Artykuły w czasopismach: „CAPM”

1

PAULSEN, JON. "CAPM Issues". Business Valuation Review 10, nr 4 (grudzień 1991): 175–76. http://dx.doi.org/10.5791/0882-2875-10.4.175.

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Hu, Wei, i Zhenlong Zheng. "Expectile CAPM". Economic Modelling 88 (czerwiec 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 i 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, nr 1 (5.01.2022): 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 i I. NYOMAN WIDANA. "MEMBANDINGKAN RISIKO SISTEMATIS MENGGUNAKAN CAPM-GARCH DAN CAPM-EGARCH". E-Jurnal Matematika 6, nr 4 (28.11.2017): 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, nr 5 (18.04.2017): 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, i Martin Walther. "Firmengröße im CAPM". WiSt - Wirtschaftswissenschaftliches Studium 45, nr 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, nr 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, nr 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 i Fabiano S. Oliveira. "CAPM Model Extensions". IFAC Proceedings Volumes 31, nr 16 (czerwiec 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, nr 4 (wrzesień 2017): 545–603. http://dx.doi.org/10.1111/eufm.12129.

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Husmann, Sven, i Neda Todorova. "CAPM option pricing". Finance Research Letters 8, nr 4 (grudzień 2011): 213–19. http://dx.doi.org/10.1016/j.frl.2011.03.001.

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Arshad, Muhammad Adnan, Saira Munir, Bashir Ahmad i Muhammad Waseem. "Do factors matter for predicting high-risk stock returns? Comparison of single-, three- and five-factor CAPM". International Journal of Financial Engineering 06, nr 02 (czerwiec 2019): 1950015. http://dx.doi.org/10.1142/s2424786319500154.

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This study empirically analyzes the three models of CAPM in order to get the best determinants, and superlative model of CAPM in the context of Pakistan’s Financial Sector. This study used fixed Effect model and Hausman test are used in this study to investigate the single-, three- and five-factor CAPM. First we analyzed the single factor CAPM, and results explain 52% variations in the dependent variable — stock returns. Next, the three-factors CAPM is analyzed, which elucidates 69% variations in the dependent variable — stock returns — on the addition of two more factors (size and value). Lastly, five factor CAPM is estimated, which provides 76% variations in the dependent variable — stock returns — by adding two more factors (investment and profitability) in the three factor CAPM. This shows that the addition of more factors in the CAPM bestows suitable results in the financial sector of Pakistan.

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Tsuji, Chikashi. "A Non-linear Estimation of the Capital Asset Pricing Model: The Case of Japanese Automobile Industry Firms". Applied Finance and Accounting 3, nr 2 (5.04.2017): 20. http://dx.doi.org/10.11114/afa.v3i2.2331.

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This paper quantitatively examines a non-linear capital asset pricing model (CAPM) by using monthly stock returns of major automobile industry firms in Japan. Applying the maximum likelihood method, we derive the following interesting findings. (1) First, in the case where the distribution of stock returns has a fat-tail, our non-linear CAPM is highly effective. Because the parameters of our non-linear CAPM well capture fat-tailed return distributions, the non-linear model estimation derives reliable estimates of beta values. (2) Second, in the case where stock returns are normally distributed, our non-linear CAPM is also effective. Since the parameters of our non-linear CAPM also well capture normally distributed returns by adjusting its degrees of freedom parameter value, the non-linear model estimation similarly derives reliable beta estimates as those derived from the standard linear CAPM. (3) Finally, we further conduct the Wald tests based on the estimators from the standard CAPM and our non-linear CAPM, and we suggest that in the case where the distribution of stock returns has a fat-tail, the Wald test based on the estimators from our non-linear CAPM shall be more reliable than the Wald test based on the estimators from the standard linear CAPM.

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Wu, Mengyun, Muhammad Imran, YanHua Feng, Linrong Zhang i Muhammad Abbas. "Review and Validity of Capital Asset Pricing Model: Evidence from Pakistan Stock Exchange". International Research in Economics and Finance 1, nr 1 (10.12.2017): 21. http://dx.doi.org/10.20849/iref.v1i1.267.

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Since the inception of prospects theory of Markowitz (1952) which leads to the development of CAPM has been studied and applied in many ways. Some researchers conclude that CAPM is valid and could be used for valuation of securities and cost of equity. However, critiques arise that CAPM is a single risk factor and remark that a single factor model cannot be generalized in the overall capital markets because the capital market absorbs many other risk factors. The CAPM has been applied to the Pakistan’s Stock Exchange to check the validity of CAPM for a sample of 306 individual firms and 18 industrial portfolios. Two pass regression has been applied to check the applicability of CAPM in Pakistan’s stock exchange. The results show that CAPM, single factor model is not valid for the technical analysis in Pakistan's capital market. The investors need to use other type of factor models which include other economic and non economic kind of variables for valuation of securities.

