capital asset pricing model
Actualisation d’actifs en présence de risque : le Capital Asset Pricing Model
... du Capital Asset Pricing Model, on a observé que le risque d’un actif peut être influencé par la volatilité de son rendement ainsi que par la corrélation entre son rendement et celui du ...
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The capital asset pricing model and the three factor model of Fama and French revisited in the case of France
... the capital asset pricing model and the three factor model of Fama and French (1993) in France for a quarter of a century ...the asset pricing tests in three ways: (a) We ...
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Capital asset pricing model tests in a term structure context
... F-test statistics for the hypothesis that the real "betas" and conditional expected returns on long term bonds are. constant over the period March 1959 to December 1978[r] ...
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Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
... on asset returns [the capital asset pricing model (CAPM)]; see MacKinlay (1987), Jobson and Korkie (1989), Gibbons, Ross and Shanken (1989, henceforth GRS), Shanken (1996), Campbell, Lo ...
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The effect of asymmetric information and transaction costs on asset pricing: theory and tests
... a capital asset pricing model in the presence of asym- metric information and transaction ...the model is a generalized version of Merton's (1987) model and Black's (1974) ...
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Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs
... the Capital Asset Pricing Model (CAPM, Sharpe 1964 and Lintner 1965) and the Consumption based CAPM (CCAPM, Ingersoll, 1987, Huang and Litzenberger, 1988, Du¢ e, 1996) play an important ...of ...
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Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
... on asset returns [the capital asset pricing model (CAPM)]; see MacKinlay (1987), Jobson and Korkie (1989), Gibbons, Ross and Shanken (1989, henceforth GRS), Shanken (1996), Campbell, Lo ...
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Intertemporal equilibrium with financial asset and physical capital
... infinite-horizon asset pricing model with incomplete markets and collateral constraints, but without capital ...physical capital; however, they only considered an implicit financial ...
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Numerical Schemes for Variational Inequalities Arising in International Asset Pricing
... two-country model where capital markets are fully integrated in the sense that individuals from each country can own claims to assets located in either ...We model the political risk via a continuous ...
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The cost of equity capital for REITs : an examination of three asset-pricing models
... The main objective of this study is to develop a particular multi- factor pricing model that can be used in practice to effectively estimate the cost of equity capit[r] ...
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The Dalang–Morton–Willinger version of the fundamental theorem of asset pricing for the Bid-Ask financial market model
... This is clearly the definition which is also adopted for frictionless models. Absence of such arbitrage opportunity is then denoted by (NA w ), i.e. one can not get a positive terminal liquidation value when starting ...
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Asset Pricing in a Production Economy with Chew–Dekel Preferences
... which capital income is greater than gross ...because capital income is not sufficient to finance gross ...this model consists of the gross flow of resources from the corporate sector to the ...
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An asset-pricing view of external adjustment
... of capital gains (valuation effects) in the external adjustment mechanism, we study impulse responses of our ...standard model of external adjustment is the one based on the canonical intertemporal approach ...
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Tests of Conditional Asset Pricing Models in the Brazilian Stock Market
... (14) 3.2 Estimation Results and Comparison As before, we rst estimate a model with constant factor loadings where all parameters, except the ones with subscript zero, are constrained to be zero. Table 5 reports ...
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Capital market theory and the pricing of financial securities
... the realized return of a broad-based stock portfolio such as the Standard & Poor's 500. As is evident from these theorems, the conditional expected- return function does [r] ...
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Tests of Conditional Asset Pricing Models in the Brazilian Stock Market
... APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this ...
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Intertemporal utility models for asset pricing : reference levels and individual heterogeneity
... In particular, Semenov (2002) develop an approximate equilibrium multifactor model for expected returns in which the priced risk factors are cross-moments of return with the moments of i[r] ...
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Alternate Pricing Model for Transportation Contracts
... index-based pricing which updates the contract rates on a monthly ...optimization model based on national average line haul rates for contract carriers and spot market published by DAT to maximize the ...
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Chinese Mortgage Backed Security pricing model
... Based on China's capital market and the differences between Chinese and American capital markets and residential loan markets, this paper explored the appropriate prici[r] ...
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Congestion Pricing: A Parking Queue Model
... road pricing (RP) and parking pricing (PP) schemes for implementing congestion pricing ...queueing model of the parking ...homogeneous model to heterogeneous model with two types ...
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