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The capital asset pricing model: Some empirical tests

by Fischer Black, Michael C. Jensen, Myron Scholes , 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 - Cited by 354 (3 self) - Add to MetaCart
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

by Duffie, William Zame - 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 - Cited by 52 (5 self) - Add to MetaCart
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

Solving an Empirical Puzzle in the Capital Asset Pricing Model *

by John Leusner, Jalal D. Akhavein , 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 - Cited by 2 (0 self) - Add to MetaCart
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

The Capital Asset Pricing Model: An Overview of the Theory

by Mona A. Elbannan
"... 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

The Capital Asset Pricing Model in conjunction with the

by Bruce N. Lehmann, Bruce N. Lehmann , 1986
"... ..."
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TEST OF CAPITAL ASSET PRICING MODEL ON STOCKS AT KARACHI STOCK EXCHANGE

by unknown authors
"... 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

Bayesian outlier detection in Capital Asset Pricing Model

by Maria Elena, De Giuli, Mario Alessandro Maggi, Claudia Tarantola , 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 Generalized Capital Asset Pricing Model

by C. T. Lin
"... 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

A Two State Capital Asset Pricing Model

by Moshe Fridman , 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 - Cited by 2 (0 self) - Add to MetaCart
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

by Tarek H. Selim
"... 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
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