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Zhu, Runqi. "Comparative Research of the Fitness of CAPM and Fama-French Three-factor Models". BCP Business & Management 30 (24.10.2022): 803–7. http://dx.doi.org/10.54691/bcpbm.v30i.2568.

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CAPM theory is the core of the modern financial theory. As time went on, more and more people began to invest in CAPM research, many of the contradictions of CAPM have emerged, not least the highly idealistic assumptions and harsh implementation conditions. Different from CAPM, which only has a single factor of market risk beta, The inclusion of size premium and book-to-market ratio premium in this model can effectively explain stock market results. By introducing the model concept of CAPM and FF3 and comparing the empirical evidence in Sattar, M., this paper explains why the explanatory power of CAPM factors is weak. By referring to previous scholars' articles, this essay contrasts and elucidates how the market factor, size premium, and book-to-market ratio premium may all effectively account for stock market returns. According to the study's findings, the three-factor Fama French model has a stronger capacity for explanation than the CAPM model.

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El-Masry, Ahmed, i Dalia A. El-Mosallamy. "A comparative study of the performance of Saudi mutual funds". Corporate Ownership and Control 13, nr 4 (2016): 89–102. http://dx.doi.org/10.22495/cocv13i4p9.

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This study examines the performance of 21 Saudi mutual funds using the CAPM and downside CAPM D-CAPM models over the period 2005-2011. Initially equity fund performance is examined against two benchmarks TASI and the GCCI Islamic index utilizing the traditional beta and CAPM performance evaluation measures. The evaluation is then replicated utilizing the downside beta and other tests of funds’ performance derived from the CAPM in the down side framework. The results indicate that the downside beta could be more relevant in terms of its higher explanatory power than the traditional beta and thus CAPM in the downside framework could be more relevant to report on funds’ performance in this emerging market. After exploring the aggregate performance by forming two fund portfolios; one representing the average Islamic mutual fund and the other is the average conventional fund, to examine the performance of the Islamic mutual funds portfolio compared to its conventional peers and to the overall market, the study finds, on average, Islamic mutual funds in outperform conventional mutual funds and the market portfolio. The study concludes that it is equally important for practitioners in emerging markets, to report performance using both CAPM measures and D-CAPM measures and if differences exist, then the D-CAPM could be the superior measure because of its suitability to the asymmetrical distribution of returns existing in emerging markets in general.

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Candela, Thomas, Michèle Mock i Agnès Fouet. "CapE, a 47-Amino-Acid Peptide, Is Necessary for Bacillus anthracis Polyglutamate Capsule Synthesis". Journal of Bacteriology 187, nr 22 (15.11.2005): 7765–72. http://dx.doi.org/10.1128/jb.187.22.7765-7772.2005.

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ABSTRACT Polyglutamate is found in various bacteria, but displays different functions depending on the species and their environment. Here, we describe a minimal polyglutamate synthesis system in Bacillus anthracis. In addition to the three genes previously described as sufficient for polyglutamate synthesis, this system includes a small open reading frame, capE, belonging to the cap operon. The polyglutamate system's requirement for the five cap genes, for capsulation and anchoring, was assayed in nonpolar mutants. The capA, capB, capC, and capE genes are all necessary and are sufficient for polyglutamate synthesis by B. anthracis. capD is required for polyglutamate anchoring to the peptidoglycan. The 47-amino-acid peptide encoded by capE is localized in the B. anthracis membrane. It is not a regulator and it is required for polyglutamate synthesis, suggesting that it has a structural role in polyglutamate synthesis. CapE appears to interact with CapA. Bacillus subtilis ywtC is similar to capE and we named it pgsE. Genes similar to capE or pgsE were found in B. subtilis natto, Bacillus licheniformis, and Staphylococcus epidermidis, species that produce polyglutamate. All the bacterial polyglutamate synthesis systems analyzed show a similar genetic organization and, we suggest, the same protein requirements.

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Hazny, Mohamad Hafiz, Haslifah Mohamad Hasim i Aida Yuzy Yusof. "Mathematical modelling of a shariah-compliant capital asset pricing model". Journal of Islamic Accounting and Business Research 11, nr 1 (6.01.2020): 90–109. http://dx.doi.org/10.1108/jiabr-07-2016-0083.

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Purpose The capital asset pricing model (CAPM) is the most widely used asset pricing model that measures risk–return relationship. The CAPM is based on Markowitz’s mean variance analysis. The advancement of Islamic finance leads to the question whether or not the practice of modern investment theories and analyses such as the Markowitz’s mean variance analysis and CAPM are in accordance to shariah and could be used in pricing Islamic financial assets. Therefore, this paper aims to present a review of the CAPM and to discourse the set of assumptions underlying the model in terms of shariah compliance. Design/methodology/approach Although most of the assumptions are not contradictory to shariah principles, there are Islamic variables such as prohibition of short selling, purification and zakat that should be taken into consideration when pricing Islamic financial assets. We then develop a mathematical model which is a modification of the traditional CAPM that incorporates principles of Islamic finance and integrating zakat, purification of return and exclusion of short sales. Findings As a proof-of-concept, this paper presents the results of an empirical study on the proposed shariah-compliant CAPM in comparison to the traditional CAPM. The results show that the proposed Islamic CAPM is appropriate and applicable in examining the relationship between risk and return in the Islamic stock market. Originality/value This study contributes to existing body of knowledge by presenting an algorithm and mathematical derivation of the shariah-compliant CAPM which has been lacking in the literature of Islamic finance. The paper offers a novel approach in pricing Islamic financial assets in accordance to shariah, advocated by modern investment theories of Markowitz’s mean variance analysis and CAPM.

