Relevant bibliographies by topics / CAPM

Academic literature on the topic 'CAPM'

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Published: 4 June 2021
Last updated: 11 March 2023

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Journal articles on the topic "CAPM"

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PAULSEN, JON. "CAPM Issues." Business Valuation Review 10, no. 4 (December 1991): 175–76. http://dx.doi.org/10.5791/0882-2875-10.4.175.

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Hu, Wei, and Zhenlong Zheng. "Expectile CAPM." Economic Modelling 88 (June 2020): 386–97. http://dx.doi.org/10.1016/j.econmod.2019.09.049.

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Paiva Martins Teixeira, Vandliny, Moisés Ferreira da Cunha, and Thaisa Renata dos Santos. "Aplicabilidade dos modelos CAPM local, CAPM local ajustado e CAPM ajustado híbrido ao mercado brasileiro." REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte - ISSN 2176-9036 14, no. 1 (January 5, 2022): 1–22. http://dx.doi.org/10.21680/2176-9036.2022v14n1id21987.

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Objetivo: O objetivo desta pesquisa é verificar a aplicabilidade dos modelos CAPM local, CAPM Local Ajustado e CAPM Ajustado Híbrido ao mercado brasileiro, a partir da análise de suas respectivas premissas e, adicionalmente, verificar a existência de diferenças estatísticas significativas entre os modelos. Metodologia: Para os indicadores escolhidos, objetivando representar as premissas de cada modelo, é testada a série história de 2007 a 2014, compreendendo uma amostra de 94 empresas mais líquidas do mercado brasileiro avaliadas conforme os modelos de precificação de ativos CAPM Local, CAPM Local Ajustado e CAPM Ajustado Híbrido. São realizados testes estatísticos (com confiabilidade de 95%), por meio do programa ASSISTAT versão 7.7 beta para as análises das estatísticas descritivas, comparado posteriormente por meio de um teste não paramétrico e também com estimativa de correlação. Resultados: As comparações múltiplas após as premissas indicam que as diferenças ocorrem entre os modelos CAPM Local e CAPM Local Ajustado e entre CAPM Local Ajustado e CAPM Ajustado Híbrido. Os resultados apontam uma correlação positiva entre os retornos do Embi + Br e do T-Bond 10 e 30 anos. Teoricamente, esta correlação não é esperada, uma vez que o risco país não deveria estar correlacionado às taxas livres de risco globais. O Ibovespa apresenta correlação positiva com o MSCI ACWI e com o S&P 500, um resultado que evidencia a correlação entre os retornos de mercado local e global. A Selic apresenta correlação negativa com o Ibovespa, pois, teoricamente a taxa livre de risco local não deveria ser correlacionada ao retorno de mercado local. Contribuições do Estudo: A contribuição deste estudo é de que a aplicabilidade dos modelos CAPM local, local ajustado e ajustado hibrido ao mercado emergente brasileiro é possível para precificação de ativos, devendo se atentar para o fato de que os Betas Locais possuem influência nesses valores.
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AMELIAH, VIKY, KOMANG DHARMAWAN, and I. NYOMAN WIDANA. "MEMBANDINGKAN RISIKO SISTEMATIS MENGGUNAKAN CAPM-GARCH DAN CAPM-EGARCH." E-Jurnal Matematika 6, no. 4 (November 28, 2017): 241. http://dx.doi.org/10.24843/mtk.2017.v06.i04.p172.

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In making stock investments, investors usually pay attention to the rate of return and risk of the stock investment. To calculate risk using capital asset pricing model (CAPM), GARCH, and EGARCH. The data used in this study is secondary data in the form of daily closing price (daily close price), JII price index and monthly SBI rate. All data were processed using matlab 13. The research sample consisted of 6 flagship shares for the period of 2013-2017 ie ADHI, SMGR, UNTR, BSDE, ICBP, KLBF. The conclusion of the research is the beta of each stock including aggressive beta because beta greater than 1. For return CAPM GARACH and CAPM EGARCH obtained Kalbe Farma stock (KLBF) has small beta and big return means GARCH and EGARCH model equally Can predict that stock KLBF shares the least risk and large returns among the six stocks.
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Tsuji, Chikashi. "A Robust Estimation of the CAPM with a Heavy-tailed Distribution." International Journal of Social Science Studies 5, no. 5 (April 18, 2017): 79. http://dx.doi.org/10.11114/ijsss.v5i5.2362.

