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Advanced Search Results For "CAPITAL assets pricing model"

1 - 10 of 6,056 results for
 "CAPITAL assets pricing model"
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Conditional Dynamics and the Multihorizon Risk-Return Trade-Off.

Publication Type: Academic Journal

Source(s): Review of Financial Studies. Mar2022, Vol. 35 Issue 3, p1310-1347. 38p.

Abstract: We propose testing asset pricing models using multihorizon returns (MHRs). MHRs effectively generate a new set of test assets that is endogenous to the model and that identifies a broad set of possible conditional misspecifications. We apply MHR-based ...

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Application of Capital Asset Pricing Model Based on BP Neural Network in E-commerce Financing.

Publication Type: Academic Journal

Source(s): Computational Intelligence & Neuroscience. 8/22/2022, p1-10. 10p.

Abstract: The study explores the risks and benefits of investors in e-commerce financing under the background of "double carbon" to maximize investors' interests and reduce investment losses. The Back Propagation Neural Network (BPNN) algorithm model of e-commer...

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The Bayesian Method in Estimating Polish and German Industry Betas. A Comparative Analysis of the Risk between the Main Economic Sectors from 2001-2020.

Publication Type: Academic Journal

Source(s): Comparative Economic Research. 2022, Vol. 25 Issue 2, p45-60. 16p.

Abstract: Celem artykułu jest porównanie długookresowych zależności w poziomie branżowego ryzyka systematycznego, mierzonego współczynnikiem beta, na polskim i niemieckim rynku giełdowym. Poziom ryzyka został oszacowany dla pięciu sektorów polskich i trzech niem...

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A lifetime allocation with human capital: implications for target date fund.

Publication Type: Academic Journal

Source(s): Journal of Asset Management. Sep2022, Vol. 23 Issue 5, p365-375. 11p.

Abstract: In this paper, we propose a new target date fund that incorporates human capital. The proposed glide path for the target date fund is based on the capital asset pricing model in a way such that the asset allocation of the target date fund with human ca...

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Implications of Stochastic Transmission Rates for Managing Pandemic Risks.

Publication Type: Academic Journal

Source(s): Review of Financial Studies. Nov2021, Vol. 34 Issue 11, p5224-5265. 42p.

Abstract: We introduce aggregate transmission shocks to an epidemic model and link firm valuations to infections via an asset pricing framework with vaccines. Infections lower earnings growth but firms can mitigate damages. We estimate a large reproduction numbe...

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DOES PREMIUM EXIST IN THE STOCK MARKET FOR LABOR INCOME GROWTH RATE? A SIX-FACTOR-ASSET-PRICING MODEL: EVIDENCE FROM PAKISTAN.

Publication Type: Academic Journal

Source(s): Annals of Financial Economics. Sep2022, Vol. 17 Issue 3, p1-24. 24p.

Abstract: The objective of this study is to explore Roy and Shijin [(2018). A six factor assets pricing model. Borsa Istanbul Review, 18(3), 205–217] six-factor-model of asset pricing by extending Fama and French five-factor model to include human capital as a s...

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Tactical asset allocation using the Kalman filter.

Publication Type: Academic Journal

Source(s): Investment Analysts Journal. Sep2022, Vol. 51 Issue 3, p202-215. 14p.

Abstract: Tactical asset allocation (TAA) is a dynamic investment strategy which seeks actively to adjust fund allocation to a variety of asset classes by systematically exploiting inefficiencies and temporary imbalances in equilibrium values. This approach cont...

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Aplicabilidade dos modelos CAPM local, CAPM local ajustado e CAPM ajustado híbrido ao mercado brasileiro.

Publication Type: Academic Journal

Source(s): Revista Ambiente Contábil. Jan-Jun2022, Vol. 14 Issue 1, p1-22. 22p.

Abstract: Objetivo: O objetivo desta pesquisa é verificar a aplicabilidade dos modelos CAPM local, CAPM Local Ajustado e CAPM Ajustado Híbrido ao mercado brasileiro, a partir da análise de suas respectivas premissas e, adicionalmente, verificar a existência de d...

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Forecasting Performance of Different Betas: Mexican Stocks before and during the COVID-19 Pandemic.

Publication Type: Academic Journal

Source(s): Emerging Markets Finance & Trade. 2022, Vol. 58 Issue 13, p3868-3880. 13p. 4 Charts, 2 Graphs.

Abstract: This study comparatively evaluated the forecasting performance of a constant beta and two time-varying beta process specifications. Returns for 23 stocks were forecasted for several horizons in 2019–2020. The autoregressive and random walk betas showed...

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On Comparative Analysis for the Black-Scholes Model in the Generalized Fractional Derivatives Sense via Jafari Transform.

Publication Type: Academic Journal

Source(s): Journal of Function Spaces. 12/8/2021, p1-22. 22p.

Abstract: The Black-Scholes model is well known for determining the behavior of capital asset pricing models in the finance sector. The present article deals with the Black-Scholes model via the Caputo fractional derivative and Atangana-Baleanu fractional deriva...

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