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SAFIRA, ICHA WINDA DIAN, KOMANG DHARMAWAN i DESAK PUTU EKA NILAKUSMAWATI. "PENENTUAN KEPUTUSAN INVESTASI SAHAM MENGGUNAKAN CAPITAL ASSET PRICING MODEL (CAPM) DENGAN PENAKSIR PARAMETER STOKASTIK". E-Jurnal Matematika 10, nr 4 (30.11.2021): 251. http://dx.doi.org/10.24843/mtk.2021.v10.i04.p351.

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CAPM is a method of determining efficient or inefficient stocks based on the differences between individual returns and expected returns based on the CAPM’s positive value for efficient and negative value for inefficient stocks. The move to share prices in the process can influence investors's decisions in investing funds, so that it can be formulated in stochastic differential equations that form the Geometric Brownian Motion model (GBM). The purpose of the study is to determine return value using the CAPM based on share estimates and historical stock prices. The study uses secondary data that data a monthly closing of stock prices from December 2017 to December 2020. The GBG model's estimated stock price is used to determine the expected value return using the CAPM. In this case, it is called CAPM-Stochastic. Then the results of the CAPM-Stochastic was compared to the results of the CAPM-Historical to define efficient stocks and inefficient stocks. The results of research using CAPM-Stochastic obtained that HMSP, ICBP, KLBF, and WOOD shares are efficient stock while UNVR shares are inefficient. The results of CAPM-Historical obtained that HMSP, ICBP, KLBF, and UNVR shares are inefficient stocks and WOOD is an efficient stocks.

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Yunita, Irni, Tieka Tri Kartika Gustyana i Dwi Kurniawan. "ACCURACY LEVEL OF CAPM AND APT MODELS IN DETERMINING THE EXPECTED RETURN OF STOCK LISTED ON LQ45 INDEX". Jurnal Aplikasi Manajemen 18, nr 4 (1.12.2020): 797–807. http://dx.doi.org/10.21776/ub.jam.2020.018.04.17.

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This study determines the accuracy level of CAPM and APT in determining the expected return of LQ45 and comparing the expected return from CAPM and APT models. This study uses descriptive and comparative research approaches. The population is all stocks listed in the LQ45 index while the sampling method used is purposive sampling with stock criteria that have complete data for the period November 2015 - November 2019. This study uses an independent sample t-test in testing the expected return differences between the CAPM and APT models. The result showed that the CAPM Model was more accurate in determining the expected return of LQ45 stocks compared to the CAPM method. The result also showed that there was a significant difference in expected return between CAPM and APT models. Based on this result, investors can use the CAPM model in predicting the returns of the stock listed on the LQ45. For further research, can use another index in the capital market as a research object, used a longer period to get a more accurate result, and add some more macro variables.

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Sari, Cindy Mela Kurnia, i Nafik Hadi Ryandono. "PENGUJIAN CAPITAL ASSET PRICING MODEL (CAPM) DALAM MENILAI RISIKO DAN RETURN SAHAM JAKARTA ISLAMIC INDEX (JII) DENGAN TWO PASS REGRESSION". Jurnal Ekonomi Syariah Teori dan Terapan 5, nr 9 (19.06.2019): 775. http://dx.doi.org/10.20473/vol5iss20189pp775-790.

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The aim of this research is to investigate the validity of Capital Asset Pricing Model (CAPM) in assessing risk and return of Sharia stock in JII during 2014-2016. The samples are 18 companies obtained by purposive sampling. This research uses quantitative approach with two pass regression method. The result of empirical testing explains that CAPM is not accurate because one of the CAPM assumption is unfulfilled that the beta value is negative and not significant to the expected return. This results fail to confirm linear and positive relation between beta and the expected return such in the CAPM theory. The overall results demonstrate that the CAPM is not accurate particularly on JII sharia stocks during the observation period

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Tambosi Filho, Elmo, Fábio Gallo Garcia, Joshua Onome Imoniana i Luiz Maurício Franco Moreiras. "Teste do CAPM condicional dos retornos de carteiras dos mercados brasileiro, argentino e chileno, comparando-os com o mercado norte-americano". Revista de Administração de Empresas 50, nr 1 (marzec 2010): 60–74. http://dx.doi.org/10.1590/s0034-75902010000100006.

