Статті в журналах: "Capital assets pricing model"

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Chen, James Ming. "The Capital Asset Pricing Model." Encyclopedia 1, no. 3 (September 3, 2021): 915–33. http://dx.doi.org/10.3390/encyclopedia1030070.

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The capital asset pricing model (CAPM) is an influential paradigm in financial risk management. It formalizes mean-variance optimization of a risky portfolio given the presence of a risk-free investment such as short-term government bonds. The CAPM defines the price of financial assets according to the premium demanded by investors for bearing excess risk.

2

Yao, Wenjing, and Bin Mei. "Assessing forestry-related assets with the intertemporal capital asset pricing model." Forest Policy and Economics 50 (January 2015): 192–99. http://dx.doi.org/10.1016/j.forpol.2014.06.006.

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Jiao, Dian. "Application of Deep Learning Method to Capital Assets Pricing." Highlights in Business, Economics and Management 3 (January 20, 2023): 136–39. http://dx.doi.org/10.54097/hbem.v3i.4713.

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The key problem of financial assets allocation is the price of assets. Assets pricing is the core content of Modern Finance, and revealing the law of assets pricing is always a hot spot of finance research. In recent years, deep learning technology has been applied in the research process of assets pricing and achieved good effect. This paper introduced the theory and characteristics of deep learning, started from extracting and utilizing nonlinear information, effectively processing time series data, and intellectual prediction model, and explored the application of deep learning method in the capital assets pricing. Meanwhile, this paper explores the applicability and limitations of deep learning methods and discusses possible future research trends in learning-based asset pricing.

4

He, Zhiguo, and Arvind Krishnamurthy. "Intermediary Asset Pricing." American Economic Review 103, no. 2 (April 1, 2013): 732–70. http://dx.doi.org/10.1257/aer.103.2.732.

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We model the dynamics of risk premia during crises in asset markets where the marginal investor is a financial intermediary. Intermediaries face an equity capital constraint. Risk premia rise when the constraint binds, reflecting the capital scarcity. The calibrated model matches the nonlinearity of risk premia during crises and the speed of reversion in risk premia from a crisis back to precrisis levels. We evaluate the effect of three government policies: reducing intermediaries borrowing costs, injecting equity capital, and purchasing distressed assets. Injecting equity capital is particularly effective because it alleviates the equity capital constraint that drives the model's crisis. (JEL E44, G12, G21, G23, G24)

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Xu, Tianyang. "Study on the Capital Asset Pricing Model(CAPM): literature review and possible improvements." BCP Business & Management 16 (December 26, 2021): 109–13. http://dx.doi.org/10.54691/bcpbm.v16i.282.

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Capital Asset Pricing Model is one of the most classic financial models used by investors to predict the relations between risks and returns. However, with the rapid growth of global market, international corporations and fictitious assets, the whole global market becomes more complicated. For the stock markets, with more factors affecting the risks and expected returns, will these novel changes affect and make those classic financial models obsolete? This paper discusses the history of the Capital Asset Pricing Model and and studies the adaptability, assumptions, and formula of Capital Asset Pricing Model and the methods that could be used to improve this model. By carrying out data analysis, it is found out that the Capital Asset Pricing Model has shown poorer ability to predict the expected returns and risks comparing to other models that take more factors into account, such as the Fama-French Three-Factor Model. As a result, Fama-French Three-Factor Model is analyzed in this paper to find why it provides more accurate results that fit the real situations. After that, improvements that could be added on the Capital Asset Pricing Model are proposed based on the analysis on Fama-French Three-Factor Model.

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Naqvi, Hassan. "On the validity of the Capital Asset Pricing Model." LAHORE JOURNAL OF ECONOMICS 5, no. 1 (January 1, 2000): 73–92. http://dx.doi.org/10.35536/lje.2000.v5.i1.a4.

