Comparative Intertemporal Tests of the Beta Stationarity Based on the Mean-semivariance and Mean-variance Capital Asset Pricing Models PDF Download

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Comparative Intertemporal Tests of the Beta Stationarity Based on the Mean-semivariance and Mean-variance Capital Asset Pricing Models

Comparative Intertemporal Tests of the Beta Stationarity Based on the Mean-semivariance and Mean-variance Capital Asset Pricing Models PDF Author: Mahmoud Mustafa Haddad
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 502

Book Description

Comparative Intertemporal Tests of the Beta Stationarity Based on the Mean-semivariance and Mean-variance Capital Asset Pricing Models

Comparative Intertemporal Tests of the Beta Stationarity Based on the Mean-semivariance and Mean-variance Capital Asset Pricing Models PDF Author: Mahmoud Mustafa Haddad
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 502

Book Description

Dissertation Abstracts International

Dissertation Abstracts International PDF Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 618

Book Description

American Doctoral Dissertations

American Doctoral Dissertations PDF Author:
Publisher:
ISBN:
Category : Dissertation abstracts
Languages : en
Pages : 574

Book Description

Comprehensive Dissertation Index

Comprehensive Dissertation Index PDF Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 978

Book Description

A Relative Value Based Correlations Test of the Mean Variance Capital Asset Pricing Model

A Relative Value Based Correlations Test of the Mean Variance Capital Asset Pricing Model PDF Author: Grauer, Robert R
Publisher: Burnaby, B.C. : Department of Economics and Commerce, Simon Fraser University
ISBN:
Category :
Languages : en
Pages : 34

Book Description

A Test of the Mean-variance Capital Asset Pricing Model Via the Invariance Law

A Test of the Mean-variance Capital Asset Pricing Model Via the Invariance Law PDF Author: Frederick Shen
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 120

Book Description

The Influence of Sample Size on the Dynamics of Beta Factors

The Influence of Sample Size on the Dynamics of Beta Factors PDF Author: Kevin Rink
Publisher: GRIN Verlag
ISBN: 3640591712
Category : Business & Economics
Languages : en
Pages : 27

Book Description
Seminar paper from the year 2008 in the subject Business economics - Business Management, Corporate Governance, grade: 1,2, European Business School - International University Schloß Reichartshausen Oestrich-Winkel, language: English, abstract: The capital asset pricing model (CAPM) was introduced by William Sharpe, John Lintner, and Jan Mossin in the 1960s on the basis of Harry Markowitz’s achievements in the field of portfolio theory. Since then, the CAPM has been one of the most widely used models for evaluating the price of portfolio assets. A major element of the CAPM is the beta factor. The beta factor measures how the expected return of a stock or a portfolio correlates with the return of the whole market. (...) Obviously, the fluctuation of a stock does affect beta factors. As the value of beta is decisive for the portfolio selection process, it is necessary to provide the CAPM with a beta that represents the best possible estimate of correlation with the market. On account of this, the calculation of beta factors is complex as betas will vary over time. In addition, sample size variation can cause change within the beta. (...) The aim of this seminar paper is to show the influence of the sample size on the beta factor. Furthermore, it shall attempt to define the determinants of an ideal sample size.

Minimum-variance Kernels, Economic Risk Premia, and Tests of Multi-beta Models

Minimum-variance Kernels, Economic Risk Premia, and Tests of Multi-beta Models PDF Author: Pierluigi Balduzzi
Publisher:
ISBN:
Category : Kernel functions
Languages : en
Pages : 48

Book Description

CAPM

CAPM PDF Author: James W. Kolari
Publisher:
ISBN:
Category :
Languages : en
Pages : 47

Book Description
Due to a lack of supporting evidence, market beta in the widely-acclaimed Capital Asset Pricing Model (CAPM) is considered dead nowadays. In this paper we propose a novel approach for estimating market beta using the traditional market model. Upon deriving a covariance adjustment term, we specify a so-called observed market beta for each asset. We show that observed market beta can be approximated from information contained in the market model, including the estimated market beta, variance of market index returns, and residual error variance. Based on historical U.S. stock returns, different test assets, and standard cross-sectional tests, we find that observed market beta is significantly priced in the cross section of average stock returns with no pricing error. Similar to the findings of other researchers, evidence does not support the traditional market beta. We conclude that observed market beta provides renewed empirical support for CAPM theory.

Tests of the Capital Asset Pricing Model Focusing on Mean Variance Efficiency and the Security Market Line

Tests of the Capital Asset Pricing Model Focusing on Mean Variance Efficiency and the Security Market Line PDF Author: Grauer, Robert R
Publisher: Burnaby, B.C. : Department of Economics and Commerce, Simon Fraser University
ISBN:
Category :
Languages : en
Pages : 42

Book Description

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