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Nas últimas décadas, o modelo Capital Asset Pricing Model (CAPM) tem despertado grande interesse por parte da comunidade científica. Apesar das críticas, o aprimoramento do CAPM estático deu origem a novos modelos dinâmicos que trazem maior segurança para o investidor ao longo do ciclo de negócios. Atualmente, encontramos adaptações mais complexas do modelo CAPM, as quais nos permitem ter respostas sobre questões em finanças que por muito tempo permaneceram não solucionadas. Diante desse panorama e considerando todo o debate acerca da validade do CAPM, este trabalho tem como objetivo testar o modelo CAPM condicional de Jagannathan e Wang (1996), incorporando variáveis macroeconômicas e financeiras, para o mercado brasileiro, argentino, chileno, e norte americano.

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Orellana-Osorio, Iván, Marco Antonio Reyes i Estefanía Cevallos-Rodríguez. "Evolución de los modelos para la medición del riesgo financiero". UDA AKADEM, nr 3 (30.04.2019): 7–34. http://dx.doi.org/10.33324/udaakadem.v1i3.201.

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El propósito de esta investigación será conocer los principales modelos de medición de riesgo sistemático existentes e identificar las variables utilizadas, para posteriormente estudiar la factibilidad en la implementación de los modelos en mercados emergentes como el caso de Ecuador. Por medio de investigación cualitativa y de tipo descriptivo, se logró determinar que los modelos de medición de riesgo han evolucionado significativamente. El modelo CAPM es el más utilizado por inversionistas para medir el riesgo, sin embargo, posee limitaciones y ha recibido críticas por el alto grado de sensibilidad que posee el cálculo del coeficiente BETA. Diversos autores han elaborado modelos de medición de riesgo, a partir del CAPM clásico, entre los que destacan: modelo Zero – Beta CAPM, CAPM Intertemporal, modelo APT (Teoría del Arbitraje), modelo Consumption CAPM, modelo de los Tres Factores de Fama y French y el D – CAPM, sin embargo, ¿qué tan factible es la aplicación de estos modelos en mercados emergentes? Debido al alto grado de volatilidad de las variables utilizadas en los modelos, y principalmente en mercados emergentes como el Ecuador, es necesario plantear nuevos modelos de medición de riesgo aplicables a nuestra realidad, teniendo como referencia de cálculo al modelo CAPM.

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Mejía-Matute, Silvia, i Kevin Samaniego. "El gasto público en educación y su impacto en el crecimiento de la economía ecuatoriana 2007-2017". UDA AKADEM, nr 3 (30.04.2019): 65–92. http://dx.doi.org/10.33324/udaakadem.v1i3.203.

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El propósito de esta investigación será conocer los principales modelos de medición de riesgo sistemático existentes e identificar las vari ables utilizadas, para posteriormente estudiar la factibilidad en la implementación de los modelos en mercados emergentes como el caso de Ecuador. Por medio de investigación cualitativa y de tipo descriptivo, se logró determinar que los modelos de medición de riesgo han evolucionado significativamente. El modelo CAPM es el más utilizado por inversionistas para medir el riesgo, sin embargo, posee limitaciones y ha recibido críticas por el alto grado de sensibilidad que posee el cálculo del coeficiente BETA. Diversos autores han elaborado modelos de medición de riesgo, a partir del CAPM clásico, entre los que destacan: modelo Zero – Beta CAPM, CAPM Intertemporal, modelo APT (Teoría del Arbitraje), modelo Consumption CAPM, modelo de los Tres Factores de Fama y French y el D – CAPM, sin embargo, ¿qué tan factible es la aplicación de estos modelos en mercados emergentes? Debido al alto grado de volatilidad de las variables utilizadas en los modelos, y principalmente en mercados emergentes como el Ecuador, es necesario plantear nuevos modelos de medición de riesgo aplicables a nuestra realidad, teniendo como referencia de cálculo al modelo CAPM.

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Cho, Seung Mo. "Deriving the CAPM under the Mean-Variance Utility Function". Taegu Science University Defense Security Institute 6, nr 3 (30.06.2022): 95–102. http://dx.doi.org/10.37181/jscs.2022.6.3.095.

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This article has derived the CAPM under the mean-variance utility function. Thus, it has the following academic significance. Firstly, the article has proposed a new way of deriving the CAPM in addition to the various traditional ones by previous studies of Sharpe(1964), Lintner(1965), Mossin(1966), Huang & Litzenberger(1988), etc. Secondly, by proposing the assumption of mean-variance utility to derive the CAPM, it has contributed to the research on assumptions or conditions for the CAPM such as Markowitz(1959), Tobin(1958, 1969), Borch(1969), Feldstein(1969), Ross(1978), Nielsen(1990), Allingham(1991), Berk(1997), etc. Thirdly, it has proposed an intuitive and simple assumption of mean-variance utility to derive the CAPM unlike the traditional nonintuitive and mathematical assumptions or conditions for the CAPM proposed by preceding researches of Markowitz(1959), Tobin(1958, 1969), Borch(1969), Feldstein(1969), Ross(1978), Nielsen(1990), Allingham(1991), Berk(1997), etc.

