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Showing 1 to 20 of 107 for “"Asset pricing model"”.
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An empirical evaluation of the capital asset pricing model in South Africa
… evaluation of the validity of the Capital Asset Pricing Model (CAPM) in South Africa. More specifically, the behaviour of share prices on the Johannesburg Stock Exchange during the eight years from 1973 to 1980 is evaluated. The study is the first direct test of the CAPM in South Africa. …
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Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model
… optimal portfolio of the Troskie-Hossain Capital Asset Pricing Model (TrosHos CAPM) and Sharpe Capital Asset Pricing Model (Sharpe CAPM) when the covariance structure of the residuals is correlated under the Markowitz formulation. By building in the dynamic time series models: AR, GARCH and …
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A representative agent asset pricing model with Bayesian model averagin of copula-based densities
Esta tesis solo está en formato papel por lo que se debe consultar en la propia Biblioteca Di Tella. La consulta se hace solo bajo reserva escribiendo a serviciosbiblio@utdt.edu.
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The puzzling behavior of equity returns: The need to move beyond the consumption capital asset pricing model
… in equity markets and the ability of extant models to account for their behavior. I first consider the so-called "expectations hypothesis" (EH) and find that it fails empirically even when structural change is incorporated into the analysis. I then examine the consumption Capital Asset …
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Model Misspecification and the Hedging of Exotic Options
Asset pricing models are well established and have been used extensively by practitioners both for pricing options as well as for hedging them. Though Black-Scholes is the original and most commonly communicated asset pricing model, alternative asset pricing models which incorporate additional …
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International portfolio diversification with special reference to emerging markets
… markets when the time varying behavior of assets is considered. It also tests whether the existing asset-pricing model developed in the context of developed markets, which assumes complete integration, can explain the expected returns in emerging markets and determines the risk of investing …
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Interest Rates and Cyclical Underwriting Profits in the Property-Liability Insurance Industry: An Equilibrium Approach
… underwriting which is determined by the capital asset pricing model. The derived supply from the capital asset pricing model is shown to be a positive function of the riskfree interest rate adjusted by the fund-generating coefficient.
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An investigation of the equity premium using habit utility and equity returns: Australian evidence
… return on stocks and the return on the risk free assets represented by bonds is named the 'Equity Premium' or 'Equity Risk Premium'. In the history of asset pricing models, one of the most serious problems for the equity premium is that the average equity premium is too large to be explained by …
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The CAPM approach to materiality
… a precise quantitative definition. The Capital Asset Pricing Model (CAPM) approach to materiality provides a means for determining the limits that bound materiality. Also, the approach makes it possible to locate the point estimate within these limits based on certain assumptions.
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Rational Expectations, Supply Effect, and Stock Price Adjustment Process: A Simultaneous Equations System Approach
The capital asset pricing model of Sharpe (1964), Lintner (1965), and Mossin (1966) is a single-period equilibrium analysis in which the behavior of security demand, conditional upon a postulated probability distribution of returns, is examined. Thus the model is too restrictive in its omission of …
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Risk and return in institutional commercial real estate : a fresh look with new data
Commercial Real Estate is a large asset class, increasingly owned by professional investment managers. Investment managers need a thorough understanding of the risk return relationship and tools to adequate implement sound investing, portfolio management and risk management strategies. Equilibrium …
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The cost of equity capital for REITs : an examination of three asset-pricing models
… purpose of this study is to determine a reliable asset-pricing model that can be used in practice to estimate the cost of equity capital for Real Estate Investment Trusts (REITs). While the cost of equity is an important concept for all industries, it has particular relevance for REITs, as the …
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An Examination of the Usefulness of Segment Information for Assessing the Operating Risk of the Firm
… risk measures were developed from the capital asset pricing model by Hamada (1969) and Rubinstein (1973).
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Lobbying as a hedge on political risk : when size matters
I develop a three-period asset pricing model with heterogeneity in firms size and a government that introduces a policy distortion. I find that large firms can better hedge the political uncertainty associated with this policy change through lobbying, which leads them to earn lower expected …
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Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa
Recent South African asset pricing research has generally established a preference for the arbitrage pricing theory of Ross (1976) over the capital asset pricing model of Sharpe (1964) and others. However, both the APT and the CAPM are single-period linear models based on the assumption that …
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Evaluation of Asset Pricing Models in the South African Equities Market
Asset pricing models have been of interest since their origin in modern finance. The Capital Asset Pricing Model is a widely used tool and is one of the early developed asset pricing models in modern finance. There are continual improvements of this model with the evident multifactor models of Fama …
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Two applications of U-Statistic type processes to detecting failures in risk models and structural breaks in linear regression models
… is concerned with detecting failures in Risk Models and in detecting structural breaks in linear regression models. By applying Theorem 2.1 of Szyszkowicz on U-statistic type process, a number of weak convergence results regarding three weighted partial sum processes are established. It is …
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