An Empirical Study Of Capital Asset Pricing Model And Fama French Three Factor Model
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An Empirical Study Of Capital Asset Pricing Model And Fama French Three Factor Model
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Author : Soo Woo Choi
language : en
Publisher:
Release Date : 2017
An Empirical Study Of Capital Asset Pricing Model And Fama French Three Factor Model written by Soo Woo Choi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
The thesis tests performances of Capital Asset Pricing Model and Fama-French Three-Factor Model. Through an empirical study on the US stocks from January 2000 to August 2017, the thesis demonstrates that Fama-French Three-Factor model performs better than Capital Asset Pricing Model.
A New Model Of Capital Asset Prices
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Author : James W. Kolari
language : en
Publisher: Springer Nature
Release Date : 2021-03-01
A New Model Of Capital Asset Prices written by James W. Kolari and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-03-01 with Business & Economics categories.
This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests using US stock returns. The ZCAPM is derived from Fischer Black’s well-known zero-beta CAPM, itself a more general form of the famous capital asset pricing model (CAPM) by 1990 Nobel Laureate William Sharpe and others. It is widely accepted that the CAPM has failed in its theoretical relation between market beta risk and average stock returns, as numerous studies have shown that it does not work in the real world with empirical stock return data. The upshot of the CAPM’s failure is that many new factors have been proposed by researchers. However, the number of factors proposed by authors has steadily increased into the hundreds over the past three decades. This new ZCAPM is a path-breaking asset pricing model that is shown to outperform popular models currently in practice in finance across different test assets and time periods. Since asset pricing is central to the field of finance, it can be broadly employed across many areas, including investment analysis, cost of equity analyses, valuation, corporate decision making, pension portfolio management, etc. The ZCAPM represents a revolution in finance that proves the CAPM as conceived by Sharpe and others is alive and well in a new form, and will certainly be of interest to academics, researchers, students, and professionals of finance, investing, and economics.
An Empirical Test Of The Capital Asset Pricing Modell Capm On Current Stock Data
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Author : Lucas Ammelung
language : en
Publisher:
Release Date : 2020-12-30
An Empirical Test Of The Capital Asset Pricing Modell Capm On Current Stock Data written by Lucas Ammelung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-12-30 with categories.
Bachelor Thesis from the year 2020 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, Munich University of Applied Sciences, language: English, abstract: The goal of this study is thus to determine the best available asset pricing model in Germany and whether the use of pre-existing datasets, with the factors already calculated, brings results as accurate as a custom dataset. This is relevant in Germany as the CAPM is still the most commonly used way to compute the cost of equity with 34% of companies using it. Another 16% of companies are using asset pricing models with additional risk factors. To determine the answer to this, this study will look into the aforementioned three most commonly used models: the CAPM, the Fama and French three-factor model and the Carhart four-factor model. After explaining the background and functioning of the CAPM, this study will show the flaws within the model and how these flaws led to extensions of the CAPM. Each model will then be statistically analyzed with three distinct sets of data. Two of these are publicly available, while the last has been calculated for this study. Lastly, to understand how the difference in data used can influence the results from asset pricing models, the runtime and underlying factor of datasets will be modified, re-analyzed and compared to the initial results.
Three Factor Model Of Asset Pricing
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Author : Mobin Anwar
language : en
Publisher:
Release Date : 2018
Three Factor Model Of Asset Pricing written by Mobin Anwar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Prediction of price fluctuations has always been interesting for academicians, practitioners and investors. However, price fluctuations can never be exactly predicted, but some trends can be drawn in price fluctuations. The first landmark in stock pricing was Capital Asset Pricing Model (CAPM) given by William Sharpe in 1964. After that a deluge of pragmatic evidence came up and challenged the CAPM. Despite being criticized by several researchers, CAPM became a basis for the development of other models. Fama and French gave a three-factor model and claimed that it better explains the price fluctuations of stocks than CAPM, and the anomalies of CAPM are captured by the three-factor model. The present study is an attempt to find the explanatory power of Fama and French three-factor model in the Indian stock market and covers the period from April 1, 2009 to March 31, 2016. The Fama and French three-factor model failed to capture the individual asset returns. On the other hand, it explains the portfolio asset returns sorted on the basis of size and value. A significant effect of market risk premium, size premium and value premium was detected on the returns of the assets.
Comparison Of The Capm The Fama French Three Factor Model And Modifications
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Author : Christoph Lohrmann
language : en
Publisher: GRIN Verlag
Release Date : 2015-08-18
Comparison Of The Capm The Fama French Three Factor Model And Modifications written by Christoph Lohrmann and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-18 with Business & Economics categories.
Seminar paper from the year 2014 in the subject Economics - Finance, grade: 6,0 (Schweizer Notensystem), University of Liechtenstein, früher Hochschule Liechtenstein, language: English, abstract: This paper is focused on comparing the Capital Asset Pricing Model, the Fama-French Three Factor model and two modified versions of the Fama-French Model in their ability to explain excess returns. The first modified model contains the same explanatory variables as the Fama-French Model but with an additional AR(1) process. The second modification contains instead of an additional AR(1) an AR(2) process. Evaluated by the adjusted R2 and the Akaike information criterion, the Fama-French model yields a higher model-fit than the CAPM. The modified Fama-French Model with an AR(2) process leads to significant results for the twice lagged return in the model in four out of six tested portfolios. Therefore, the in-sample regression reveals a higher model-fit of the modified Fama-French model with AR(2) in comparison to the other three models. Since the results differ from a regression in the subsequent period, the results are most likely spurious. Nevertheless, the authors show the high-er model-fit of the Fama-French Three Factor Model in relation to the CAPM.