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Schilt, James H. "CAPM and Business Valuation". Business Valuation Review 23, nr 2 (czerwiec 2004): 60–62. http://dx.doi.org/10.5791/0882-2875-23.2.60.

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Fernandez, Pablo. "CAPM: An Absurd Model". Business Valuation Review 34, nr 1 (styczeń 2015): 4–23. http://dx.doi.org/10.5791/0882-2875-34.1.4.

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Wallington, D. C. L. "A Guide to CAPM". Computer-Aided Engineering Journal 3, nr 1 (1986): 34. http://dx.doi.org/10.1049/cae.1986.0008.

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NIELSEN, LARS TYGE. "Positive Prices in CAPM". Journal of Finance 47, nr 2 (czerwiec 1992): 791–808. http://dx.doi.org/10.1111/j.1540-6261.1992.tb04411.x.

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Zou, Liang. "The best-beta CAPM". Applied Financial Economics Letters 2, nr 2 (marzec 2006): 131–37. http://dx.doi.org/10.1080/13504850500395993.

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French, Jordan. "The time traveller’s CAPM". Investment Analysts Journal 46, nr 2 (11.12.2016): 81–96. http://dx.doi.org/10.1080/10293523.2016.1255469.

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Ray, Surajit, N. E. Savin i Ashish Tiwari. "Testing the CAPM revisited". Journal of Empirical Finance 16, nr 5 (grudzień 2009): 721–33. http://dx.doi.org/10.1016/j.jempfin.2009.07.006.

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33

Elmiger, Sabine. "CAPM-anomalies: quantitative puzzles". Economic Theory 68, nr 3 (29.06.2018): 643–67. http://dx.doi.org/10.1007/s00199-018-1137-5.

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Magill, Michael, i Martine Quinzii. "Infinite horizon CAPM equilibrium". Economic Theory 15, nr 1 (1.01.2000): 103–38. http://dx.doi.org/10.1007/s001990050003.

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Magni, Carlo Alberto. "Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM?" European Journal of Operational Research 192, nr 2 (styczeń 2009): 549–60. http://dx.doi.org/10.1016/j.ejor.2007.09.027.

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Tsuji, Chikashi. "An Exploration of the Time-varying Beta of the International Capital Asset Pricing Model: The Case of the Japanese and the Other Asia-Pacific Stock Markets". Accounting and Finance Research 6, nr 2 (29.03.2017): 86. http://dx.doi.org/10.5430/afr.v6n2p86.

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This study clarifies the state of dynamic evolution of the international CAPM betas for Asia Pacific (excluding Japan) and Japanese stock returns: first, both for Asia Pacific and Japanese stock markets, the time-invariant international CAPM beta values are not high. Second, over the period from July 2, 1990 to May 30, 2016, for Asia Pacific stock markets, the time-varying international CAPM betas gradually increase; while for the Japanese market, the time-varying international CAPM betas gradually decrease. We also find that the international time-varying CAPM betas for Japan are recently lower than those for Asia Pacific markets, thus, in the global equity investments, Japanese equities are more useful to obtain the diversification effects than the other Asia Pacific equities.

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Chaudhary, Pankaj. "Test of CAPM: A Study of India and US". GIS Business 11, nr 5 (26.10.2016): 51–58. http://dx.doi.org/10.26643/gis.v11i5.3422.

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Asset pricing is one of the most important research areas in the field of finance. The simple CAPM model (capital asset pricing model) relates the return of the stocks and portfolios to the market factor captured by beta. Since the formulation of CAPM in 1960s, asset pricing has covered a long distance. We conduct the test of CAPM for India and US by using data from January 2001 to December 2015. We run 84 second pass cross-sectional regression equations to test the applicability of CAPM. The results of our test find that CAPM is not able to capture the cross section of average returns both in India and US and we should consider the alternative asset pricing models to establish the risk-return relationship.

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Du, Mahe. "A Review Study on the Analysis of Validity Validation of Chinese Stock Market Pairs Using CAPM". BCP Business & Management 30 (24.10.2022): 664–68. http://dx.doi.org/10.54691/bcpbm.v30i.2514.

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Since the inception of the Capital Asset Pricing Model (CAPM), numerous empirical studies have been conducted to test its effectiveness. However, there are several disputes surrounding the CAPM model's implementation and study in the Chinese securities market. This paper first describes the significance of the CAPM model in testing its validity in the Chinese market. Then the paper summarizes 11 papers that include using data from the Shanghai and Shenzhen stock exchanges as assistance, and using different analytical methods to conduct research. The investigation demonstrates that the CAPM model's relevance and validity in the China stock market are restricted. Finally, a summary of the issues with the CAPM model's practical use in the Chinese securities market is provided, along with suggestions for solutions.

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Fleming, Jennifer, Sahra Kennedy, Rebecca Fisher, Hannah Gill, Matthew Gullo i David Shum. "Validity of the Comprehensive Assessment of Prospective Memory (CAPM) for Use With Adults With Traumatic Brain Injury". Brain Impairment 10, nr 1 (1.05.2009): 34–44. http://dx.doi.org/10.1375/brim.10.1.34.

