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Showing 1 to 20 of 110 for “"CAPM"”.
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The CAPM approach to materiality
… 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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Do CAPM anomaly variables provide real-time tradable opportunities on the JSE
… of Cooper et al. (2005) to determine whether CAPM anomaly variables provide real-time tradable opportunities on the Johannesburg Stock Exchange (JSE). The three predictor variables selected on the basis of the South African literature (size, earnings yield and one-year lagged returns) fail to …
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Does specialization in security analysis and portfolio management explain deviations from the CAPM?
The Capital Asset Pricing Model (CAPM), which relates the risk of an individual security to its expected return, is frequently cited in investments textbooks and the academic literature as a centerpiece of modem finance theory. The main prediction of the CAPM is that investors are compensated in …
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Conglomerate Mergers and the Pursuit of Economies of Scope (Multiproduct, Q Ratio, Capm, Risk)
… theory of Baumol, Panzar, and Willig with the CAPM to build a theory of conglomerate mergers consistent with the neo-classical profit-maximizing axioms. The relationships among product market, capital market, and the market for corporate control are examined.
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Determinación del costo del capital propio bajo la técnica del CAPM: su aplicabilidad en Argentina
Esta tesis no tiene permisos por parte del autor para ser reproducida, por lo que no se puede fotocopiar, ni fotografiar ni reproducir con ningún medio. Si eres el autor de la tesis y quieres dar tu autorización para la reproducción, puedes ponerte en contacto con repositorio@utdt.edu.
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The conditional CAPM and the cross section of expected returns : evidence for the Canadian market
… this study we test a conditional version of the CAPM, proposed by Jagannathan and Wang (1996), that allows betas (Ý) to vary over time as proxied by the yield spread between three-month Prime Corporate Paper and the three-month T-Bill rate ([Special characters omitted.] ). The model also includes …
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Revisiting the CAPM and the Fama-French Multi-Factor Models: Modeling Volatility Dynamics in Financial Markets
… objective of this dissertation is to revisit the CAPM and the Fama-French multi-factor models with a view to evaluate the validity of the probabilistic assumptions imposed (directly or indirectly) on the particular data used. By thoroughly testing the assumptions underlying these models, several …
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Measuring Expected Returns in a Fluid Economic Environment
… It also looks at subsequent versions of the CAPM including a multi-variable CAPM with the inclusion of selected macro-variables as well as a non-stationary beta CAPM to estimate portfolio returns. A new model is proposed that combines the multi-variable component together with the …
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An empirical evaluation of the capital asset pricing model in South Africa
… 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. The methodology …
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Testes do CAPM no mercado de ações do setor de energia elétrica brasileiro: aplicações de Black, Jensen e Scholes (1972) e Fama e MacBeth (1973)
… dos testes do Capital Asset Pricing Model (CAPM), embasados na metodologia dos autores Black, Jensen e Scholes (1972) e Fama MacBeth (1973). Os dados deste estudo foram coletados na base Economática, relativos a preços mensais das ações do setor, pontuação do Índice da Bolsa de Valores de …
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Multiple asset class investing : equilibrium asset pricing evaluation of real estate risk and return across four quadrants
… variations of the Capital Asset Pricing Model (CAPM). These variations include the traditional, single-beta, Sharpe-Lintner CAPM, as well as the multi-beta, Fama-French CAPM. For the single-factor formula we explore the use of two different market portfolio proxies, the S&P 500 Index and the …
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An Investigation into the adoption and implementation of computer aided production management systems:using the Rogers model of adoption and implementation and a social constuctionist account of technology
… of computer aided production management systems (CAPM). It is organised around two different theoretical perspectives. The first part is informed by the Rogers model of the diffusion, adoption and implementation of innovations, and the second part by a social constructionist approach to …
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Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model
… 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 AR/GARCH we were able to model the …
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Applications and extentions of financial models to small markets : the South African case
… for thin-trading and also makes use of the CAPM to improve the vector of return inputs. Chapter 4, basically consists of four sections. The first, gives a brief outline on historical estimation problems associated with the market model. In the second section the extent of thin-trading is …
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The puzzling behavior of equity returns: The need to move beyond the consumption capital asset pricing model
… the consumption Capital Asset Pricing Model (CAPM), which has been the workhorse of financial economics for more than two decades. In its canonical version, researchers find that the model fails empirically along several dimensions. This failure has led them to explore several modifications, …
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The cost of equity capital in a regulatory environment: an international comparison
… indicates that the Capital Asset Pricing Model (CAPM) understates the returns of low beta stocks, such as utilities. Furthermore, the Fama and French Three Factor model (FF3F) has been shown to have better explanatory power and results in higher estimates of the cost of equity. In spite of these …
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The book-to-market ratio and Schwert-Seguin type tests of volatility
… on time-varying capital asset pricing models (CAPM). Fama and French (1992) introduced the BM anomaly to the academic literature and suggested that it might be driven by changes in economic variables missed by the static CAPM. Using the methodology developed in Schwert and Seguin (1990) this …
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Two Essays on Asset Pricing
… in the Fama-MacBeth regressions of tests of the CAPM, thereby creating a downward bias in the estimated market risk premiums. The procedure of using portfolio returns and betas does not necessarily eliminate this bias. Depending upon the grouping variable used to form portfolios, the negative …
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Essays on Liquidity Risk and Asset Pricing
… inferences in asset pricing models. I test the CAPM and the liquidity-adjusted CAPM in a manner that explicitly accounts for EIV, without pooling stocks into portfolios. I find that the single-factor CAPM beta is not priced. I document that the aggregate liquidity risk in the liquidity-adjusted …
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Testing the risk and return trade-off in the Athens stock exchange
… the validity of the Capital Asset Pricing Model (CAPM) and the two main forms of the Arbitrage Pricing Theory (APT) in the Athens Stock Exchange (ASE) during the period 1989-2006. Furthermore, there is an empirical application of specific (G)ARCH models on the variables under examination and an …
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