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This study quantitatively explores the linear standard capital asset pricing model (CAPM) and a non-linear CAPM by using ten US representative firms’ monthly stock returns. By the maximum likelihood estimation, we derive the following useful findings. (1) First, when the stock return distribution is fat-tailed, our non-linear CAPM application is highly effective. Because our non-linear CAPM parameters very well capture the behavior of fat-tailed returns, the non-linear CAPM estimation derives more reliable beta value estimates than the standard linear CAPM. (2) Second, conducting the Wald tests based on both the standard linear CAPM and non-linear CAPM estimators, we clarify that when the stock return distribution is fat-tailed, the Wald test result based on the non-linear CAPM estimators is more reliable than that based on the standard linear CAPM estimators.
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Hirth, Hans, and Martin Walther. "Firmengröße im CAPM." WiSt - Wirtschaftswissenschaftliches Studium 45, no. 12 (2016): 641–45. http://dx.doi.org/10.15358/0340-1650-2016-12-641.

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Haslam, Peter J. "CAPM pessimism ‘unjustified’." Production Engineer 64, no. 1 (1985): 6. http://dx.doi.org/10.1049/tpe.1985.0007.

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Barber, K. D. "CAPM requires planning." Production Engineer 64, no. 3 (1985): 7. http://dx.doi.org/10.1049/tpe.1985.0061.

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Medeiros, Marcelo C., Álvaro Veiga, Cristiano A. C. Fernandes, and Fabiano S. Oliveira. "CAPM Model Extensions." IFAC Proceedings Volumes 31, no. 16 (June 1998): 39–43. http://dx.doi.org/10.1016/s1474-6670(17)40456-3.

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Zhang, Lu. "The Investment CAPM." European Financial Management 23, no. 4 (September 2017): 545–603. http://dx.doi.org/10.1111/eufm.12129.

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Dissertations / Theses on the topic "CAPM"

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Aleksienė, Sandra. "CAPM modelio testavimas." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2004. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2004~D_20040604_210631-10316.

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The results of empirical tests of the capital asset pricing model (CAPM) are discussed in this paper. A formidable problem here involves setting up an effective method for testing or test methodology. Many conceptual and statistical problems are inherent in tests of capital asset pricing model. It always has to be concerned the possible contaminating effects of the inevitable real-world violations of the model’s assumption. The tests reported in this paper are tests of how well the model fits history. The purpose of this work is to determine whether the CAPM fits the real world and, if it does not, to determine the source and size of the discrepancies between the model and the world. The data of Lithuanian firm’s stocks are used in order to test the model. The asset market of Lithuania is young and unstable. Thus the results are not the best. But recently situation is getting better. It will be shown in this paper that capital asset pricing model could be tested with real data of Lithuanian stock market. The results are quite good. Microsoft Visual Basic 6.3 equipment is used to solve this problem.
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Plate, Mike. "CAPM-basierte Optionsbewertung." [S.l. : s.n.], 2000. http://www.bsz-bw.de/cgi-bin/xvms.cgi?SWB9394040.

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Milosinschi, Marian Alexandru <1991&gt. "An improved CAPM." Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/10772.

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Sidestål, Jesper, and Johnny Sjöholm. "IT - Bubblan och CAPM." Thesis, Södertörn University College, School of Social Sciences, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-359.

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Grek, Åsa, and Abdi Jimaale. "Testing CAPM for the Swedish Stock Market In Order to Capture the Price Expectations - A Comparison Between Conditional CAPM, and Unconditional CAPM." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-47697.

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Allergren, Fredrik, and Alvin Wendelius. "CAPM - i tid och otid : En portföljbaserad studie av CAPM på den svenska aktiemarknaden." Thesis, Umeå University, Umeå School of Business, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1081.

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Capital Asset Pricing Model (CAPM) är den prissättningsmodell som mest frekvent används av aktörer på den finansiella marknaden samt i litteratur för att förklara sambandet mellan risk och förväntad avkastning. Teorin grundades under 1960-talet av William Sharpe och tidiga empiriska tester av modellen visade att den med hög förklaringsgrad kunde estimera en framtida förväntad avkastning givet en viss risknivå. På senare år har dock CAPM fått stark kritik eftersom nya empiriska undersökningar demonstrerat att modellen inte längre verkar visa en rättvisande avkastning i förhållande till risk.