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AbstractObjective: To expand upon the existing psychometric properties of the Comprehensive Assessment of Prospective Memory (CAPM) for use with adults with traumatic brain injury by examining concurrent and criterion validity. Method: Participants were 45 adults with a traumatic brain injury. Participants and their relatives completed Section A of the CAPM and a measure of psychosocial integration. Participants were also administered two neuropsychological tests of prospective memory, the Cambridge Prospective Memory Test (CAM-PROMPT) and the Memory Intentions Screening Test (MIST). Concurrent validity was measured by comparing scores on the CAPM with scores on the CAM-PROMPT and MIST. Criterion validity was examined by correlating CAPM scores with level of psychosocial integration. Results: Participant self-reports on the CAPM were not significantly correlated with the CAM-PROMPT or MIST, but were significantly correlated with level of psychosocial integration. Relative reports on the CAPM were correlated significantly with total score on the MIST and CAM-PROMPT and level of psychological integration. Conclusions: The findings indicate that the concurrent validity of the self-report version of CAPM is low suggesting that self-reports alone do not provide an objective measure for assessing prospective memory function. The relative report version however, demonstrated reasonable concurrent and criterion validity, suggesting that the relative report version of the Section A of the CAPM is a useful means of evaluating frequency of prospective memory failure in adults with traumatic brain injury.

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Leković, Miljan. "Evidence for and against the validity of the capital asset Pricing model". Tehnika 77, nr 3 (2022): 363–72. http://dx.doi.org/10.5937/tehnika2203363l.

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The Capital Asset Pricing Model (CAPM) makes a significant contribution to understanding the relationship between return and risk and valuing assets in the capital market. The basic idea of the CAPM model is that assets exposed to the same level of systemic risk should have the same level of expected return. Therefore, the CAPM model values the asset, ie. determines its price at a level that ensures that the expected return corresponds to the assumed systemic risk. In addition to the positive aspects of the CAPM model, the paper pays equal attention to understanding the problems and taking into account the shortcomings and limitations that this model faces. The aim of the research is to find an answer to the question of whether the CAPM model is the correct model for valuing financial assets. In this regard, the paper presents numerous pieces of evidence for and against the validity of the CAPM model, concluding that, even after more than half a century of research, no consensus has been reached in the financial literature on the presence or absence of its validity.

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Baghdadabad, Mohammad Reza Tavakoli, Fauzias Mat Nor i Izani Ibrahim. "MEAN-DRAWDOWN RISK BEHAVIOR: DRAWDOWN RISK AND CAPITAL ASSET PRICING". Journal of Business Economics and Management 14, Supplement_1 (24.12.2013): S447—S469. http://dx.doi.org/10.3846/16111699.2012.720593.

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We develop an alternative approach based on mean-drawdown risk behavior versus the mean-variance behavior. We develop two risk measures as the maximum draw down risk and average drawdown risk to estimate two new betas and then propose two CAPM-like models. The data includes a comprehensive universe of more than 11,000 US equity-based mutual funds from first month of 2000 to third month of 2011. The evidence clearly shows superiority of the maximum and average drawdown betas and their pricing models, the maximum drawdown CAPM and the average drawdown CAPM, over the traditional beta and CAPM, respectively.

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Dessaint, Olivier, Jacques Olivier, Clemens A. Otto i David Thesmar. "CAPM-Based Company (Mis)valuations". Review of Financial Studies 34, nr 1 (12.05.2020): 1–66. http://dx.doi.org/10.1093/rfs/hhaa049.

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Abstract There is a discrepancy between CAPM-implied and realized returns. Using the CAPM in capital budgeting—as recommended in textbooks—should thus have real effects. For instance, low beta projects should be valued more by CAPM users than by the market. We test this hypothesis using M&A data and show that bids for low-beta private targets entail lower bidder returns. We provide further support by testing several ancillary predictions. Our analyses suggest that using the CAPM when valuing targets leads to valuation errors (relative to the market’s view) corresponding on average to 12% to 33% of the deal values.

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Filho, Elmo Tambosi, Fabio Gallo Garcia i Joshua Onome Imoniana. "Empirical test of conditional CAPM using expected returns of Brazilian, Argentinean, German and United States of American portfolio". Corporate Ownership and Control 7, nr 2 (2009): 269–78. http://dx.doi.org/10.22495/cocv7i2c2p3.