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One of the most important developments of modern finance is the Capital Asset Pricing Model (CAPM) of Sharpe, Lintner and Mossin. Although the model has been the subject of several academic papers, it is still exposed to theoretical and empirical criticisms. The CAPM is based on Markowitz’s (1959) mean variance analysis. Markowitz demonstrated that rational investors would hold assets, which offer the highest possible return for a given level of risk, or conversely assets with the minimum level of risk for a specific level of return.

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Alshomaly, Ibrahim, and Ra’ed Masa’deh. "The Capital Assets Pricing Model & Arbitrage Pricing Theory: Properties and Applications in Jordan." Modern Applied Science 12, no. 11 (October 29, 2018): 330. http://dx.doi.org/10.5539/mas.v12n11p330.

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This paper aimed to test the validity of capital asset pricing model (CAPM) and arbitrage pricing theory (APT) in Jordanian stock Market using three different firms of three main sectors, financial, industrial, and service sector for the period Q1 (2000) to Q4 (2016), using published information obtained from Amman stock exchange (ASE), these models were designed to measure the cost of capital using the coefficient of systematic risk factor, that used in the valuation of capital assets. We reviewed the most important similarities and differences between the two models out of sectors analysis. The study showed, first, there are some differences between the two models in term of the amount of systematic risk that can be eliminated by diversification in the three sectors. Second, the application of APT model showed that large percentage of risk can be eliminated by diversification more than CAPM model. Third, the banking sector in Jordan faces more systematic risks than other sectors.

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Григорий Георгиевич, Сидоренко, Сидоренко Олег Георгиевич, and Термосесов Дмитрий Сергеевич. "STOCK MARKET PRICING: CAPITAL ASSET RETURNS MODEL (CAPM) AND FAMA-FRENCH MODEL." STATE AND MUNICIPAL MANAGEMENT SCHOLAR NOTES 1, no. 2 (June 2022): 135–41. http://dx.doi.org/10.22394/2079-1690-2022-1-2-135-141.

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. Subject / topic: This article examines the issues of pricing in the stock market in order to help institutional investors to preserve their own capital and increase it based on the study of capital asset return models (CAPM) and Fama-French model. The tasks of collecting the necessary statistical data, analyzing them, as well as applying the model to assess various assets and analyzing the accuracy of their application have been solved. The use of this model makes it possible to reliably predict the prices of assets on the stock market, however, it does not guarantee 100% accuracy, and therefore, its use still entails the risks of capital loss. Goals / objectives: The aim of the study is to compare the accuracy of the studied models, as well as to identify their advantages and disadvantages. Methodology: The methodological basis of the study is made up of both general and particular scientific methods of cognition. Used such methods as induction and deduction, methods of comparison and generalization. Results / conclusions: The authors found that the use of the five-factor Fama-French model makes it possible to fairly reliably predict asset prices in the stock market, but does not guarantee 100% accuracy, so its use still entails the risk of capital loss.

9

Johnston, Mark. "Extension of the Capital Asset Pricing Model to Non-normal Dependence Structures." ASTIN Bulletin 37, no. 01 (May 2007): 35–52. http://dx.doi.org/10.2143/ast.37.1.2020797.

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The Capital Asset Pricing Model arises in an economy where agents have exponential utility functions and aggregate consumption is normally distributed, and gives the prices of assets with payoffs which are jointly normal with consumption. Such assets have normal marginal distributions and have dependence with consumption characterised by a normal copula. Wang has derived a transform which extends the CAPM by allowing pricing of assets in such an economy which have non-normal marginal distributions but still are normal-copula with consumption.Here we set out the stochastic discount factors corresponding to this version of the CAPM and to Wang’s transform, and show how to calculate stochastic discount factors and hence asset prices for assets whose dependence with consumption is non-normal. We show that the impact of dependency structure on asset prices is significant.

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Johnston, Mark. "Extension of the Capital Asset Pricing Model to Non-normal Dependence Structures." ASTIN Bulletin 37, no. 1 (May 2007): 35–52. http://dx.doi.org/10.1017/s0515036100014720.

