...a simple linear regression in Excel of each company’s stock returns benchmarked to a market index, which is either the global renewables ...

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ASSET PRICING MODEL: EMPIRICAL STUDY IN INDONESIA’S CAPITAL MARKET

ASSET PRICING MODEL: EMPIRICAL STUDY IN INDONESIA’S CAPITAL MARKET

... The results prove that investors' decisions are still based on security sensitivity to market returns compared to other variables such as macroeconomic variables, size, B / M, investment and profitability. This is ...

14

Noncausality and Asset Pricing

Noncausality and Asset Pricing

... Investor heterogeneity is not the only potential source of noncausality. A representative agent model may also be nonlinear, because of a time-varying (stochastic) discount factor. Moreover, in reality dividends ...

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Asset Pricing   A Brief Review

Asset Pricing A Brief Review

... Capital Asset Pricing Model ˈৢ⬹Ў CAPM ˅ˈ༫߽ᅮӋ⧚䆎˄ Arbitrage Pricing Theory, ৢ⬹Ў APT ˅ˈ䎼ᳳ䌘ᴀ䌘ѻᅮӋ῵ൟ˄ Intertemporal Capital Asset Pricing Model, ৢ ⬹Ў ICAPM ˅ˈ⍜䌍䌘ᴀ䌘ѻᅮӋ῵ൟ˄ ...

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Essays in Asset Pricing

Essays in Asset Pricing

... economic model, log wealth-to- consumption ratios are assumed to be proportional to log price-dividend ratios, and the coefficient of proportionality is chosen to match the volatility of the implied wealth-to- ...

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Essays on asset pricing

Essays on asset pricing

... We further split the whole sample according to maturity and moneyness (the ratio between the strike price and the underlying spot price) of each option to study how the effect of funding liquidity on options market ...

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Asset pricing in UK

Asset pricing in UK

... We provide practical tests of Conditional Asset Pricing Models and forecast i the sign of the price of risk using the probit model, ii the magnitude of the price of risk and iii portfoli[r] ...

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The Asset Pricing System

The Asset Pricing System

... of asset pricing can not be precisely presented based on the principle of supply and ...of asset pric- ...the asset pricing ...of asset pricing, therefore, the principle ...

8

Essays on asset pricing

Essays on asset pricing

... an asset is determined by its systematic ...Cross-sectional asset-pricing studies typically exclude financial institutions because of their high leverage and the high level of industry ...French ...

151

Essays on asset pricing

Essays on asset pricing

... ture model that allows for unspanned stochastic volatility and, second, he corroborates his findings using a model-independent approach similar to ...the model-free variance risk premiums under ...

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CRITICAL APPRAISAL OF FINANCIAL MODELS IN INVESTMENT DECISIONS & SECURITY TRADING

CRITICAL APPRAISAL OF FINANCIAL MODELS IN INVESTMENT DECISIONS & SECURITY TRADING

... The current research aims to appraise financial models and analyse their usefulness in security trad- ing. One of the main issues considered in this paper is the Capital Asset Pricing Model and the ...

7

Research on capital asset pricing model empirical in China market

Research on capital asset pricing model empirical in China market

... capital asset pricing model is the price decision theory about financial assets including shares, bond, futures and ...Capital Asset Pricing Model, namely CAPM. The CAPM is a ...

6

The Capital Asset Pricing Model: Empirical Evidence from Pakistan

The Capital Asset Pricing Model: Empirical Evidence from Pakistan

... best model for describing the German Stock Market ...in asset returns that has resulted to use attribute sorted portfolios of stocks to represent the additional risk factor in the standard ...

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The application of the capital asset pricing model on the Croatian capital market

The application of the capital asset pricing model on the Croatian capital market

... the model, and the results ob- tained accordingly, this paper can be divided into two ...CAPM model in calculating the adjusted rate of return by means of beta ...CAPM model in the calculation of the ...

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