The Capital Asset Pricing Model

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The Capital Asset Pricing Model In The 21st Century

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Author : Haim Levy
language : en
Publisher: Cambridge University Press
Release Date : 2011-10-30

The Capital Asset Pricing Model In The 21st Century written by Haim Levy 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 2011-10-30 with Business & Economics categories.

The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized theoretically and empirically. The advent of behavioral economics, prospect theory and other psychology-minded approaches in finance challenges the rational investor model from which CAPM and M-V derive. Haim Levy argues that the tension between the classic financial models and behavioral economics approaches is more apparent than real. This book aims to relax the tension between the two paradigms. Specifically, Professor Levy shows that although behavioral economics contradicts aspects of expected utility theory, CAPM and M-V are intact in both expected utility theory and cumulative prospect theory frameworks. There is furthermore no evidence to reject CAPM empirically when ex-ante parameters are employed. Professionals may thus comfortably teach and use CAPM and behavioral economics or cumulative prospect theory as coexisting paradigms.

Economic Ideas You Should Forget

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Author : Bruno S. Frey
language : en
Publisher: Springer
Release Date : 2017-03-08

Economic Ideas You Should Forget written by Bruno S. Frey and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-08 with Business & Economics categories.

Reporting on cutting-edge advances in economics, this book presents a selection of commentaries that reveal the weaknesses of several core economics concepts. Economics is a vigorous and progressive science, which does not lose its force when particular parts of its theory are empirically invalidated; instead, they contribute to the accumulation of knowledge. By discussing problematic theoretical assumptions and drawing on the latest empirical research, the authors question specific hypotheses and reject major economic ideas from the “Coase Theorem” to “Say’s Law” and “Bayesianism.” Many of these ideas remain prominent among politicians, economists and the general public. Yet, in the light of the financial crisis, they have lost both their relevance and supporting empirical evidence. This fascinating and thought-provoking collection of 71 short essays written by respected economists and social scientists from all over the world will appeal to anyone interested in scientific progress and the further development of economics.

Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes

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Author : Cheng Few Lee
language : en
Publisher: World Scientific
Release Date : 2020-07-30

Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes written by Cheng Few Lee and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-30 with Business & Economics categories.

This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Economic And Financial Modelling With Eviews

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Author : Abdulkader Aljandali
language : en
Publisher: Springer
Release Date : 2018-10-22

Economic And Financial Modelling With Eviews written by Abdulkader Aljandali and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-10-22 with Business & Economics categories.

This practical guide in Eviews is aimed at practitioners and students in business, economics, econometrics, and finance. It uses a step-by-step approach to equip readers with a toolkit that enables them to make the most of this widely used econometric analysis software. Statistical and econometrics concepts are explained visually with examples, problems, and solutions. Developed by economists, the Eviews statistical software package is used most commonly for time-series oriented econometric analysis. It allows users to quickly develop statistical relations from data and then use those relations to forecast future values of the data. The package provides convenient ways to enter or upload data series, create new series from existing ones, display and print series, carry out statistical analyses of relationships among series, and manipulate results and output. This highly hands-on resource includes more than 200 illustrative graphs and tables and tutorials throughout. Abdulkader Aljandali is Senior Lecturer at Coventry University in London. He is currently leading the Stochastic Finance Module taught as part of the Global Financial Trading MSc. His previously published work includes Exchange Rate Volatility in Emerging Markers, Quantitative Analysis, Multivariate Methods & Forecasting with IBM SPSS Statistics and Multivariate Methods and Forecasting with IBM® SPSS® Statistics. Dr Aljandali is an established member of the British Accounting and Finance Association and the Higher Education Academy. Motasam Tatahi is a specialist in the areas of Macroeconomics, Financial Economics, and Financial Econometrics at the European Business School, Regent’s University London, where he serves as Principal Lecturer and Dissertation Coordinator for the MSc in Global Banking and Finance at The European Business School-London.

Portfolio Theory And Capital Markets

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Author : William F. Sharpe
language : en
Publisher: McGraw-Hill Companies
Release Date : 2000

Portfolio Theory And Capital Markets written by William F. Sharpe and has been published by McGraw-Hill Companies this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Capital categories.

"Thirty years ago, Portfolio Theory and Capital Markets laid the groundwork for today's investment standards, from modern portfolio theory to derivatives, pricing and investment, equity index funds, and more. By providing invaluable insights into the Capital Asset Pricing Model (CAPM) and introducing such innovations as the Sharpe Ratio, Dr. William Sharpe established himself as one of the most influential financial minds of the twentieth century. Now, in Portfolio Theory and Capital Markets, The Original Edition, complete with a new foreword written by Dr. Sharpe, McGraw-Hill reintroduces this essential book - and places its lessons in a meaningful context for modern investors throughout the world."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved

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.

Popularity A Bridge Between Classical And Behavioral Finance

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Author : Roger G. Ibbotson
language : en
Publisher: CFA Institute Research Foundation
Release Date : 2018

Popularity A Bridge Between Classical And Behavioral Finance written by Roger G. Ibbotson and has been published by CFA Institute Research Foundation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Business & Economics categories.

Classical and behavioral finance are often seen as being at odds, but the idea of “popularity” has been introduced as a way of reconciling the two approaches. Investors like or dislike various characteristics of securities for rational reasons (as in classical finance) or irrational reasons (as in behavioral finance), which makes the assets popular or unpopular. In the capital markets, popular (unpopular) securities trade at prices that are higher (lower) than they would be otherwise; hence, the shares may provide lower (higher) expected returns.This book builds on this idea and expands it in two major ways. First, it introduces a rigorous asset pricing model, the popularity asset pricing model (PAPM), which adds investor preferences for security characteristics other than the risk and expected return that are part of the capital asset pricing model. A major conclusion of the PAPM is that the expected return of any security is a linear function of not only its systematic risk (beta) but also of all security characteristics that investors care about. The other major contribution of the book is new empirical work that, while confirming the well-known premiums (such as size, value, and liquidity) in a popularity context, supports the popularity hypothesis on the basis of portfolios of stocks based on such characteristics as brand value, sustainable competitive advantage, and reputation. Popularity unifies the factors that affect price in classical finance with those that drive price in behavioral finance, thus creating a unifying theory or bridge between classical and behavioral finance.

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.

Analytical Corporate Valuation

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Author : Pasquale De Luca
language : en
Publisher: Springer
Release Date : 2018-10-31

Analytical Corporate Valuation written by Pasquale De Luca and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-10-31 with Business & Economics categories.

This book integrates the models employed in the fundamental analysis of a company with the models used by investors in the capital markets to diversify risks and maximize expected returns. The underlying thesis is that the company creates value only if the return on capital invested exceeds the cost of capital, while the objective is to demonstrate how integration of the fields of corporate finance and asset pricing enables comprehensive and accurate company valuation. Companies can thrive only if they are able to create value for shareholders over time. A company’s value creation and the correct approach to its measurement require two main skills: first, the ability to analyze and evaluate the company’s fundamentals with respect to its business model and its performance over time; and second, knowledge of investors’ models with regard to risk diversification and return maximization from which the cost of capital for the firm is derived. Based on this perspective, the book combines rigorous quantitative analysis with effective use of graphics to aid intuitive understanding.

Financial Asset Pricing Theory

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Author : Claus Munk
language : en
Publisher: Oxford University Press
Release Date : 2013-04-18

Financial Asset Pricing Theory written by Claus Munk and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-18 with Business & Economics categories.

The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.