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The Capital Asset Pricing Model arises in an economy where agents have exponential utility functions and aggregate consumption is normally distributed, and gives the prices of assets with payoffs which are jointly normal with consumption. Such assets have normal marginal distributions and have dependence with consumption characterised by a normal copula. Wang has derived a transform which extends the CAPM by allowing pricing of assets in such an economy which have non-normal marginal distributions but still are normal-copula with consumption.Here we set out the stochastic discount factors corresponding to this version of the CAPM and to Wang’s transform, and show how to calculate stochastic discount factors and hence asset prices for assets whose dependence with consumption is non-normal. We show that the impact of dependency structure on asset prices is significant.

11

Hazny, Mohamad Hafiz, Haslifah Mohamad Hasim, and Aida Yuzy Yusof. "Mathematical modelling of a shariah-compliant capital asset pricing model." Journal of Islamic Accounting and Business Research 11, no. 1 (January 6, 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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Ovechkin, Danila V., and Natalia B. Boldyreva. "Modification of Capital Assets Pricing Model for a non-equilibrium capital market." Tyumen State University Herald. Social, Economic, and Law Research 5, no. 1 (2019): 131–43. http://dx.doi.org/10.21684/2411-7897-2019-5-1-131-143.

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Offiong, Amenawo Ikpa, Hodo Bassey Riman, Helen Walter Mboto, Eyo Itam Eyo, and Diana Gembom Punah. "Capital Asset Pricing Model (CAPM) and the Douala Stock Exchange." International Journal of Financial Research 11, no. 5 (September 22, 2020): 191. http://dx.doi.org/10.5430/ijfr.v11n5p191.

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This study examines if the Capital Asset Pricing Model (CAPM) can be applied to the Douala Stock Exchange. The study utilized monthly stock returns from the three companies listed on the Douala Stock Exchange (DSX), for the period 30th April 2009 to 31st August 2017. Ordinary Least Square regression analysis was adopted for the study to examine if individual stocks can predict a better stock beta. The Black, Jensen, and Scholes (1972) CAPM version were also examined in this study to assess the validity of the zero beta estimate. The result of the individual estimates could not establish the validity of the CAPM theory. Further analysis showed that the Beta for the three assets combined portfolio was not statistically significant. However, when two securities were combined into a single asset portfolio, the portfolio bêta was statistically significant. The significant result of the two asset portfolio confirms that Beta was a linear function of security returns in the DSX market. The study concludes that there will be a need for the government of Cameroun to liberalize the DSX market and allow more firms to be quoted on the floor of the exchange. This decision will allow for the deepening of the DSX market, enhance the liquidity level of the market, and enable investors to reap adequate returns from their investment through holding a portfolio of assets.

14

QIN, JIE. "Human-Capital-Adjusted Capital Asset Pricing Model*." Japanese Economic Review 53, no. 2 (June 2002): 182–98. http://dx.doi.org/10.1111/1468-5876.00018.

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Qin, Jie. "Human-Capital-Adjusted Capital Asset Pricing Model." Japanese Economic Review 53, no. 2 (June 2002): 182–98. http://dx.doi.org/10.1111/1468-5876.00222.

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Chunpeng YANG, Jun XIE, and Wei YAN. "Sentiment Capital Asset Pricing Model." International Journal of Digital Content Technology and its Applications 6, no. 3 (February 29, 2012): 254–61. http://dx.doi.org/10.4156/jdcta.vol6.issue3.30.

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Stoimenov, Pavel A., and Sascha Wilkens. "Das Capital Asset Pricing Model." WiSt - Wirtschaftswissenschaftliches Studium 34, no. 5 (2005): 295–306. http://dx.doi.org/10.15358/0340-1650-2005-5-295.

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Perold, André F. "The Capital Asset Pricing Model." Journal of Economic Perspectives 18, no. 3 (August 1, 2004): 3–24. http://dx.doi.org/10.1257/0895330042162340.

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The Capital Asset Pricing Model (CAPM) revolutionized modern finance. Developed in the early 1960s by William Sharpe, Jack Treynor, John Lintner and Jan Mossin, the model provided the first coherent framework for relating the required return on an investment to the risk of that investment. This paper lays out the key ideas of the model, places its development in a historical context, and discusses its applications and enduring importance to the field of finance.

