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Showing 1 to 20 of 34 for “"Capital asset pricing model (CAPM)"”.
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The CAPM approach to materiality
… defied 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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Applications of global equity style indices in active and passive portfolio management
The success of the Fama and French 3-factor model in explaining empirical anomalies of the Capital Asset Pricing Model (CAPM) suggests that style investing which places portfolios out-of-sync with the broad market has the potential to generate significant alpha. Since momentum abnormal return is …
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Performance and performance persistance in South African General Equity unit trusts, a test of South African market efficiency
… performance. Using Jensen's alpha in both a Capital Asset Pricing Model (CAPM) framework and a 2-Factor Arbitrage Pricing Theory (APT) model, unconditional evidence is presented on the performance of General Equity unit trusts.
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An investigation of firm specific and macroeconomic variables and their influence on emerging market stock returns
This paper aims to expand on the growing area of asset pricing research in developed markets by extending such analyses to those nations considered to be emerging. Of late the accuracy of a previously established cornerstone of asset pricing theory, namely the Capital Asset Pricing Model (CAPM) has …
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An empirical investigation of the inter-relationships between systematic risk, financial leverage and operating leverage of industrial companies listed on the Johannesburg Stock Exchange
The Capital Asset Pricing Model (CAPM) postulates that beta is a quantitative measure of a company's undiversifiable risk, the determinants of which are of considerable interest to financial managers and investors alike. Analytical research has shown that beta is a positive function of a company's …
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A efetividade da governança corporativa sobre o risco dos ativos da BM&FBovespa
… the BM&FBovespa listed companies reduces risk on assets. Using data from 06/01/2012 to 07/04/2016, this study is divided into three stages: first, the three portfolios of minimum variance are optimized and analyzed by performance for the different levels of listing for governance corporate: Level …
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An empirical evaluation of the capital asset pricing model in South Africa
… an empirical 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 …
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Application of portfolio theory to labor contract valuation : the case of the airline industry
… value of a labor contract. The contract is modeled as a bond with a payment stream equivalent to the stipulated wages. The Capital Asset Pricing Model (CAPM) is used to determine the expected return from the bond relative to the entire financial market. The Net Present Value of the payment …
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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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Multiple asset class investing : equilibrium asset pricing evaluation of real estate risk and return across four quadrants
… objective of this study is to test equilibrium asset pricing models with respect to how well they price risk across multiple asset classes; including the four quadrants of real estate. While using the Geltner (1999) paper as a springboard for our approach, this thesis both updates Professor …
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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)
… pré e pós-regulamentação, a partir 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 …
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Understanding the low volatility anomaly in the South African equity market
The Capital Asset Pricing Model (CAPM) advocates that expected return has a linear proportional relationship with beta (and subsequently volatility). As such, the higher the systematic risk of a security the higher the CAPM expected return. However, empirical results have hardly supported this view …
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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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Currency risk and imperfect knowledge: Cointegrated VAR analyses with survey data
… is to determine whether any of the existing models of the risk premium can account for the time-varying risk premium found in survey data. The second and third chapters use the Cointegrated VAR model to test the Capital Asset Pricing Model (CAPM), the Consumption CAPM, and the …
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Testing the risk and return trade-off in the Athens stock exchange
… specific variables with the application of asset pricing models as well as the employment of (G)ARCH models, unit root and cointegration analysis. A theoretical and empirical review on the models is presented and, more specifically, there is an empirical examination of the validity of the …
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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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The cost of equity capital in a regulatory environment: an international comparison
… for by Eskom. Estimating the cost of equity capital is a key element of the tariff determination process. This study therefore aims to evaluate the cost of equity methodologies used by regulators, and to assess whether NERSA's (South Africa) methodology is in line with international best …
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Three essays on asset pricing studies
Traditional consumption-based asset pricing models generally treat the aggregate stock market as a claim to aggregate consumption. However, according to empirical evidence, the majority of households consume primary out of wages and live with no capital gains from risky investments, this implies …
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Application of the Fama-French Model to Singapore REITs
The paper applies the Fama French 3-factor Model to Singapore REITs’ market to determine if the model has strong explanatory power on Singapore REITs’ excess return over a 11-year period from 2009-2019. Several previous studies have illustrated that the Fama French Model has superior predictive …
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The effect of materials handling methods on unit costs in synthetic resin manufacturing
… and the decision making process to undertake capital investment appraisal. Discussions on the basic principles of evaluation leads to the assessment of the methods such as ARR, IRR, NPV and payback available to the decision makers for project appraisal. Risk and uncertainty are introduced at …
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