För att undersöka om den över 40 år gamla modellen fortfarande visar någorlunda rättvisande beskrivningar av verkligheten har vi ställt oss frågan: Går det att med hjälp av historiska data förutspå en riskfylld tillgångs avkastning på den svenska aktiemarknaden?

Vid besvarade av denna fråga har studien syftet Att med hjälp av portföljer studera huruvida sambandet mellan risk och avkastning, vilket postuleras av CAPM, stämmer på den nutida svenska aktiemarknaden.

Vi har utifrån vår kunskapssyn kritisk rationalism använt oss av en kvantitativ metod för att försöka ge svar på problemställningen, vilken angreps med ett deduktivt tillvägagångssätt. Den teoretiska referensramen behandlar teorier som portföljval, den effektiva marknadshypotesen och CAPM. Det empiriska materialet består av historiska aktiekurser vilka bearbetades och användes till att komponera flertalet portföljer. Dessa portföljer har sedan analyserats genom regressionsanalys och jämförts med ett aktiemarknadsindex i syfte att besvara vår problemställning.

Det som framkommit genom studien är att det till viss del med hjälp av historiska data går att förutspå en riskfylld tillgångs avkastning på den svenska aktiemarknaden. Även om vi delvis kan ge stöd åt den testade modellen anser vi inte att betavärdet, som ensamt förklarande variabel och mått på risk, bör tillämpas vid beslutsfattande av investeringar, något som CAPM förutsätter att det ska göra. Det linjära samband som CAPM postulerar bedömer vi vara bristande i tillämpbarhet på dagens komplicerade aktiemarknad eftersom fler variabler än historiska data påverkar aktiekurserna.

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Cia, Josilmar Cordenonssi. "Saving-capm: uma proposta de solução para o equity premium puzzle do consumption-capm." reponame:Repositório Institucional do FGV, 2006. http://hdl.handle.net/10438/2587.

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Em 1985, Mehra e Prescott levantaram uma questão que até hoje não foi respondida de forma satisfatória: o prêmio de risco das ações americanas é muito maior do que poderia ser explicado pelo “paradigma neoclássico de finanças econômicas” (financial economics) representado pelo modelo C-CAPM. E, a partir de então, este problema não resolvido ficou conhecido como o “Equity Premium Puzzle” (EPP) ou o “Enigma do Prêmio (de risco) das Ações”. Este enigma estimulou a produção de uma série de artigos, dissertações e teses que tentaram ajustar os modelos intertemporais de utilidade esperada aos dados dos mercados financeiros. Dentro deste contexto, esta tese busca (i) revisar a evolução histórica da teoria dos modelos de maximização da utilidade intertemporal dos agentes, (ii) analisar os pressupostos e conceitos chaves desses modelos, (iii) propor um novo modelo que seja capaz de solucionar o EPP, (iv) aplicar este modelo proposto aos dados históricos anuais entre 1929 e 2004 e (v) validar a lógica deste modelo através das metodologias Mehra-Prescott e Hansen-Jagannathan. Esta tese faz uma crítica de que os estudos até aqui desenvolvidos tentaram explicar a dinâmica de um mercado financeiro altamente sofisticado, através de um modelo de economia não-monetária e de subsistência. Assim, a sua contribuição consiste na alteração desse pressuposto de uma economia de subsistência, considerando que a renda disponível do setor privado não seja integralmente consumida, mas que também possa ser poupada. Assumindo que as pessoas obtêm satisfação (utilidade) tanto pelo consumo atual como pela poupança atual (que será o consumo futuro), será deduzido que a utilidade marginal de consumir é igual à de poupar, em todo e qualquer período. Com base nisso, a utilidade marginal a consumir é substituída pela utilidade marginal de poupar dentro do modelo básico do C-CAPM. Para reforçar a idéia de que o modelo desta tese usa dados de poupança em vez de consumo, ao longo do trabalho ele será chamado de Sanving-CAPM, ou S-CAPM. Este novo modelo mostrou-se capaz de solucionar o EPP quando submetidas às abordagens Mehra-Prescott e Hansen-Jagannathan.
In 1985 Mehra and Prescott raised a question that has not been answered satisfactorily: the equity premium of American shares is much higher than it could be explained by the "neoclassical paradigm of financial economics" represented by CCAPM models. And, since then, this non-solved issue is known as the Equity Premium Puzzle (EPP). This puzzle has stimulated the production of a series of articles, theses and dissertations that tried to adjust the intertemporal expected utility models to the financial markets' data. In this context, this doctoral dissertation aims to (a) revise the historical evolution of model theory of maximization of intertemporal expected utility, (b) analyze the key assumptions and concepts of these models, (c) propose a new model that can solve the EPP, (d) apply the proposed model to the historical data between 1929 and 2004, and (e) validate the logic of this model through the MehraPrescott and Hansen-Jagannathan methodologies. This doctoral dissertation criticizes that the studies so far formulated have tried to explain the dynamics of highly sophisticated financial markets through a model of non-monetary exchange economy. Hence, its contribution consists of the changing of this assumption of a exchange economy considering that the available income of the private sector is not fully consumed, but rather also saved. Taking into account that people can obtain satisfaction (utility) with the present consumption as well as with the present savings (that will be the future consumption), it will be deduced that the marginal utility of consuming is replaced by the marginal utility of saving within the basic C-CAPM model. To reinforce this idea that the model of this doctoral dissertation uses data of savings rather than consumption, throughout the study it will be called Saving-CAPM or S-CAPM. This new model has proved to be capable of solving the EPP when submitted to the Mehra-Prescott and HansenJagannathan approaches.
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Hadjieftychiou, Aristarchos. "The CAPM approach to materiality." Thesis, This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-12172008-063723/.