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.
Capital Asset Pricing Model Capm A Case Study
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Author : Alexander Moßhammer
language : en
Publisher: GRIN Verlag
Release Date : 2015-02-02
Capital Asset Pricing Model Capm A Case Study written by Alexander Moßhammer and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-02-02 with Business & Economics categories.
Seminar paper from the year 2015 in the subject Business economics - Investment and Finance, grade: 1,00, University of Innsbruck (Department of Banking and Finance), course: Proseminar: Financial Management, language: English, abstract: The purpose of this paper is to do empirical research on the capital asset pricing model. The bases of our research are the returns of three stocks, the S&P 500 index which represents the market and the LIBOR as a proxy for the risk-free interest rate. The three companies that were chosen in this paper were Kellogg Company, KB Financial Group Inc. and Kate Spade & Company and all of them in combination represent our fictive market.
An Empirical Investigation Of Asset Pricing Models In Australia
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Author : Manapon Limkriangkrai
language : en
Publisher:
Release Date : 2007
An Empirical Investigation Of Asset Pricing Models In Australia written by Manapon Limkriangkrai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Assets (Accounting) categories.
[Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton's zero-intercept criterion for a well-specified pricing model. This study instead documents that the US three-factor model provides the best description of Australian stock returns. The three US Fama-French factors are statistically significant for the majority of portfolios consisting of large stocks. However, no significant coefficients are found for portfolios in the smallest size quintile. This result initially suggests that the largest firms in the Australian market are globally integrated with the US market while the smallest firms are not. Therefore, the evidence at this point implies domestic segmentation in the Australian market. This is an unsatisfying outcome, considering that the goal of this research is to establish the pricing model that best describes portfolio returns. Given pervasive evidence that liquidity is strongly related to stock returns, the second part of the major analyses derives and incorporates this potentially priced factor to the specified pricing models . . . This study also introduces a methodology for individual security analysis, which implements the portfolio analysis, in this part of analyses. The technique makes use of visual impressions conveyed by the histogram plots of coefficients' p-values. A statistically significant coefficient will have its p-values concentrated at below a 5% level of significance; a histogram of p-values will not have a uniform distribution ... The final stage of this study employs daily return data as an examination of what is indeed the best pricing model as well as to provide a robustness check on monthly return results. The daily result indicates that all three US Fama-French factors, namely the US market, size and book-to-market factors as well as LIQT are statistically significant, while the Australian three-factor model only exhibits one significant market factor. This study has discovered that it is in fact the US three-factor model with LIQT and not the domestic model, which qualifies for the criterion of a well-specified asset-pricing model and that it best describes Australian stock returns.
Multifactor Models Regarding Intertemporal Capital Asset Pricing Model Icapm Assumptions On European And Us Market Data Advancing The Capital Asset Pricing Model Capm
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Author : Arno Popanda
language : en
Publisher: GRIN Verlag
Release Date : 2019-10-11
Multifactor Models Regarding Intertemporal Capital Asset Pricing Model Icapm Assumptions On European And Us Market Data Advancing The Capital Asset Pricing Model Capm written by Arno Popanda and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-11 with Business & Economics categories.
Seminar paper from the year 2018 in the subject Economics - Finance, grade: 1.7, University of Duisburg-Essen (Faculty of Business and Economics), language: English, abstract: The Capital Asset Pricing Model (CAPM), which is developed by Harry Markowitz, lacks on empirical validation and is not economically fully plausible. By only considering a single period within the CAPM, Merton tried to improve the model by implementing different intertemporal assumptions. This paper focuses on the analysis, if the lack of the CAPM can be improved by using the assumptions of the ICAPM and if the eight investigated models are in the sense of Merton's assumptions. The first chapter reviews a short explanation of the classical CAPM and his critics, followed by Merton's intertemporal CAPM and his assumptions in the next chapter. Additionally, there were models developed, trying to be economically plausible by considering the ICAPM main assumptions, which are presented in the second chapter. A different way to develop an empirical better fitting CAPM is by using empirical motivated state variables. Fama & French started to take this approach by developing the three-factor-model (FF3). A lot of researchers were influenced by the FF3 and made their own version of a multifactor model by implementing variables. Even Fama & French enhanced their three-factor-model by adding further variables. In the third section there is the forecasting power of the four ICAPM models and the four empirical motivated multifactor models on the US market data and on the European market data compared. Then follows an examination if these models can be determined in the sense of the ICAPM restrictions. The last chapter concludes the results.
Portfolio Selection
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Author : Harry Markowitz
language : en
Publisher: Yale University Press
Release Date : 2008-10-01
Portfolio Selection written by Harry Markowitz and has been published by Yale University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-01 with Business & Economics categories.
Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.
