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Mimoun Benali, Karima Lahboub and Abdelhamid El Bouhadi
In this study, the reliability of the Fama?French Three-Factor model (FF3F) and the Carhart Four-Factor model (C4F) is examined thoroughly. In order to determine which of the asset pricing models is the best to explain portfolio returns on the Moroccan s...
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Adam Karp, Gary van Vuuren
This paper tests the validity and accuracy of the Capital Asset Pricing Model and the Fama-French Three-Factor Model, by predicting the variation in excess portfolio returns on the Johannesburg Stock Exchange. Portfolios of stocks were constructed based ...
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Hui-Shan Lee,Fan-Fah Cheng,Shyue-Chuan Chong
Pág. 59 - 65
Capital Asset Pricing Model is widely used by investors to estimate the return or the moving behavior of the stock and Markowitz Model is employed to achieve portfolio diversification. This study examine whether CAPM is valid to forecast the behaviour of...
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Kwasi Okyere-Boakye,Brandon O?Malley
AbstractBeta and the capital asset pricing model have traditionally been the preferred measures of risk. However, there is growing literature against the use of the capital asset pricing model to determine the cost of equity in markets, such as emerging ...
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Tarek BOUCHADDEKH,Abdelfatteh Bouri,Mohamed Karim KEFI
Pág. 657 - 668
For many decades, asset-pricing theory was constructed on absence of frictions hypothesis. However, since pioneers? works of Chen et al. (1975) and Amihud and Mendelson (1986) in microstructure area, systematic violations of this assumption were observed...
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Robert A. Fiore, Robert N. Lussier
Pág. 69 - 88
There is no generally accepted measure of wealth created by new ventures, as most early-stage firms do not have positive cash flows, and early-stage discount rates cannot be estimated with sufficient accuracy as required by the Capital Asset Pricing Mode...
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Felipe Pretti Casotti,Luiz Felipe Jacques da Motta
Pág. 157 - 204
The pricing process of new shares in IPOs has been under study in several countries. This paper initially looks at the valuation process using multiples and seeks to classify the new shares under two categories: underpriced or overpriced at the time of t...
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J. Van Zyl Smit
AbstractThe importance of risk management in business has long been recognised. The importance, assumptions and limitations of the Capital Asset Pricing Model is generally accepted and an elaborate introduction is therefore not necessary. The stability o...
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Nsama Musawa,Sumbye Kapena,Chanda Shikaputo
AbstractBackground: The Fama and French five-factor model (FF5M) is one of the stock valuation model that is on the cutting edge of finance research. Results from the empirical tests from various stock markets were the FFM5 has been tested since its laun...
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Fakhri Husein,Shofia Mauizotun Hasanah
Pág. 349 - 362
Shariah Compliant Asset Pricing Model (SCAPM) is a modification of the model Capital Asset Pricing Model (CAPM). This research is quantitative descriptive study of theories of optimal portfolio analysis applied to trading stocks, especially in stocks Jak...
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Francesco Asdrubali, Daniela Venanzi, Luca Evangelisti, Claudia Guattari, Gianluca Grazieschi, Paolo Matteucci and Marta Roncone
The majority of Italian schools (70%) were built in the absence of any legislation related to energy efficiency, and therefore have very low energy performance due to aging or poor quality of construction. An energy retrofit of this building stock is nee...
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Wang Qingshi,Li Naiqian,Hashmat Ali
Pág. 16 - 23
According to characteristics of revenue and risks involved in film investments, this paper expounds that movies can also be treated as a common tradable asset in capital markets. Consequently, this study employs the famous Arbitrage Pricing Theory (APT) ...
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Jaber Bahrami,Mosayeb Pahlavani,Reza Roshan,Saeed Rasekhi
Pág. 309 - 317
The purpose of this study is to investigate the relationship of some macroeconomic variables and asset returns in the framework of a theoretical and empirical Consumption based Capital Assets Pricing Model (CCAPM); for this purpose, this relationship is ...
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Melody Nyangara,Davis Nyangara,Godfrey Ndlovu,Takawira Tyavambiza
Pág. 365 - 379
We test the empirical validity of the Capital Asset Pricing Model (CAPM) on the Zimbabwe Stock Exchange (ZSE) using cross-sectional stock returns on 31 stocks listed on the ZSE between March 2009 and February 2014. We conclude that, although the explanat...
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Jacek Lipiec
In this article, we test the capital asset pricing model (CAPM) on the Warsaw Stock Exchange (WSE) by measuring the performance of two portfolios composed of construction firms: family-controlled and nonfamily controlled. These portfolios were selected f...
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Munyaradzi Chawana
AbstractA number of researchers have sought to test the theoretical prediction of Modern Portfolio Theory that asserts that Socially Responsible Investing (SRI) under-performs conventional investing. In contrast to the majority of literature, which focus...
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J. F.C. Von Wielligh,E. V.D.M. Smit
AbstractThe persistence of performance of the General Equity Unit Trusts and All Unit Trusts that traded in South Africa during the period January 1988 to December 1997 and January 1993 to December 1997, is analysed using three models of performance meas...
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J. F.C. Von Wielligh,E. V.D.M. Smit
AbstractThe persistence of performance of the General Equity Unit Trusts and All Unit Trusts that traded in South Africa during the period January 1988 to December 1997 and January 1993 to December 1997, is analysed using three models of performance meas...
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Jerome Duncan, Seth C. Anderson, Sherrell Price, Cassandra Thomas
This case illustrates how the Gordon Growth Model is employed to estimate the value of a firm?s stock. The model determines the value of stock based on dividends, growth rate, and the cost of capital. The Capital Asset Pricing Model (CAPM) is emplo...
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