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Trevisin, Davide <1993&gt. "CAPM e modelli alternativi: confronto." Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/11875.

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Bruno, Marlene Sofia Falcão. "Aplicação e análise do modelo CAPM condicional na bolsa de valores portuguesa." Master's thesis, Universidade de Évora, 2014. http://hdl.handle.net/10174/11506.

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O CAPM estático é o modelo mais utilizado para avaliar o trade-off entre rentabilidade esperada e risco, baseando-se apenas num único período de tempo. No entanto, numa economia dinâmica deve-se admitir que o risco e o prémio de risco variam ao longo do tempo. Com o intuito de testar aquela variabilidade, Jagannathan e Wang (1996) desenvolveram o modelo CAPM condicional, na qual incluíram as variáveis: prémio de risco de mercado, rentabilidade do capital humano e tamanho das empresas. O objetivo principal desta dissertação é aplicar este modelo ao mercado acionista português. Estimou-se o modelo e concluiu-se que as únicas variáveis capazes de explicar a rentabilidade esperada do portfolio são a variável tamanho e a variável da rentabilidade do capital humano, e que o CAPM condicional é preferível ao CAPM estático. Os resultados são consistentes com os de Jagannathan e Wang (1996); ### Abstract: Application and analysis of the conditional CAPM model in the portuguese stock exchange The static CAPM is the most widely used model to evaluate the trade-off between expected return and risk, based on only a single period model. However, in a dynamic economy one must assume that the systematic risk and the risk premium vary over time. In order to test that variability, Jagannathan and Wang (1996) developed the conditional CAPM model, which included the variables: market risk premium, return on human capital and firm size. The main objective of this dissertation is to apply this model to the Portuguese equity market. We estimated the model and found that the only variables which are able to explain the expected return of the portfolio are variable size and variable return of human capital, and that the conditional CAPM is preferable to the static CAPM. The results are consistent with those of Jagannathan and Wang (1996).
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Books on the topic "CAPM"

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Hüper, Steffen. CAPM und Tax-CAPM im Mehrperiodenfall. Wiesbaden: Springer Fachmedien Wiesbaden, 2019. http://dx.doi.org/10.1007/978-3-658-25931-0.

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CAPM exam prep. 2nd ed. [Minnetonka, Minn.]: RMC Publications, 2009.

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CAPM exam prep: Accelerated learning to pass PMI's CAPM exam. Minnetonka, Minnesota]: RMC Publications, Inc., 2013.