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Klobus, Carmen. "Das Capital Asset Pricing Model." Controlling 13, no. 10 (2001): 525–28. http://dx.doi.org/10.15358/0935-0381-2001-10-525.

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CICIRETTI, ROCCO. "CAPITAL ASSET PRICING MODEL (CAPM)." BANKPEDIA REVIEW 4, no. 2 (December 2014): 21–25. http://dx.doi.org/10.14612/ciciretti_2_2014.

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Shabi, A. "Projective Capital Asset Pricing Model." Современные инновации, системы и технологии - Modern Innovations, Systems and Technologies 2, no. 4 (October 28, 2022): 0201–13. http://dx.doi.org/10.47813/2782-2818-2022-2-4-0201-0213.

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This paper is interested in exploring the capabilities and limitations of investment decision making under uncertainty through the lens of Quantum Probabilities/formalism stand and will be focusing on the Capital Asset Pricing Model as use case. Our main purpose is to examine the historical and structural foundations surrounding decision making paradoxes. To ease the comprehension of the issue to the common reader, we first outline key cornerstones of investment decision making under the two competing conceptual frameworks, expected utility and mean-variance. We review then the axiomatic justifications of the mean-variance and set the comparison with the Expected utility generally. That's when the analogy with quantum probabilities arises. This comes from the fact that decision making process seems to be more likely to be presented in terms of amplitudes. Thus, here the quantum probabilities refer to a calculus of quantum states and not of probabilities. In the final section, we present the capital asset pricing model to understand the appeal of the usage of Mean variance over Expected utility in the financial theory, and how we can remediate to this approach once decisions are depicted in terms of quantum probability amplitudes. Several extensions of the rational decision-making theory using classical probability formulations emerged depending on the actual empirical findings, trying to explain such paradoxes and improve the existing framework decision making theory. These simplifying assumptions were seeking to generate the probabilistic measures assumptions without linearity or to make State-independent probabilistic estimates as well as agents’ possessing firm assumptions in the generalized utility theory loosened. While these trials helped to discuss the pitfalls of the classical probabilities in some decision-making situations, it failed to give a harmonized expected utility theoretical model. An established theory to consider is the prospect theory by Kahneman and Tversky which encompasses the human biases and heuristic. Indeed, its attributes make this theory likely to be extended to a general framework of the decision-making theory by using quantum probabilities as the mathematical scope.

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Julianto, Leo. "Comparative Study between Capital Asset Pricing Model and Arbitrage Pricing Theory in Indonesian Capital Market during Period 2008-2012." Asia Pacific Management and Business Application 2, no. 2 (December 30, 2013): 111–19. http://dx.doi.org/10.21776/ub.apmba.2013.002.02.3.

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Leković, Miljan. "Evidence for and against the validity of the capital asset Pricing model." Tehnika 77, no. 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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Valencia-Herrera, Humberto, and Francisco López-Herrera. "Markov Switching International Capital Asset Pricing Model, an Emerging Market Case: Mexico." Journal of Emerging Market Finance 17, no. 1 (February 26, 2018): 96–129. http://dx.doi.org/10.1177/0972652717748089.

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The article shows how the international capital asset pricing model (ICAPM) with Markov regime switching can model the asset returns in the emerging market of Mexico. For most assets, although significant, the international risk premium factor is not subject to regime switching, but the domestic factor is. The probabilities of regimes are correlated with the volatility of assets. A GARCH(1,1) Markov regime switching model offers better adjustment than a non-GARCH. JEL Classification: C58, F36, F65, G12, G15

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Balvers, Ronald J., and Dayong Huang. "Money and the C-CAPM." Journal of Financial and Quantitative Analysis 44, no. 2 (April 2009): 337–68. http://dx.doi.org/10.1017/s0022109009090176.

