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Author: Jason Chang Publisher: LAP Lambert Academic Publishing ISBN: 9783846549964 Category : Capital assets pricing model Languages : en Pages : 72
Book Description
One of the most popular and widely accepted financial valuation models is the Capital Asset Pricing Model (CAPM). This model intuitively takes relative risk into pricing a financial asset. Since Sharpe first developed the CAPM in 1964, the return on the Standard and Poor's 500 (S&P 500) market index has been used as the proxy for the market return. This proxy has not been updated to reflect the globalization of finance and the growth of global stock markets relative to domestic markets. The market proxy is one of the most important factors, if not the most important factor in measuring relative risk. This book examines a potentially more appropriate global index, the Standard and Poor's Global 1200. Although the S&P 500 captures globalization to a certain extent due to the global nature of the domestic companies included in the index, the S&P Global 1200 index is a broader global index and may now be more suitable given the increased globalization the world economy has experienced in recent decades.
Author: Jason Chang Publisher: LAP Lambert Academic Publishing ISBN: 9783846549964 Category : Capital assets pricing model Languages : en Pages : 72
Book Description
One of the most popular and widely accepted financial valuation models is the Capital Asset Pricing Model (CAPM). This model intuitively takes relative risk into pricing a financial asset. Since Sharpe first developed the CAPM in 1964, the return on the Standard and Poor's 500 (S&P 500) market index has been used as the proxy for the market return. This proxy has not been updated to reflect the globalization of finance and the growth of global stock markets relative to domestic markets. The market proxy is one of the most important factors, if not the most important factor in measuring relative risk. This book examines a potentially more appropriate global index, the Standard and Poor's Global 1200. Although the S&P 500 captures globalization to a certain extent due to the global nature of the domestic companies included in the index, the S&P Global 1200 index is a broader global index and may now be more suitable given the increased globalization the world economy has experienced in recent decades.
Author: Daniel Loskamp Publisher: GRIN Verlag ISBN: 3638677435 Category : Business & Economics Languages : en Pages : 72
Book Description
Seminar paper from the year 2005 in the subject Business economics - Investment and Finance, grade: 1,3, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, course: Asset Management Seminar, 34 entries in the bibliography, language: English, abstract: Although the model is widely accepted and practically used as explained above, it is nevertheless far from being perfect as outlined in its record of empirical studies.9 Generally criticized is on the one hand that the underlying assumptions of the model are very theoretical and thus not able to illustrate reality and on the other one that there are problems in implementing well-founded tests of the model relating to the choice of the right market portfolio.10 But, the success of the CAPM will remain as long as there is no other model which offers as " ...] powerful and intuitively pleasing predictions about how to measure risk and the relation between risk and return."11 The objective of this study is to empirically test the CAPM on the German stock market. Since most of the empirical studies that have been made in the past focus on the U.S. stock market, this paper will try to find out if the results of these U.S. empirical studies can also be shown on the German stock market. Therefore, the goal of this paper is to analyze the relationship between risk and return on the German stock market to find out whether the CAPM holds.
Author: Evelina M. Tainer Publisher: John Wiley & Sons ISBN: 0471785237 Category : Business & Economics Languages : en Pages : 352
Book Description
"A virtual bible of how economic indicators are constructed andused. Important tidbits of history are mixed with present-daynuances to explain why we should care about all the economicindicators." ?Allen Grommet, Senior Economist, Cambridge Consumer Credit Index "This book is an indispensable resource for anyone that wants apractical understanding of the economy and how it is measured. Theinformation is clear, concise, and will help investors at alllevels leverage the vast amount of economic data available." ?Jesse Harriott, PhD, Vice President of Research, MonsterWorldwide, Inc. This updated guide to economic indicators -- what they are andwhat they really mean -- covers all major economic indicators, fromGDP to the consumer price index. You'll not only learn what keyeconomic measurements are and how to read and interpret them,you'll discover how to use them to make better, more-informedfinancial, trading, and investing decisions.
Author: Mohammad Sharifzadeh Publisher: Universal-Publishers ISBN: 1599423758 Category : Languages : en Pages : 180
Book Description
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.
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: Fatima Khushnud Publisher: ISBN: Category : Languages : en Pages : 63
Book Description
Are recent asset pricing tests informative as they seem? The critiques of Roll and, more recently, of Berk are well known, though they have not been raised much in the asset pricing literature over the last 15 years. We explore this question using two sources of expected returns, realised returns and IBES target price based analyst target return, within a Fama and French (1993) time series framework. We find (1) results are sensitive to expected return proxy choice. In particular, tests are sensitive to the way that proxies for market portfolio, size and value are constructed and (2) intercept estimates suggest that some of the more important asset pricing models do not fit the annual data used in this study particularly well. The sample includes US firms over a 10-year period from 2002 to 2012.
Author: Wayne Ferson Publisher: MIT Press ISBN: 0262039370 Category : Business & Economics Languages : en Pages : 497
Book Description
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author: Jason Chang
Author: Jason Chang
Author: Sendy Chan
Author: Daniel Loskamp
Author: Evelina M. Tainer
Author: Mohammad Sharifzadeh
Author: Diana R. Harrington
Author: Costis Skiadas
Author: Fatima Khushnud
Author: Robert A. Korajczyk
Author: Wayne Ferson