Test Of Multi Moment Capital Asset Pricing Model
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Test Of Multi Moment Capital Asset Pricing Model
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Author : Attiya Y. Javid
language : en
Publisher:
Release Date : 2008
Test Of Multi Moment Capital Asset Pricing Model written by Attiya Y. Javid and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Capital assets pricing model categories.
Multi Moment Asset Allocation And Pricing Models
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Author : Emmanuel Jurczenko
language : en
Publisher: John Wiley & Sons
Release Date : 2006-10-02
Multi Moment Asset Allocation And Pricing Models written by Emmanuel Jurczenko 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 2006-10-02 with Business & Economics categories.
While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
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 : 2021
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 2021 with categories.
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.
The Four Moment Capital Asset Pricing Model
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Author : Emmanuel Jurczenko
language : en
Publisher:
Release Date : 2003
The Four Moment Capital Asset Pricing Model written by Emmanuel Jurczenko and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Résumé en anglais
An Examination Of The Four Moment Capital Asset Pricing Model In The Uk Industry Returns
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Author : Joseph Mabula Kihanda
language : en
Publisher:
Release Date : 2006
An Examination Of The Four Moment Capital Asset Pricing Model In The Uk Industry Returns written by Joseph Mabula Kihanda and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
A Multivariate Garch In Mean Estimation Of The Capital Asset Pricing Model
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Author : S. G. Hall
language : en
Publisher:
Release Date : 1988
A Multivariate Garch In Mean Estimation Of The Capital Asset Pricing Model written by S. G. Hall and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Capital categories.
Lower Partial Moment Capital Asset Pricing Models
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Author : Stephen E. Satchell
language : en
Publisher:
Release Date : 1996
Lower Partial Moment Capital Asset Pricing Models written by Stephen E. Satchell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Capital assets pricing model categories.
Multi Moments Method For Portfolio Management
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Author : Yannick Malevergne
language : en
Publisher:
Release Date : 2002
Multi Moments Method For Portfolio Management written by Yannick Malevergne and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
We use a new set of consistent measures of risks, in terms ofthe semi-invariants of pdf's, such that the centered moments and the cumulants of the portfolio distribution of returns that put more emphasis on the tail the distributions. We derive generalized efficient frontiers, based on these novel measures of risks and present the generalized CAPM, both in the cases of homogeneous and heterogeneous markets. Then, using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their natural multivariate generalizations, we offer exact formulas for the moments and cumulants of the distribution of returns of a portfolio made of an arbitrary composition of these assets. Using combinatorial and hypergeometric functions, we are in particular able to extend previous results to the case where the exponents of the Weibull distributions are different from asset to asset and in the presence of dependence between assets. In this parameterization, we treat in details the problem of risk minimization using the cumulants as measures of risks for a portfolio made of two assets and compare the theoreticalpredictions with direct empirical data. Our extended formulasenable us to determine analytically the conditions under which it is possible to quot;have your cake and eat it tooquot;, i.e., toconstruct a portfolio with both larger return and smaller quot;larger risksquot.