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AbstractWe consider asset pricing in a monetary economy where liquid assets are held to lower transaction costs. The ensuing model extends the capital asset pricing model (CAPM) and the consumption CAPM by deriving real money growth as an additional factor determining returns. Empirically, the two model versions compare favorably to other theoretical asset pricing models along several dimensions, supporting the traditional intertemporal asset pricing perspective. A value premium arises because value firms are sensitive to liquidity shocks but growth firms are not. Although no alternative factor drives out the money growth factor, the conditioning CAY factors of Lettau and Ludvigson (2001b) add explanatory power.

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Aygoren, Hakan, and Emrah Balkan. "The role of efficiency in capital asset pricing: a research on Nasdaq technology sector." Managerial Finance 46, no. 11 (July 16, 2020): 1479–93. http://dx.doi.org/10.1108/mf-12-2019-0612.

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PurposeThe aim of this study is to investigate the role of efficiency in capital asset pricing. The paper explores the impact of a four-factor model that involves an efficiency factor on the returns of Nasdaq technology firms.Design/methodology/approachThe paper relies on data of 147 firms from July 2007 to June 2017 to examine the impact of efficiency on stock returns. The performances of the capital asset pricing model (CAPM), Fama–French three-factor model and the proposed four-factor model are evaluated based on the time series regression method. The parameters such as the GRS F-statistic and adjusted R² are used to compare the relative performances of all models.FindingsThe results show that all factors of the models are found to be valid in asset pricing. Also, the paper provides evidence that the explanatory power of the proposed four-factor model outperforms the explanatory power of the CAPM and Fama–French three-factor model.Originality/valueUnlike most asset pricing studies, this paper presents a new asset pricing model by adding the efficiency factor to the Fama–French three-factor model. It is documented that the efficiency factor increases the predictive ability of stock returns. Evidence implies that investors consider efficiency as one of the main factors in pricing their assets.

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Ruffino, Doriana. "A Robust Capital Asset Pricing Model." Finance and Economics Discussion Series 2014, no. 01 (January 2014): 1–14. http://dx.doi.org/10.17016/feds.2014.01.

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Selim, Tarek H. "An Islamic capital asset pricing model." Humanomics 24, no. 2 (May 23, 2008): 122–29. http://dx.doi.org/10.1108/08288660810876831.

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KUEHN, LARS-ALEXANDER, MIKHAIL SIMUTIN, and JESSIE JIAXU WANG. "A Labor Capital Asset Pricing Model." Journal of Finance 72, no. 5 (June 5, 2017): 2131–78. http://dx.doi.org/10.1111/jofi.12504.

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Siddiqi, Hammad. "Anchoring-Adjusted Capital Asset Pricing Model." Journal of Behavioral Finance 19, no. 3 (November 17, 2017): 249–70. http://dx.doi.org/10.1080/15427560.2018.1378218.

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Li, Hui, Min Wu, and Xiao-Tian Wang. "Fractional-moment Capital Asset Pricing model." Chaos, Solitons & Fractals 42, no. 1 (October 2009): 412–21. http://dx.doi.org/10.1016/j.chaos.2009.01.003.

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Qin, Jie. "Regret-based capital asset pricing model." Journal of Banking & Finance 114 (May 2020): 105784. http://dx.doi.org/10.1016/j.jbankfin.2020.105784.

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Wahyuni, Diah Maghfiroh, Abdul Aziz, and Juhari Juhari. "Estimasi Parameter Capital Assets Pricing Model Dengan Metode Generalized Method of Moments Dalam Perhitungan Value At Risk." Jurnal Riset Mahasiswa Matematika 1, no. 1 (October 20, 2021): 32–39. http://dx.doi.org/10.18860/jrmm.v1i1.13413.