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Sanghera, Paul. CAPM® in Depth. Berkeley, CA: Apress, 2019. http://dx.doi.org/10.1007/978-1-4842-3664-2.

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Engineers, Institution of Production, ed. A guide to CAPM. London: Institution of Production Engineers, 1985.

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Nielsen, Lars Tyge. "Positive prices in CAPM". Fontainbleau: INSEAD, 1986.

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Nielsen, Lars Tyge. Positive prices in CAPM. Fontainebleau, France: INSEAD, 1990.

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Mitzi, Koontz, and ebrary Inc, eds. CAPM in depth: Project management professional study guide for the CAPM exam. Boston, Mass: Cengage Learning, 2010.

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Nielsen, Lars Tyge. Existence of equilibrium in CAPM. Fontainbleau: INSEAD, 1990.

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Thomas, Stephen. International CAPM - why has it failed? Southampton: University of Southampton, Dept. of Economics, 1989.

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Book chapters on the topic "CAPM"

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Hüper, Steffen. "Tax-CAPM." In CAPM und Tax-CAPM im Mehrperiodenfall, 59–97. Wiesbaden: Springer Fachmedien Wiesbaden, 2019. http://dx.doi.org/10.1007/978-3-658-25931-0_4.

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Evstigneev, Igor V., Thorsten Hens, and Klaus Reiner Schenk-Hoppé. "CAPM Continued." In Springer Texts in Business and Economics, 61–67. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-16571-4_8.

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García, Francisco Javier Población. "The CAPM." In Financial Risk Management, 323–44. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_16.

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Hunanyan, Gevorg. "CAPM Equilibrium." In Finanzwirtschaft, Banken und Bankmanagement I Finance, Banks and Bank Management, 33–44. Wiesbaden: Springer Fachmedien Wiesbaden, 2019. http://dx.doi.org/10.1007/978-3-658-27956-1_3.

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Hüper, Steffen. "Einleitung." In CAPM und Tax-CAPM im Mehrperiodenfall, 1–4. Wiesbaden: Springer Fachmedien Wiesbaden, 2019. http://dx.doi.org/10.1007/978-3-658-25931-0_1.

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Hüper, Steffen. "CAPM im Mehrperiodenfall." In CAPM und Tax-CAPM im Mehrperiodenfall, 5–49. Wiesbaden: Springer Fachmedien Wiesbaden, 2019. http://dx.doi.org/10.1007/978-3-658-25931-0_2.

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Hüper, Steffen. "Varianzaversion impliziert (μ, σ)-Kriterium." In CAPM und Tax-CAPM im Mehrperiodenfall, 51–57. Wiesbaden: Springer Fachmedien Wiesbaden, 2019. http://dx.doi.org/10.1007/978-3-658-25931-0_3.

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Hüper, Steffen. "Anhang." In CAPM und Tax-CAPM im Mehrperiodenfall, 99–101. Wiesbaden: Springer Fachmedien Wiesbaden, 2019. http://dx.doi.org/10.1007/978-3-658-25931-0_5.

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Skivington, J. J. "What is CAPM?" In Computerizing Production Management Systems, 11–19. Dordrecht: Springer Netherlands, 1990. http://dx.doi.org/10.1007/978-94-009-0427-9_2.

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Löffler, Andreas. "Das traditionelle CAPM." In Capital Asset Pricing Model mit Konsumtion, 19–45. Wiesbaden: Deutscher Universitätsverlag, 1996. http://dx.doi.org/10.1007/978-3-663-08303-0_2.

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Conference papers on the topic "CAPM"

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Choudhury, G. Sayeed, Mark Lorie, Erin Fitzpatrick, Ben Hobbs, Greg Chirikjian, Allison Okamura, and Nicholas E. Flores. "Comprehensive access to printed materials (CAPM)." In the first ACM/IEEE-CS joint conference. New York, New York, USA: ACM Press, 2001. http://dx.doi.org/10.1145/379437.379476.

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"CAPM, liquidity and real estate performances." In 11th European Real Estate Society Conference: ERES Conference 2004. ERES, 2004. http://dx.doi.org/10.15396/eres2004_509.

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Xiong, He-Ping. "Does Heterogeneous Investment Horizon Effect on CAPM." In 2008 4th International Conference on Wireless Communications, Networking and Mobile Computing (WiCOM). IEEE, 2008. http://dx.doi.org/10.1109/wicom.2008.2292.

