An Empirical And Theoretical Analysis Of Capital Asset Pricing Model
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An Empirical And Theoretical Analysis Of Capital Asset Pricing Model
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Author : Mohammad Sharifzadeh
language : en
Publisher: Universal-Publishers
Release Date : 2010-11-18
An Empirical And Theoretical Analysis Of Capital Asset Pricing Model written by Mohammad Sharifzadeh and has been published by Universal-Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11-18 with categories.
The problem addressed in this dissertation research was the inability of the single-factor capital asset pricing model (CAPM) to identify relevant risk factors that investors consider in forming their return expectations for investing in individual stocks. Identifying the appropriate risk factors is important for investment decision making and is pertinent to the formation of stocks' prices in the stock market. Therefore, the purpose of this study was to examine theoretical and empirical validity of the CAPM and to develop and test a multifactor model to address and resolve the empirical shortcomings of the single-factor CAPM. To verify the empirical validity of the standard CAPM and of the multifactor model, five hypotheses were developed and tested against historical monthly data for U.S. public companies. Testing the CAPM hypothesis revealed that the explanatory power of the overall stock market rate of return in explaining individual stock's expected rates of return is very weak, suggesting the existence of other risk factors. Testing of the other hypotheses verified that the implied volatility of the overall market as a systematic risk factor and the companies' size and financial leverage as nonsystematic risk factors are important in determining stock's expected returns and investors should consider these factors in their investment decisions. The findings of this research have important implications for social change. The outcome of this study can change the way individual and institutional investors as well as corporations make investment decisions and thus change the equilibrium prices in the stock market. These changes in turn could lead to significant changes in the resource allocation in the economy, in the economy's production capacity and production composition, and in the employment structure of the society.
An Empirical And Theoretical Analysis Of Capital Asset Pricing Model
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Author : M. Sharifzadeh
language : en
Publisher:
Release Date : 2005
An Empirical And Theoretical Analysis Of Capital Asset Pricing Model written by M. Sharifzadeh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Financial Analysis Planning And Forecasting Theory And Application Third Edition
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Author : Cheng Few Lee
language : en
Publisher: World Scientific Publishing Company
Release Date : 2016-08-10
Financial Analysis Planning And Forecasting Theory And Application Third Edition written by Cheng Few Lee and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-08-10 with Business & Economics categories.
This book is an introduction-level text that reviews, discusses, and integrates both theoretical and practical corporate analysis and planning. The field can be divided into five parts: (1) Information and Methodology for Financial Analysis; (2) Alternative Finance Theories and Cost of Capital; (3) Capital Budgeting and Leasing Decisions; (4) Corporate Policies and their Interrelationships; (5) Financial Planning and Forecasting.The theories used and discussed in this book can be grouped into the following classical theoretical areas of corporate finance: (1) Pre-M&M Theory, (2) M&M Theory, (3) CAPM, and (4) Option Pricing Theory (OPT). The interrelationships among these theories are carefully analyzed. Real world examples are used to enrich the learning experience; and alternative planning and forecasting models are used to show how the interdisciplinary approach can be used to make meaningful financial-management decisions.In this third edition, we have extensively updated and expanded the topics of financial analysis, planning and forecasting. New chapters were added, and some chapters combined to present a holistic view of the subject and much of the data revised and updated.
Financial Markets Theory
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Author : Emilio Barucci
language : en
Publisher: Springer
Release Date : 2017-06-08
Financial Markets Theory written by Emilio Barucci and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-08 with Mathematics categories.
This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises. Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-classical preferences, noise traders and market microstructure. This textbook is aimed at graduate students in mathematical finance and financial economics, but also serves as a useful reference for practitioners working in insurance, banking, investment funds and financial consultancy. Introducing necessary tools from microeconomic theory, this book is highly accessible and completely self-contained. Advance praise for the second edition: "Financial Markets Theory is comprehensive, rigorous, and yet highly accessible. With their second edition, Barucci and Fontana have set an even higher standard!"Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University "This comprehensive book is a great self-contained source for studying most major theoretical aspects of financial economics. What makes the book particularly useful is that it provides a lot of intuition, detailed discussions of empirical implications, a very thorough survey of the related literature, and many completely solved exercises. The second edition covers more ground and provides many more proofs, and it will be a handy addition to the library of every student or researcher in the field."Jaksa Cvitanic, Richard N. Merkin Professor of Mathematical Finance, Caltech "The second edition of Financial Markets Theory by Barucci and Fontana is a superb achievement that knits together all aspects of modern finance theory, including financial markets microstructure, in a consistent and self-contained framework. Many exercises, together with their detailed solutions, make this book indispensable for serious students in finance."Michel Crouhy, Head of Research and Development, NATIXIS
Proceedings Of The 2022 4th International Conference On Economic Management And Cultural Industry Icemci 2022
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Author : Hrushikesh Mallick
language : en
Publisher: Springer Nature
Release Date : 2023-01-07
Proceedings Of The 2022 4th International Conference On Economic Management And Cultural Industry Icemci 2022 written by Hrushikesh Mallick and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-01-07 with Business & Economics categories.