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Capital Assets Pricing Model merupakan persamaan regresi antara premi risiko aset terhadap premi risiko pasar. Risiko ada jika pembuat keputusan tidak memiliki data untuk menyusun suatu dugaan. Pendugaan tersebut dapat dilakukan dengan generalized method of moments.Penelitian ini bertujuan untuk mengetahui hasil estimasi parameter pada Capital Assets Pricing Model menggunakan Generalized Method of Moments pada data saham PT. Indofood Tbk., serta mendapatkan nilai Value at Risk pada data saham PT. Indofood Tbk..Hasil yang diperoleh yaitu : , m=1,2,…. Dengan nilai maka model regresi pada saham PT. Indofood Tbk.. yaitu . Dengan tingkat signifikansi 5%, investasi awal Rp10.000.000,00 , kerugian yang akan ditanggung oleh investor adalah Rp1.265.800,00 .

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Lally, Martin, and Tony van Zijl. "Capital gains tax and the capital asset pricing model." Accounting and Finance 43, no. 2 (July 2003): 187–210. http://dx.doi.org/10.1111/1467-629x.00088.

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Khudoykulov, Khurshid. "Verifying capital asset pricing model in Greek capital market." International Journal of Economics and Accounting 7, no. 1 (2016): 55. http://dx.doi.org/10.1504/ijea.2016.076749.

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Pasaribu, Dedi Baleo, Di Asih I. Maruddani, and Sugito Sugito. "PENGUKURAN KINERJA PORTOFOLIO OPTIMAL CAPITAL ASSET PRICING MODEL (CAPM) DAN ARBITRAGE PRICING THEORY (APT) (Studi Kasus : Saham-saham LQ45)." Jurnal Gaussian 7, no. 4 (November 30, 2018): 419–30. http://dx.doi.org/10.14710/j.gauss.v7i4.28870.

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Investing is placing money or funds in the hope of obtaining additional or specific gains on the money or funds. The capital market is one place to invest in the financial field of interest to investor. This is because the capital market gives investor the freedom to choose securities traded in the capital market in accordance with the wishes of investor. Investor are included in risk averter, that means investor will always try to avoid risk. To avoid risk, investor try to diversify their investment. Diversification concept commonly used is portfolio. To maximize the return to be earned, the investor will invest his funds into several stocks in order to earn a greater profit. Capital Asset Pricing Model (CAPM) is a balance model that describes the relation of a risk with return more simply because it uses only one variable to describe the risk. Arbitrage Pricing Theory (APT) is a balance model that used many risk variables to see the relation of risk and return. With both models will be obtained a portfolio with each constituent stock is four stocks selected from 45 stocks in the LQ45 index. To find out which portfolio is the best performed a performance analysis using the Sharpe index. From the measurement result, it is found that the best portfolio is the CAPM portfolio with composite stock is PTBA with investment weight of 0.467%, BUMI with investment weight of 12.855%, ANTM with investment weight of 53.077% and PPRO with investment weight of 33.601%. Keywords: LQ45, portfolio, Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory (APT), Sharpe Index

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Amyulianthy, Rafrini, and Asriyal Asriyal. "Pengujian Empiris Efficient Market Hypothesis (EMH) Dan Capital Assets Pricing Model (CAPM)." Liquidity 2, no. 1 (July 2, 2018): 21–33. http://dx.doi.org/10.32546/lq.v2i1.126.

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As indicated, Efficient Market Hypothesis theory played an important role in evolution of accounting research. The conflict between the Efficient Market Hypothesis and hypotheses underlying many accounting prescriptions led to the introduction and popularization of positive theory and methodology in the accounting literature. This paper is to provide a clearer understanding of the factors anomalies encountered by experts during a test of the reliability Efficient Market Hypothesis and Capital Asset Pricing Model (CAPM) theories which proposed by Fama in 1970.

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Francová, Blanka. "An Analysis of the Impact of Selected Factors on the Bond Market." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 66, no. 6 (2018): 1451–58. http://dx.doi.org/10.11118/actaun201866061451.

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Exchange rate risk is important factor for the valuation of capital asset on international markets. According to the International Arbitrage Pricing Theory currency movements affect the prices of capital assets and associated risk premiums. The International Arbitrage Pricing Theory is based on total return of asset decomposition to non‑currency return and currency return. The currency return is defined by exchange rate risk and the non‑currency return is defined by factors affecting the price of capital assets. We propose an empirical model to apply this theory using corporate bonds. Using a rich dataset from Morningstar in the period 2001–2017 we employ the linear regression analysis method OLS with fixed effects. We apply the model for different bond yields and different time‑series. The factors influence bond price differently for each yield and each time‑series. Our results confirm that currency movements significantly affect the bond prices.

