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543,666
The capital asset pricing model: Some empirical tests
, 1972
"... Considerable attention has recently been given to general equilibrium models of the pricing of capital assets. Of these, perhaps the best known is the mean-variance formulation originally ..."
Abstract
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Cited by 328 (3 self)
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Considerable attention has recently been given to general equilibrium models of the pricing of capital assets. Of these, perhaps the best known is the mean-variance formulation originally
The consumption-based capital asset pricing model
- Econometrica
, 1959
"... The paper provides conditions on the primitives of a continuous-time economy under which there exist equilibria obeying the Consumption-Based Capital Asset Pricing Model (CCAPM). The paper also extends the equilibrium characterization of interest rates of Cox, Ingersoll, and Ross (1985) to multi-age ..."
Abstract
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Cited by 51 (4 self)
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The paper provides conditions on the primitives of a continuous-time economy under which there exist equilibria obeying the Consumption-Based Capital Asset Pricing Model (CCAPM). The paper also extends the equilibrium characterization of interest rates of Cox, Ingersoll, and Ross (1985) to multi
The Capital Asset Pricing Model: An Overview of the Theory
"... Although the Capital Asset Pricing Model (CAPM) has been one of the most useful and frequently used theories in determining the required rate of return of a security, the application of this model has been controversial since early 1960s. The CAPM was introduced by Jack Treynor, William Sharpe, John ..."
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Although the Capital Asset Pricing Model (CAPM) has been one of the most useful and frequently used theories in determining the required rate of return of a security, the application of this model has been controversial since early 1960s. The CAPM was introduced by Jack Treynor, William Sharpe
Solving an Empirical Puzzle in the Capital Asset Pricing Model *
, 1996
"... A long standing puzzle in the Capital Asset Pricing Model (CAPM) has been the inability of empirical work to validate it. Roll (1977) was the first to point out this problem, and recently, Fama and French (1992, 1993) bolstered Roll’s original critique with additional empirical results. Does this me ..."
Abstract
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A long standing puzzle in the Capital Asset Pricing Model (CAPM) has been the inability of empirical work to validate it. Roll (1977) was the first to point out this problem, and recently, Fama and French (1992, 1993) bolstered Roll’s original critique with additional empirical results. Does
TEST OF CAPITAL ASSET PRICING MODEL ON STOCKS AT KARACHI STOCK EXCHANGE
"... Capital Asset Pricing Model (CAPM) has been the mainstay for determining a theoretically appropriate required ..."
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Capital Asset Pricing Model (CAPM) has been the mainstay for determining a theoretically appropriate required
A Generalized Capital Asset Pricing Model
"... Abstract: In light of the inadequacy of Sharpe’s one-period Capital Asset Pricing Model (CAPM) in explaining stock returns, this paper develops a multi-period CAPM that captures more variation in average stock returns. Specifically, the derivation of the generalized model captures growth in earnings ..."
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Abstract: In light of the inadequacy of Sharpe’s one-period Capital Asset Pricing Model (CAPM) in explaining stock returns, this paper develops a multi-period CAPM that captures more variation in average stock returns. Specifically, the derivation of the generalized model captures growth
Bayesian outlier detection in Capital Asset Pricing Model
, 806
"... We propose a novel Bayesian optimisation procedure for outlier detection in the Capital Asset Pricing Model. We use a parametric product partition model to robustly estimate the systematic risk of an asset. We assume that the returns follow independent normal distributions and we impose a partition ..."
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We propose a novel Bayesian optimisation procedure for outlier detection in the Capital Asset Pricing Model. We use a parametric product partition model to robustly estimate the systematic risk of an asset. We assume that the returns follow independent normal distributions and we impose a partition
A Two State Capital Asset Pricing Model
, 1994
"... A famous model in nancial theory is the Capital Asset Pricing Model (CAPM). In this paper we propose a two state CAPM in which we assume that excess returns for the market and for a particular security are bivariate normally distributed. The parameters of the distribution are determined by the state ..."
Abstract
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Cited by 2 (0 self)
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A famous model in nancial theory is the Capital Asset Pricing Model (CAPM). In this paper we propose a two state CAPM in which we assume that excess returns for the market and for a particular security are bivariate normally distributed. The parameters of the distribution are determined
An Islamic capital asset pricing model The Authors
"... Purpose – The purpose of this paper is to describe the application of the Islamic financing method based on direct musharakah to the conventional capital asset pricing model yielding several interesting hypotheses. Design/methodology/approach – Theoretical methodology, with maximin criteria, and rat ..."
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Purpose – The purpose of this paper is to describe the application of the Islamic financing method based on direct musharakah to the conventional capital asset pricing model yielding several interesting hypotheses. Design/methodology/approach – Theoretical methodology, with maximin criteria
Results 1 - 10
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543,666
