Capital Asset Pricing Model Capm A Case Study
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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.
Capital Asset Pricing Model
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Author : 50MINUTES,
language : en
Publisher: 50 Minutes
Release Date : 2015-09-02
Capital Asset Pricing Model written by 50MINUTES, and has been published by 50 Minutes this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-09-02 with Business & Economics categories.
Make smart investment decisions to build a strong portfolio This book is a practical and accessible guide to understanding and implementing the capital asset pricing model, providing you with the essential information and saving time. In 50 minutes you will be able to: • Understand the uses of the capital asset pricing model and how you can apply it to your own portfolio • Analyze the components of your current portfolio and its level of efficiency to assess which assets you should retain and which you should remove • Calculate the level of risk involved in new investments so that you make the right decisions and build the most efficient portfolio possible ABOUT 50MINUTES.COM | Management & Marketing 50MINUTES.COM provides the tools to quickly understand the main theories and concepts that shape the economic world of today. Our publications are easy to use and they will save you time. They provide elements of theory and case studies, making them excellent guides to understand key concepts in just a few minutes. In fact, they are the starting point to take action and push your business to the next level.
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 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.
Alternative Capital Asset Pricing Models
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Author : Attiya Y. Javed
language : en
Publisher:
Release Date : 2000
Alternative Capital Asset Pricing Models written by Attiya Y. Javed and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Capital assets pricing model categories.
Limitations Of The Capital Asset Pricing Model Capm
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Author : Manuel Kürschner
language : en
Publisher: GRIN Verlag
Release Date : 2008-07
Limitations Of The Capital Asset Pricing Model Capm written by Manuel Kürschner and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-07 with categories.
Research Paper (undergraduate) from the year 2008 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, University of Cooperative Education, 31 entries in the bibliography, language: English, abstract: The objective of this paper is to give an overview of the most important movements of the complex area of asset pricing. This will be tried by logically structuring and building up the topic from its origins, the Capital Asset Pricing Model, and then over its main points of critique, in order to arrive at the different options developed by financial science that try to resolve those problematic aspects. Due to the complexity of this subject and the limited scope of this paper, obviously it will not be possible to discuss each model or movement in depth. Coherently, the aim is to point out the main thoughts of each aspect discussed. For further information, especially concerning the deeper mathematical backgrounds and derivations of the models, the author would like to refer the reader to the books mentioned in this paper. Many of those works, finance journal publications and the literature on asset pricing in general, set their focus on different parts of this paper, which again underlines the complexity in terms of scientific scope and intellectual and mathematical intricacy of this topic.
Liquidity And Asset Prices
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Author : Yakov Amihud
language : en
Publisher: Now Publishers Inc
Release Date : 2006
Liquidity And Asset Prices written by Yakov Amihud and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Asset Pricing And Portfolio Performance
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Author : Robert A. Korajczyk
language : en
Publisher:
Release Date : 1999
Asset Pricing And Portfolio Performance written by Robert A. Korajczyk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.
Price Based Investment Strategies
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Author : Adam Zaremba
language : en
Publisher: Springer
Release Date : 2018-07-25
Price Based Investment Strategies written by Adam Zaremba and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-25 with Business & Economics categories.
This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
Stock Markets Investments And Corporate Behavior
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Author : Michael Dempsey
language : en
Publisher: World Scientific
Release Date : 2015-10-29
Stock Markets Investments And Corporate Behavior written by Michael Dempsey and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-10-29 with Business & Economics categories.
' Stock Markets, Investments and Corporate Behavior examines the nature of stock market growth and decline, the function of financial markets, and their implications for commercial companies. Traditionally, finance academics have attempted to understand financial markets and commercial companies as physicists approach their subject matter: with a set of laws in mind that govern the field. But finance is not physics. The academic''s approach falsely assumes that financial markets can be understood as systems within which self-interested maximizers behave in logical ways that are coordinated by the invisible hand of the price mechanism. This book demonstrates that finance is more appropriately understood as a field in which investors and finance managers may or may not use rational calculations as the basis of their decision making. This book opens with an effective dismantling of the traditional mathematical approach used to understand and describe markets and corporate financial behavior. In its place, the mathematics of growth and decline is developed anew, while holding to the realization that the decisions of organizations rely on the choices of real people with limited information available to them. The book will appeal to all students who wish to reappraise their knowledge of finance in a thoughtful manner. Specifically, this book is designed to appeal to anyone who wishes to refine their understanding of the nature of stock markets and financial growth, optimal portfolio allocation, option pricing, asset valuation, corporate financial behavior, and what it means to be ethical in our financial institutions. Contents:Introduction: Stock Markets, Investments and Corporate Financial Decision MakingFoundations of Stock Pricing: A Critical Assessment:The Capital Asset Pricing ModelThe Fama and French Three-Factor ModelBeyond the Fama and French Three-Factor ModelFoundations of Corporate Financial Activity: A Critical Assessment:The Modigliani and Miller Propositions and the Foundations of Corporate FinanceStock Markets and Investment Choices: Growth, Asset Pricing and Portfolio Construction:Mathematics of GrowthThe Statistical Growth of Asset PortfoliosThe Fundamentals of Growth, Asset Pricing, and Portfolio AllocationA Model of Asset Pricing and Portfolio AllocationStock MispricingPractitioner Client Portfolios, the Risk Premium, and Time DiversificationOption Pricing: The Black–Scholes ModelCorporate Financial Decision Making:Valuation of the Firm''s Cash FlowsCorporate Finance in a Strategic/Behavioral ContextEthicsAcademic Finance: Responsible Enquiry or Stamp Collecting? Readership: PhD, graduate and final year undergraduate students and practitioners in the field of finance. Key Features:Offers a rigorous and intuitive framework of understanding of markets, investments and corporate financial decision-making, that convinces the student of the worthwhileness of their intellectual achievements — not just for passing exams — but also worthy to be carried into the workplace as a foundation of their own career contribution to the professionOriginal text deriving from the developed ideas and theories of the author whose foundation publications for the text span over twenty publications in top-ranked academic journalsKeywords:Stock Markets;Investments;Corporate Finance;Mathematical Finance'