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Bonga-Bonga, Lumengo, and Sefora Motena Rangoanana. "Carry Trade and Capital Market Returns in South Africa." Journal of Risk and Financial Management 15, no. 11 (October 27, 2022): 498. http://dx.doi.org/10.3390/jrfm15110498.

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This paper assesses the extent to which carry trade operations affect the performance of equity and bond markets in a target country, South Africa, by considering the US and the euro area as the funding countries. A two- and three-factor capital asset pricing model (CAPM) is employed to assess whether the pricing of equity and bond markets in South Africa depends on the US dollar/rand and euro/rand carry trade returns. Moreover, the paper uses the quantile regression technique to assess whether this pricing varies with the distribution of the equity and bond returns. The findings support that the US- and euro-funded carry trade are essential factors for the pricing of equity and bond markets in South Africa. Moreover, the results of the two-factor model show a negative relationship between the equity excess return and the US-carry trade returns at lower quantiles of the equity market returns. The positive relationship is observed in the upper quantiles of the equity market. The negative relationship means that carry trade activities reduce equity market returns during a bear market as investors close out their position when conditions in the equity market become unfavourable. The results of the three-factor model, controlling for the global volatility or uncertainty, show that carry trade investors exit the equity market to invest in the bond market when global uncertainty rises. This finding shows that carry trade investors choose less risky assets during rising global uncertainty.

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Park, Dojoon, Young Ho Eom, and Jaehoon Hahn. "Evaluating the Conditional CAPM using Consumption-based State Variables: Evidence from the Korean Stock Market." Korean Journal of Financial Studies 50, no. 3 (June 30, 2021): 339–67. http://dx.doi.org/10.26845/kjfs.2021.06.50.3.339.

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In this study, we evaluate the empirical performance of conditional asset pricing models using consumption-based measures as state variables. We incorporate three consumption variables known to forecast the equity risk premium as conditioning variables to capture time variations in the risk premium. These three variables are the consumption-aggregate wealth ratio, the surplus consumption ratio, and the labor income to consumption ratio. The asset pricing models evaluated in this study are the CAPM, the CAPM with human capital, the consumption CAPM, and the Fama-French three-factor model. We compare the unconditional and conditional specifications of these four asset pricing models using the two-pass cross-sectional regression methodology, using the size, book-to-market, turnover, and idiosyncratic risk sorted portfolios and sector portfolios as test assets. We demonstrate that the conditional CAPM with human capital performs far better than the unconditional specifications and about as well as the Fama and French three-factor model in explaining the crosssection of average stock returns in Korea.

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Kogan, Anton B. "Empirical and analytical base for CAPITAL ASSETS PRICING MODEL application in Russia." Siberian Financial School, no. 2 (September 8, 2022): 5–17. http://dx.doi.org/10.34020/1993-4386--2022-2-5-17.

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The subject of the study were the financial characteristics of the Russian Stock Market and the represented public companies. The complex calculations necessary for Capital Assets Pricing Model (CAPM) application in the study of Russian companies by appraisers, investors, and researchers were performed. 5- and 2-year betas (historical, and adjusted for leverage and cash) were calculated, based on weekly total stock returns for 217 companies. Historical bets were calculated for cases when the market was represented by IMOEX, MCFTR, MOEXBMI, SP500, Solactive Global Equity Large Cap Select Index (five bet groups in total). In addition, 2-year betas were calculated for four periods, and the specifics of their variability were described. A fly project study of the small cap premium was carried out. The market risk premium was determined. The main sources of information for this study were the Moscow Exchange and Yahoo Finance. The calculations were based on the classical provisions of CAPM and mathematical statistics. The information provided allows appraisers, investors, researchers to determine the return required for a particular type of business. The maximum detail of information allows one to calculate the bet according to well-known domestic, foreign or own classifiers.