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In the last decades, CAPM model has been of great interest in the scientific scene. Despite all the criticism, the improvement of the static CAPM, which has generated new dynamic models, provided investors with stronger guarantee through financial transactions. The CAPM and its static version were and are still very important in the financial scene. Nowadays, more sophisticated adaptations of the CAPM are found, which allow us to explain some matters in finance that had remained unqualified for a couple of time. Considering such discussion about the CAPM validity, this study aims to create a basis for reflection upon the conditional model, comparing it with the static one. In order to verify such facts, tests of conditional models are examined (with beta varying throughout the exercise), something uncommonly studied in the literature. Such tests are suitable to incorporate variances and covariance that change at long run. Methodological wise, the study tested the conditional CAPM model borrowing a leaf from Jagannathan and Wang (1996) using macroeconomics and financial variables from the Brazilian, German and Argentinean markets. Also, the approach compared such results with the American figures. Based on our findindings, there is evidence that the conditional CAPM of Jagannathan and Wang (1996) for the North American market is perfectly applicable to the Brazilian, Argentinean and German markets.

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Pontoh, Winston, i Novi Swandari Budiarso. "The idiosyncratic risk during the Covid-19 pandemic in Indonesia". Investment Management and Financial Innovations 18, nr 4 (13.10.2021): 57–66. http://dx.doi.org/10.21511/imfi.18(4).2021.06.

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Conservatism in the CAPM and L-CAPM standards often emphasizes systematic risk to explain the phenomenon of the risk-return relationship and ignores idiosyncratic risk with the assumption that the risk can be diversified. The effect of the Covid-19 outbreak raises the question of whether the idiosyncratic risk can still be ignored considering that the risk has a close relationship to firm-specific risk. This study sets a portfolio consisting of 177 active public firms in the Indonesia Stock Exchange before and after the Covid-19 pandemic. On portfolio set, idiosyncratic risk is estimated by the standard CAPM and L-CAPM in the observation range from January 2, 2019, to June 30, 2021. The results of the analysis show that L-CAPM and CAPM produce significantly different idiosyncratic risks. Empirical evidence shows that the highest firm-specific risk is in the third period and has a stable condition since the fourth period. This condition is confirmed by regression results that idiosyncratic risk together with systematic risk positively affects stock returns in the fourth period as suggested by the efficient market hypothesis. Uniquely, both systematic risk and idiosyncratic risk based on L-CAPM do not show a significant effect on stock returns in the fifth period, so it is a strong indication that liquidity is an important factor that must be considered in making investments.

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Sattar, Mahnoor, i Jannatunnesa. "CAPM Vs Fama-French Three-Factor Model: An Evaluation of Effectiveness in Explaining Excess Return in Dhaka Stock Exchange". International Journal of Business and Management 12, nr 5 (27.04.2017): 119. http://dx.doi.org/10.5539/ijbm.v12n5p119.

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CAPM has been prevalently used by practitioners for calculating required rate of return despite having drawbacks. Fama French presented their 3 factor model in order to gap the limitations posed by CAPM model. This paper attempts to examine practical implications and effectiveness of Fama French model vis-a-vis the CAPM model in explaining excess return of Dhaka Stock Exchange by analyzing five publicly listed firms of Cement industry over 10 years period of 2004-2014. As the representative of market index, DGEN is taken from 2004 till 2013 and later on DSEX is taken. Simple and multiple linear regression analysis have been used against daily market return and respective companies return. Results shows that adjusted R square of Fama French model have a higher value than adjusted R square of CAPM model after running cross sectional regression of the observed panel data. It means that Fama French model is better predicting variation in excess return over Rf than CAPM for all the five companies of the Cement industry over the period of ten years. Low p values indicate that the coefficients are statistically significant. Nonetheless this paper concludes that the companies who want to use Fama French model instead of CAPM must evaluate the time and effort required to use the model before they replace CAPM with the multi factor model for their stock return analysis.

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Alqisie, Ahmad, i Talal Alqurran. "Validity of Capital Assets Pricing Model (CAPM) (Empirical Evidences from Amman Stock Exchange)". Journal of Management Research 8, nr 1 (28.02.2021): 207. http://dx.doi.org/10.5296/jmr.v8i1.8494.

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The purpose of this study is to test the validity of CAPM in Amman Stock Exchange (ASE) during the period (2010 – 2014), which was divided into three sub periods. We used monthly returns of 60 stocks of Jordanian companies listed in ASE. Black, Jensen and Scholes (1972) and Fama and MacBeth (1973) methods were used to test the CAPM in different study sub-periods. The analysis results showed that higher risk (beta) is not associated with higher levels of return, which violated the CAPM assumption. Results of the study leads to contradict the theory’s assumption that beta coefficient is a good toll to predict the relationship between risk and return; hence the beta coefficient of some portfolios in the three sub periods was not significant. In addition, the results of testing SML violated the CAPM assumption in the three sub periods that, the slope should be equal to the average risk premium. Finally, tests of nonlinearity of the relationship between return and betas validated the CAPM hypothesis, that the expected return-beta relationship is linear. Depending on the above results, we couldn’t find conclusive evidence in support of CAPM in ASE.

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Harijono, Harijono, Ari Budi Kristanto i Apriani Dorkas Rambu Atahau. "Aplikasi Capital Asset Pricing Model dalam Evaluasi Kelayakan Investasi Daerah". Perspektif Akuntansi 4, nr 1 (5.05.2021): 1–12. http://dx.doi.org/10.24246/persi.v4i1.p1-12.