This is an open access book. 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022) to be held in Chongqing (Online) on October 14-16, 2022. As the leader of the global trend of scientific and technological innovation, China is constantly creating a more open scientific and technological innovation environment, expanding the depth and breadth of academic cooperation, and building a shared innovation community. These efforts are making new contributions to globalization and building a community with a shared future for mankind. ICEMCI aims to bring together innovative academics and industry experts in Economic Management and Cultural Industry into a common forum. We will discuss and research on areas such as International Economics and Trade, Sustainable Economic Development, Economic Statistics, Economic Policy, The impact of cultural industries on the economy, etc. ICEMCI 2022 also aims to provide a platform for experts, scholars, engineers, technicians and technology R&D personnel to share scientific research results and cutting-edge technologies, understand academic development trends, expand research ideas, strengthen academic research and discussion, and promote cooperation in the industrialization of academic achievements . With the theme "Economic Management and Cultural Industry", ICEMCI 2022 aspires to keeping up with advances and changes to a consistently morphing field. Leading researchers and industry experts from around the globe will be presenting the latest studies through papers, keynote speeches and oral presentations. We warmly invite you to participate in ICEMCI 2022 and look forward to seeing you in Chongqing !
Modern Portfolio Theory And Investment Analysis
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Author : Edwin J. Elton
language : en
Publisher: John Wiley & Sons
Release Date : 2014-01-21
Modern Portfolio Theory And Investment Analysis written by Edwin J. Elton and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-01-21 with Business & Economics categories.
An excellent resource for investors, Modern Portfolio Theory and Investment Analysis, 9th Edition examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios. A chapter on behavioral finance is included, aimed to explore the nature of individual decision making. A chapter on forecasting expected returns, a key input to portfolio management, is also included. In addition, investors will find material on value at risk and the use of simulation to enhance their understanding of the field.
Modern Portfolio Theory
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Author : Jack Clark Francis
language : en
Publisher: John Wiley & Sons
Release Date : 2013-01-18
Modern Portfolio Theory written by Jack Clark Francis and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-18 with Business & Economics categories.
A through guide covering Modern Portfolio Theory as well as the recent developments surrounding it Modern portfolio theory (MPT), which originated with Harry Markowitz's seminal paper "Portfolio Selection" in 1952, has stood the test of time and continues to be the intellectual foundation for real-world portfolio management. This book presents a comprehensive picture of MPT in a manner that can be effectively used by financial practitioners and understood by students. Modern Portfolio Theory provides a summary of the important findings from all of the financial research done since MPT was created and presents all the MPT formulas and models using one consistent set of mathematical symbols. Opening with an informative introduction to the concepts of probability and utility theory, it quickly moves on to discuss Markowitz's seminal work on the topic with a thorough explanation of the underlying mathematics. Analyzes portfolios of all sizes and types, shows how the advanced findings and formulas are derived, and offers a concise and comprehensive review of MPT literature Addresses logical extensions to Markowitz's work, including the Capital Asset Pricing Model, Arbitrage Pricing Theory, portfolio ranking models, and performance attribution Considers stock market developments like decimalization, high frequency trading, and algorithmic trading, and reveals how they align with MPT Companion Website contains Excel spreadsheets that allow you to compute and graph Markowitz efficient frontiers with riskless and risky assets If you want to gain a complete understanding of modern portfolio theory this is the book you need to read.
Essays In Honor Of Kenneth J Arrow Volume 3 Uncertainty Information And Communication
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Author : Walter P. Heller
language : en
Publisher: Cambridge University Press
Release Date : 1986-09-26
Essays In Honor Of Kenneth J Arrow Volume 3 Uncertainty Information And Communication written by Walter P. Heller and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986-09-26 with Business & Economics categories.
The third in a series of volumes published in honour of Professor Kenneth J. Arrow, each covering a different area of economic theory.
Property Investment Theory
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Author : A Macleary
language : en
Publisher: Taylor & Francis
Release Date : 2003-09-02
Property Investment Theory written by A Macleary and has been published by Taylor & Francis this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-09-02 with Business & Economics categories.
This up-to-date reference on property investment highlights the problems with existing techniques of property valuation and appraisal and identifies possible ways forward for both research and practice.
Notes On Consumption Theory
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Author : Giuseppe Travaglini
language : en
Publisher: Springer Nature
Release Date : 2024-04-04
Notes On Consumption Theory written by Giuseppe Travaglini and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-04-04 with Business & Economics categories.
This textbook offers a compact, yet formal, synthesis of the broad field of consumption theory. Written in a coherent and accessible way, this book introduces graduate and postgraduate students to dynamic optimization applied to consumption under certainty and uncertainty, in discrete and continuous time. Delving into deterministic and stochastic models, including the use of Brownian motions, the book offers a deeper understanding of consumption decisions and their impact on asset pricing and investment in partial and general equilibrium. This book compiles lecture notes from advanced courses in micro- and macroeconomics, ensuring a self-contained introduction to the subject. Balancing simplicity with analytical rigor, the book equips readers with essential methodological tools for advanced research in economics. With empirical evidence and exercises integrated throughout, this textbook stands as the go-to resource for scholars and students alike, fostering further theoretical explorations in the field. Basic knowledge of economics, mathematics, and econometrics is recommended for a comprehensive understanding.