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Nalini, G. S., and Trinley Paldon. "Investment Decision Using Capital Asset Pricing Model." Emerging Economies Cases Journal 4, no. 1 (June 2022): 44–48. http://dx.doi.org/10.1177/25166042221115240.

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In January 2020, Mr. Durai being an amateur investor wanted to diversify his portfolio by adding some fast-moving consumer goods (FMCG) stocks. He has chosen three FMCG stocks, namely Hindustan Unilever, Godrej Consumer Products and Dabur India, based on high trading volume. The capital asset pricing model (CAPM) is one of the widely followed techniques to measure risk and return of equity investment. The risk and return are the key factors that help investors to take an informed decision. To assess the risk and return profile of stocks, Mr. Durai considered monthly stock prices from 2015 to 2019. Beta is a measure of risk that shows the volatility of the stock return with respect to that of market. The beta of a 5-year stock price is more robust than beta of 1 year or 2 years due to heavy market fluctuations. The CAPM also helps investors to identify whether the stock is underpriced or overpriced. Therefore, the investors can avoid the overpriced stocks.

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Duffie, Darrell, and William Zame. "The Consumption-Based Capital Asset Pricing Model." Econometrica 57, no. 6 (November 1989): 1279. http://dx.doi.org/10.2307/1913708.

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Bathala, Chenchuramaiah T. "A Liquidity-Augmented Capital Asset Pricing Model." CFA Digest 37, no. 2 (May 2007): 59–61. http://dx.doi.org/10.2469/dig.v37.n2.4603.

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Wong, Wing-Keung, and Guorui Bian. "Robust estimation in Capital Asset Pricing Model." Journal of Applied Mathematics and Decision Sciences 4, no. 1 (January 1, 2000): 65–82. http://dx.doi.org/10.1155/s1173912600000043.

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Bian and Dickey (1996) developed a robust Bayesian estimator for the vector of regression coefficients using a Cauchy-type g-prior. This estimator is an adaptive weighted average of the least squares estimator and the prior location, and is of great robustness with respect to at-tailed sample distribution. In this paper, we introduce the robust Bayesian estimator to the estimation of the Capital Asset Pricing Model (CAPM) in which the distribution of the error component is well-known to be flat-tailed. To support our proposal, we apply both the robust Bayesian estimator and the least squares estimator in the simulation of the CAPM and in the analysis of the CAPM for US annual and monthly stock returns. Our simulation results show that the Bayesian estimator is robust and superior to the least squares estimator when the CAPM is contaminated by large normal and/or non-normal disturbances, especially by Cauchy disturbances. In our empirical study, we find that the robust Bayesian estimate is uniformly more efficient than the least squares estimate in terms of the relative efficiency of one-step ahead forecast mean square error, especially for small samples.

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Vovk, Vladimir, and Glenn Shafer. "The game-theoretic capital asset pricing model." International Journal of Approximate Reasoning 49, no. 1 (September 2008): 175–97. http://dx.doi.org/10.1016/j.ijar.2007.03.015.

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Liu, Weimin. "A liquidity-augmented capital asset pricing model." Journal of Financial Economics 82, no. 3 (December 2006): 631–71. http://dx.doi.org/10.1016/j.jfineco.2005.10.001.

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Pantelic, Svetlana. "Creator of the capital asset pricing model." Bankarstvo 43, no. 1 (2014): 118–25. http://dx.doi.org/10.5937/bankarstvo1401118p.

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Maiti, Pradip. "Capital Asset Pricing Model: A Simple Introduction." Arthaniti-Journal of Economic Theory and Practice 14, no. 1-2 (June 2015): 1–32. http://dx.doi.org/10.1177/0976747920150101.

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Wang, Jinan, and Langnan Chen. "Liquidity-adjusted conditional capital asset pricing model." Economic Modelling 29, no. 2 (March 2012): 361–68. http://dx.doi.org/10.1016/j.econmod.2011.11.007.

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