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Otonomi daerah mendorong pemerintah daerah untuk berinvestasi sebagai salah satu sarana meningkatkan pertumbuhan ekonomi daerah. Dalam rangka mengevaluasi keputusan investasi daerah perlu dilakukan analisis penganggaran modal. Capital Asset Pricing Model adalah metode perhitungan biaya modal dalam analisis investasi yang digunakan secara luas di dunia usaha. Penelitian ini bertujuan mengkaji aplikasi CAPM dalam keputusan investasi daerah. Dengan menggunakan data sekunder dari laporan keuangan dan laporan auditor hipotetis selama periode 2012-2017, hasil penelitian menunjukkan bahwa CAPM dapat digunakan dalam pengambilan keputusan inevstasi daerah. Dengan demikian, analisis kelayakan investasi pemerintah daerah dapat menggunakan CAPM karena CAPM sebagai alat evaluasi akan memberikan obyektifitas penliaian yang diperlukan agar keputusan investasi yang diambil menjadi tepat.

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LIADI, ELVINA, KOMANG DHARMAWAN i DESAK PUTU EKA NILAKUSMAWATI. "MENENTUKAN SAHAM YANG EFISIEN DENGAN MENGGUNAKAN METODE CAPITAL ASSET PRICING MODEL (CAPM)". E-Jurnal Matematika 9, nr 1 (31.01.2020): 23. http://dx.doi.org/10.24843/mtk.2020.v09.i01.p274.

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CAPM has been well known as a method to select which stocks are efficient in a portfolio. The purpose of this study is to determine efficient stocks using CAPM method. Data used in this study are the monthly closing prices recorded from February 2016 to July 2018. The results of this study indicate that the CAPM is able to show efficient stocks with differences in the return and expected return of a positive or negative value of CAPM. In this study, it is found that AMAG.JK, ASBI.JK, ASJT.JK, ASMI.JK, ASRM.JK, PNIN.JK, VINS.JK, LPGI.JK, MREI.JK are efficient stocks while ABDA.JK, AHAP.JK, ASDM.JK are inefficient stocks

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Dvorakova, H., J. Prodelalova i M. Reichelova. "Comparative inactivation of Aujeszky’s disease virus, Porcine teschovirus and Vesicular stomatitis I by chemical disinfectants". Veterinární Medicína 53, No. 5 (13.06.2008): 236–42. http://dx.doi.org/10.17221/1949-vetmed.

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We tested the germicide activity of 1% Chloramin BM, 1% Incidin Plus, 1% Lysoformin 3000, 0.2% Mikasept KP, and 2% Sekusept Forte against viruses in suspension (suspension test) and dried onto a surface (carrier test). The agents of the porcine encephalomyelitis (Porcine teschovirus, strains CAPM V-86, CAPM V-37), Aujeszky’s disease (strains CAPM V-166, CAPM V-327) and vesicular stomatitis (strains CAPM V-499, CAPM V-331) were used as model viruses. After 30 min contact time in both the suspension and carrier tests, the Porcine teschovirus was 4 lg inactivated only by Mikasept, which was thus the only disinfectant to meet the standard. The other disinfectants decreased the viral titre insufficiently. Under the same conditions, Aujeszky’s disease virus was inactivated by at least 4 lg by all the tested disinfectants except for Chloramin BM which decreased the titre of CAPM V-166 only by 3.75 lg in the carrier test. For the inactivation of Vesicular stomatitis virus Chloramin BM and Mikasept KP were tested. Both the disinfectants reliably decreased the viral titre in both the suspension and carrier tests. Our results show that the inactivation of a surface-bound virus is more difficult than its inactivation in suspension. We confirm the high resistance of non-enveloped viruses (Porcine teschovirus) to chemical inactivation.

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Son-Turan, Semen, i Erdem Kilic. "X-CAPM REVISITED: THE INSTITUTIONAL EXTRAPOLATIVE CAPITAL ASSET PRICING MODEL (I-X-CAPM)". Eurasian Journal of Business and Management 6, nr 3 (2018): 1–9. http://dx.doi.org/10.15604/ejbm.2018.06.03.001.

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This study constructs and tests a consumption-based asset pricing model in which some investors form beliefs about future price changes in the stock market by extrapolating past price changes, while other investors hold fully rational beliefs. The contribution of the present work is the inclusion of institutional investor bias. As such it extends theory. But it also conducts econometric tests by using daily survey data on individual and institutional investors’ sentiment on the current economic situation and their future expectations. Empirical findings may imply that institutions’ sentiment reverts quicker to the equilibrium price than individual sentiment, at least with regard to their beliefs on future economic outlook. If studied further with a bigger dataset, it may imply that institutional investors are closer to the rational-decision making mechanism compared to individual investors. The theoretical framework rests on prospect theory. The market studied is the US equity market, however findings and suggestions can be applied to global markets and various financial instruments.

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