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Ju, Xinke. "Comparison and Analysis of CAPM and BAPM Models." In 2014 International Conference on Mechatronics, Electronic, Industrial and Control Engineering. Paris, France: Atlantis Press, 2014. http://dx.doi.org/10.2991/meic-14.2014.15.

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Zhang, Ping, and Fuzhong Chen. "The CAPM Applicability Study on Chinese Stock Markets." In 2009 International Workshop on Intelligent Systems and Applications. IEEE, 2009. http://dx.doi.org/10.1109/iwisa.2009.5073172.

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Liu, Weifang, and Xiaoxue Han. "Does the modified prospect theory consist with CAPM?" In 2013 International Conference on Services Science and Services Information Technology. Southampton, UK: WIT Press, 2014. http://dx.doi.org/10.2495/sssit131392.

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Wan, Ziqi. "Analysis of Size and Momentum Anomalies in CAPM." In 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021). Paris, France: Atlantis Press, 2021. http://dx.doi.org/10.2991/assehr.k.211209.108.

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Yang, Zhou. "Analysis on CAPM and Sharpe Ratio in Market Investment." In 6th International Conference on Financial Innovation and Economic Development (ICFIED 2021). Paris, France: Atlantis Press, 2021. http://dx.doi.org/10.2991/aebmr.k.210319.002.

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Mane, Yashodhan Vilas, and Anil R. Surve. "CAPM: Context aware provisioning middleware for human activity recognition." In 2016 International Conference on Advanced Communication Control and Computing Technologies (ICACCCT). IEEE, 2016. http://dx.doi.org/10.1109/icaccct.2016.7831722.

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Hasuike, Takashi, Hideki Katagiri, and Hiroaki Ishii. "Multiobjective random fuzzy portfolio selection problems based on CAPM." In 2009 IEEE International Conference on Systems, Man and Cybernetics - SMC. IEEE, 2009. http://dx.doi.org/10.1109/icsmc.2009.5346239.

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Reports on the topic "CAPM"

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Zhang, Lu. The Investment CAPM. Cambridge, MA: National Bureau of Economic Research, March 2017. http://dx.doi.org/10.3386/w23226.

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Zhang, Lu. Q-factors and Investment CAPM. Cambridge, MA: National Bureau of Economic Research, December 2019. http://dx.doi.org/10.3386/w26538.

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Engel, Charles, and Anthony Rodrigues. A Test of International CAPM. Cambridge, MA: National Bureau of Economic Research, October 1986. http://dx.doi.org/10.3386/w2054.

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Campbell, John, Stefano Giglio, Christopher Polk, and Robert Turley. An Intertemporal CAPM with Stochastic Volatility. Cambridge, MA: National Bureau of Economic Research, September 2012. http://dx.doi.org/10.3386/w18411.

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Jagannathan, Ravi, and Iwan Meier. Do We Need CAPM for Capital Budgeting? Cambridge, MA: National Bureau of Economic Research, January 2002. http://dx.doi.org/10.3386/w8719.

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Ang, Andrew, and Joseph Chen. CAPM Over the Long Run: 1926-2001. Cambridge, MA: National Bureau of Economic Research, December 2005. http://dx.doi.org/10.3386/w11903.

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Engel, Charles, and Anthony Rodrigues. Tests of International CAPM with Time-Varying Covariances. Cambridge, MA: National Bureau of Economic Research, July 1987. http://dx.doi.org/10.3386/w2303.

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Barberis, Nicholas, Robin Greenwood, Lawrence Jin, and Andrei Shleifer. X-CAPM: An Extrapolative Capital Asset Pricing Model. Cambridge, MA: National Bureau of Economic Research, June 2013. http://dx.doi.org/10.3386/w19189.

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MacKinlay, A. Craig. Multifactor Models Do Not Explain Deviations from the CAPM. Cambridge, MA: National Bureau of Economic Research, June 1994. http://dx.doi.org/10.3386/w4756.

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Lewellen, Jonathan, and Stefan Nagel. The Conditional CAPM does not Explain Asset-Pricing Anamolies. Cambridge, MA: National Bureau of Economic Research, September 2003. http://dx.doi.org/10.3386/w9974.

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