Comparative Testing Of Capital Asset Pricing Model Capm And Shari A Compliant Asset Pricing Model Scapm
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Comparative Testing Of Capital Asset Pricing Model Capm And Shari A Compliant Asset Pricing Model Scapm
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Author : Abubakar Javaid Dar
language : en
Publisher:
Release Date : 2018
Comparative Testing Of Capital Asset Pricing Model Capm And Shari A Compliant Asset Pricing Model Scapm written by Abubakar Javaid Dar 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.
CAPM is most widely used economic model for pricing of securities, although criticized on different basis and alternative CAPM's were developed in the hope of better explanatory power. Islamic finance has shown remarkable performance and growth in first decade of 21st century. In order to increase liquidity Islamic finance practitioners have entered in stock market and Islamic indexes operate worldwide. Risk free return is not accepted in Islamic financial literature hence traditional CAPM is not suitable for security valuation for Sharia compliant investments. Hanif (2011) presented a Sharia compliant asset pricing model (SCAPM) for valuation of Sharia compliant securities. The purpose of this study is to test the CAPM and SCAPM comparatively on KSE-100 to document the results and present findings as which of the model explain more variation in stock returns. Study period covers nine years (Jul 2001- Jun 2010). For calculation of returns historical prices of securities and market index is used. Portfolio technique (based on market capitalization) was used for analysis and results obtained through OLS. Findings of the study are very interesting to researchers as well. No significant results found in higher and lower capitalization portfolios under any of the model, however results were statistically significant for middle capitalization portfolio and explanatory power of SCAPM was better than CAPM.
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.
Limitations Of The Capital Asset Pricing Model Capm
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Author : Manuel Kürschner
language : en
Publisher: GRIN Verlag
Release Date : 2008-07-04
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 2008-07-04 with Business & Economics 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, 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.
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 Business & Economics 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.
Comparison Of The Capm The Fama French Three Factor Model And Modifications
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Author : Christoph Lohrmann
language : de
Publisher:
Release Date : 2015-09-03
Comparison Of The Capm The Fama French Three Factor Model And Modifications written by Christoph Lohrmann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-09-03 with categories.
Seminar paper from the year 2014 in the subject Economics - Finance, grade: 6,0 (Schweizer Notensystem), University of Liechtenstein, fruher 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 R 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."
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 And Pricing Of Islamic Financial Instruments
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Author : Shabir A. Hakim
language : en
Publisher:
Release Date : 2018
Capital Asset Pricing Model And Pricing Of Islamic Financial Instruments written by Shabir A. Hakim 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.
The prohibitions of ribā (interest) and trading in non-ḥalāl businesses in Islam redefines investment universe assumed by Capital Asset Pricing Model (CAPM). In Islamic investment world, risk-free asset and market portfolio with non-ḥalāl constituents are irrelevant. We propose two-versions of Sharīʻah-compliant CAPM that use Sharīʻah-complaint market portfolio and are free of risk-free asset. We test the proposed models together with conventional CAPM in Bursa Malaysia using three- and ten-year data. The test results of the models with three-year data reveal remarkable similarity between versions of Sharīʻah-compliant models. Besides, Sharīʻah-compliant CAPM is as capable of explaining returns on Sharīʻah-complaint stocks as conventional CAPM is of explaining returns on all stocks.
Application Of Capital Asset Pricing Capm And Arbitrage Pricing Theory Apt Models In Athens Exchange Stock Market
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Author : Eleftherios Giovanis
language : en
Publisher: GRIN Verlag
Release Date : 2010-03-26
Application Of Capital Asset Pricing Capm And Arbitrage Pricing Theory Apt Models In Athens Exchange Stock Market written by Eleftherios Giovanis and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-26 with Business & Economics categories.
Seminar paper from the year 2007 in the subject Business economics - Investment and Finance, grade: 90.0%, , language: English, abstract: This paper examines the estimating and forecasting performance of the different and various Generalized Autoregressive Conditional Heteroscedasticity-GARCH’s models in relation to Capital Asste Pricing Model (CAPM) model. We apply the CAPM model with ordinary least squares (OLS) method to investigate if an ARCH (Autoregressive Conditional Heteroscedasticity) is presented and we are trying to decide and to analyze which GARCH model is the most appropriate and the best fitted for the financial time series that we have chosen. We apply CAPM model in the financial time series of the share prices of Technology-Software Sector in Athens Exchange stock market for the period January 1st of 2002 to October 30th of 2007 for the enterprises “Unibrain” “MLS Informatics” and “Dionic” respectively , from April 2nd of 2002 to 30th October of 2007 for the enterprise “Compucon”, from August 2nd of 2002 to 30th October of 2007 for the enterprise “Centric”, and finally from February 2nd of 2004 to 30th October of 2007 for the enterprise “Ilyda”. Additionally, we apply roiling regressions, where the full programming routines in EVIEWS and MATLAB are described detailed. We conclude that the slope β coefficient of CAPM model is not constant through the time period of rolling regressions we apply. In the final part we examine a simple Arbitrage Pricing Theory (APT) model.
Principles Of The Capital Asset Pricing Model And The Importance In Firm Valuation
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Author : Nadine Pahl
language : en
Publisher: GRIN Verlag
Release Date : 2009-04
Principles Of The Capital Asset Pricing Model And The Importance In Firm Valuation written by Nadine Pahl and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04 with Business & Economics categories.
Research Paper (undergraduate) from the year 2007 in the subject Business economics - Investment and Finance, grade: 1,0, University of Applied Sciences Berlin, course: Financial Management, language: English, abstract: In everything you do, or don't do, there is a chance that something will happen that you didn't count on. Risk is the potential for unexpected things to happen. Risk aversion is a common thing among almost all investors. Investors generally dislike uncertainty or risk and agree that a safe dollar is worth more than a risky one. Therefore, investors will have to be persuaded to take higher risk by the offer of higher returns. In this investment context, the additional compensation for taking on higher risk is a higher rate of return.Every investment has a risk element: The investor will always not be certainwhether the investment will be able to generate the required income. The degree of risk defers from industry to industry but also from company to company. It is not possible to eliminate the investment risk altogether but to reduce is. Nevertheless, often there remains a risky part. According to the degree of risk, the investor demands a corresponding rate of return that is, of course, higher than the rate of return of risk-free investments. Taking on a risk should be paid off. The Capital Asset Pricing Model (CAPM) is an economic model for valuing stocks, securities, derivatives and/or assets by relating risk and expected rate of return. CAPM is based on the idea that investors demand additional expected return if they are asked to accept additional risk.
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.
