Capital Asset Pricing

Essentials of Investments: Chapter 7  Capital Asset Pricing and Arbitrage Pricing Theory presents Capital Asset Pricing Model, Resulting Equilibrium Conditions, Capital Market Line, Slope and Market Risk Premium, Expected Return and Risk on Individual Securities.
23p maiyeumaiyeu22 12122016 41 1 Download

Chapter 6 provides knowledge of risk, return, and the capital asset pricing model. This chapter presents the following content: Basic return concepts, basic risk concepts, standalone risk, portfolio (market) risk, risk and return: CAPM/SML.
46p abcxyz123_04 30032020 5 1 Download

The capital asset pricing model, almost always referred to as the CAPM, is a centerpiece of modern financial economics. The model gives us a precise prediction of the relationship that we should observe between the risk of an asset and its expected return. Chapter 9 provides knowledge of the capital asset pricing model.
22p nanhankhuoctai1 29052020 14 0 Download

The study generalized for selecting of non linear capital asset pricing model for top securities in BSE and made an attempt to identify the marketable and nonmarketable risk of investors of top companies. The analysis was conducted at different stages. They are Vector auto regression of systematic and unsystematic risk.
12p murielnguyen 29062020 13 0 Download

Bài giảng Chapter 5: Risk and return  Portfolio theory and asset pricing models presents of portfolio theory, capital asset pricing model (CAPM) (efficient frontier, capital market line (CML), security market line (SML), beta calculation, beta calculation), arbitrage pricing theory, fama french 3 factor model.
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Chapter 7 provides knowledge of portfolio theory and other asset pricing models. This chapter presents the following content: Portfolio theory, capital asset pricing model (CAPM)L: capital market line (CML), security market line (SML).
17p abcxyz123_04 30032020 4 1 Download

This study contributes to the literature about assetpricing models and their performances in different economic contexts. Moreover, the findings also offer insights into the use of the CAPM and TFM in developing countries in general and Vietnam, in particular.
13p tamynhan6 14092020 4 0 Download

This chapter discusses the various forms of return encountered in investment management. Among the return types discussed are required returns, which will be used later in the text for equity valuation. The required return is what the investor expects to earn on an investment, given the investment’s risk. To determine the required return, we will use several different models, such as the capital asset pricing model (CAPM).
31p allbymyself_10 02032016 41 2 Download

This paper studies China’s stock prices in the framework of consumptionbased capital asset pricing models (CCAPM). Using China’s quarterly stock market data from 1991 to 2019, we estimate and compare four versions of CCAPM: the classical CCAPM, CCAPM with housing service consumption, with habit formation, and with both. We find habit formation affects stock returns only if housing service consumption is considered. Further, although every model is consistent with data to certain extent, the models with habit formation perform substantially better.
12p nguyenanhtuan_qb 09072020 8 0 Download

(bq) part 2 book "the mathematics of financial modeling and investment management" has contents: fat tails, scaling, and stable laws; arbitrage pricing  finite state models, capital asset pricing model, equity portfolio management; multifactor models and common trends for common stocks,...and other contents.
428p bautroibinhyen21 14032017 36 5 Download

(bq) part 2 book "corporate finance  principles and practice" has contents: investment appraisal  applications and risk, portfolio theory and the capital asset pricing model, the cost of capital and capital structure, dividend policy, mergers and takeovers, risk management.
292p bautroibinhyen22 22032017 31 2 Download

(bq) part 1 book "corporate finance" has contents: the time value of money and net present value, uncertainty, default, and risk, the capital asset pricing model, a first look at investments, market imperfections, capital budgeting applications and pitfalls,...and other contents.
576p bautroibinhyen23 02042017 21 2 Download

Chapter 9  The capital asset pricing model. This chapter contains additional material on the “art” of selecting reasonable parameter values for portfolio construction, and a discussion of what can go wrong when inputs are derived solely from recent historical experience.
23p tangtuy18 12072016 31 1 Download

This paper is to investigate the fitness of the Fama and French threefactor model in the HCMC Stock Exchange (HOSE) over the period 20072009. The results have proven that this model is more superior to the capital asset pricing model (CAPM) when explaining changes in the total risk premium or the return on equity in HOSE.
6p danhnguyentuongvi27 19122018 15 1 Download

Chapter 9  The capital asset pricing model. This chapter contains additional material on the “art” of selecting reasonable parameter values for portfolio construction, and a discussion of what can go wrong when inputs are derived solely from recent historical experience.
22p dien_vi01 21112018 10 0 Download

This study is to estimate risk tolerance of investors in HCMC Stock Exchange (HOSE) and then work out a portfolio optimization model on the basis of risk tolerance known. To do thus, questionnaires, Markowitz portfolio theory, and the capital asset pricing model (CAPM) will be employed in the research.
6p danhnguyentuongvi27 19122018 10 0 Download

In this study, we investigate whether accrual quality is a factor in capital asset pricing. Our analysis consists of two parts. First, we use a panel data regression that controls for crosssection fixed effects to implement the second stage of the FamaMacBeth regression (Petersen 2009).
15p viankara2711 04122019 6 0 Download

This paper aims to develop testing model based on logistic regression with three factors to investigate the equity premium portion of CAPM model. It includes (1) literature review on equity premium of CAPM (Capital Asset Pricing Model) model; (2) Set up logistic regression model; (3) Data collection from Datastream; (4) Use of Matlab in regression; (5) Data input in logistic regression; (6) Create a homemade model to prove the nonexistence of equity premium puzzle. Together with investigating the proper definition of riskfree rate, this paper investigates and tests the basic model of CAPM.
13p trinhthamhodang2 21012020 8 0 Download

Expected asset return measures are needed to construct portfolios, plan for retirement, value equities and options, and forecast corporate cash flows. In this lecture, students will: Compute historical returns for stocks and market indexes; estimate expected asset returns using the Capital Asset Pricing Model (CAPM), Global CAPM (GCAPM), the FamaFrench 3 Factor Model (FF3F), and fundamental analysis; use excel styles and formats; create modules and write simple VBA programs.
26p shiwo_ding8 25062019 10 0 Download

In this paper we propose a dynamic version of the MarketDerived Capital Pricing Model (MCPM) of McNulty, Yeh, Schulze and Lubatkin (2002).By introducing the competitive advantage period “CAP” in the algorithm of this model, we develop the Dynamic MarketDerived Capital Pricing Model (DMCPM).
15p cothumenhmong4 24032020 4 0 Download