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Author: Iqbal Thonse Hawaldar Publisher: ISBN: Category : Languages : en Pages : 13
Book Description
Though it is commonly said that higher the risk higher would be the returns, the questions that remain are, what type of risks are awarded and what is risk premium per unit of risk. A few equilibrium asset-pricing models attempted to answer these questions. Out of these, Capital Asset Pricing Model (CAPM) is the most popular and widely used model. It was independently developed by Sharpe (1964), Lintner (1965), and Mossin (1966). Fama (1968), Black, Jensen and Scholes (1972), Fama and Mac Beth (1973), and Fama and French (1992) and others proposed further refinements. The CAPM provides a precise prediction of the relationship between the risk of an asset and its expected return. In the Indian stock market the empirical studies on CAPM showed mixed results. Roll's critique has attracted attention of many researchers and resulted in popular articles such as “Is Beta Dead?” “Is Beta Dead or Alive?” “Are Reports of Beta's Death Premature? “Is Beta Dead Again?” that effectively reduced the popularity of CAPM in the world of finance in 1992. The debate regarding superiority of Asset Pricing Theory (APT) to CAPM is continuing. The empirical testing of APT is still in its early stage and concrete results in favour of APT or against CAPM do not exist. Till then, CAPM is expected to dominate the capital market as a measure to ascertain expected returns of risky securities.
Author: Iqbal Thonse Hawaldar Publisher: ISBN: Category : Languages : en Pages : 13
Book Description
Though it is commonly said that higher the risk higher would be the returns, the questions that remain are, what type of risks are awarded and what is risk premium per unit of risk. A few equilibrium asset-pricing models attempted to answer these questions. Out of these, Capital Asset Pricing Model (CAPM) is the most popular and widely used model. It was independently developed by Sharpe (1964), Lintner (1965), and Mossin (1966). Fama (1968), Black, Jensen and Scholes (1972), Fama and Mac Beth (1973), and Fama and French (1992) and others proposed further refinements. The CAPM provides a precise prediction of the relationship between the risk of an asset and its expected return. In the Indian stock market the empirical studies on CAPM showed mixed results. Roll's critique has attracted attention of many researchers and resulted in popular articles such as “Is Beta Dead?” “Is Beta Dead or Alive?” “Are Reports of Beta's Death Premature? “Is Beta Dead Again?” that effectively reduced the popularity of CAPM in the world of finance in 1992. The debate regarding superiority of Asset Pricing Theory (APT) to CAPM is continuing. The empirical testing of APT is still in its early stage and concrete results in favour of APT or against CAPM do not exist. Till then, CAPM is expected to dominate the capital market as a measure to ascertain expected returns of risky securities.
Author: Haim Levy Publisher: Cambridge University Press ISBN: 1139503022 Category : Business & Economics Languages : en Pages : 457
Book Description
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.
Author: Cheng Few Lee Publisher: World Scientific ISBN: 9811202400 Category : Business & Economics Languages : en Pages : 5053
Book Description
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.
Author: James W. Kolari Publisher: Springer Nature ISBN: 3030651975 Category : Business & Economics Languages : en Pages : 326
Book Description
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.
Author: Abdulkader Aljandali Publisher: Springer ISBN: 3319929852 Category : Business & Economics Languages : en Pages : 293
Book Description
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.
Author: Don U. A. Galagedera Publisher: ISBN: Category : Languages : en Pages : 22
Book Description
This paper provides a review of the main features of asset pricing models. The review includes single-factor and multi-factor models, extended forms of the Capital Asset Pricing Model (CAPM) with higher-order co-moments and asset pricing models conditional on time varying volatility models.
Author: Costis Skiadas Publisher: Princeton University Press ISBN: 1400830141 Category : Business & Economics Languages : en Pages : 363
Book Description
Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises
Author: Nadine Pahl Publisher: GRIN Verlag ISBN: 3640298098 Category : Business & Economics Languages : en Pages : 37
Book Description
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.
Author: Iqbal Thonse Hawaldar
Author: Iqbal Thonse Hawaldar
Author: Haim Levy
Author: Cheng Few Lee
Author: James W. Kolari
Author: Roger G. Ibbotson
Author: Abdulkader Aljandali
Author: James Hirsch Lorie
Author: Don U. A. Galagedera
Author: Costis Skiadas
Author: Nadine Pahl