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Dissertationen zum Thema „Capital assets pricing model“

Autor: Grafiati

Veröffentlicht am 4. Juni 2021

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1

Luo, Dan, and 罗丹. "Two essays on asset pricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48199357.

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This thesis centers around the pricing and risk-return tradeoff of credit and equity derivatives. The first essay studies the pricing in the CDS Index (CDX) tranche market, and whether these instruments have been reasonably priced and integrated within the financial market generally, both before and during the financial crisis. We first design a procedure to value CDO tranches using an intensity-based model which falls into the affine model class. The CDX tranche spreads are efficiently explained by a three-factor version of this model, before and during the crisis period. We then const

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2

Jordan-Wagner, James M. (James Michael). "Arbitrage Pricing Theory and the Capital Asset Pricing Model: Evidence from the Eurodollar Bond Market." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc330578/.

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Monthly returns on twenty-seven Eurobonds from July 1982 to June 1986 were examined. There were no consistent differences in returns based on the country in which a firm is located. There were consistent differences due to industry classification, with energy-related firms exhibiting higher average returns and variances. Excess returns were calculated using the capital asset pricing model and arbitrage pricing theory. The results from calculation of mean average deviation, root mean square, and R2 all indicate that the arbitrage pricing theory was a better descriptor of the Eurobond market.

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3

Sekeris, Evangelos. "Information and learning in asset pricing." Diss., Restricted to subscribing institutions, 2007. http://proquest.umi.com/pqdweb?did=1320955391&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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4

Lee, Kuan-Hui. "Liquidity risk and asset pricing." Columbus, Ohio : Ohio State University, 2006. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1155146069.

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5

Janse, Van Rensburg S. "Modelling of size-based portfolios using a mixture of normal distributions." Thesis, Nelson Mandela Metropolitan University, 2009. http://hdl.handle.net/10948/985.

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From option pricing using the Black and Scholes model, to determining the signi cance of regression coe cients in a capital asset pricing model (CAPM), the assumption of normality was pervasive throughout the eld of nance. This was despite evidence that nancial returns were non-normal, skewed and heavy- tailed. In addition to non-normality, there remained questions about the e ect of rm size on returns. Studies examining these di erences were limited to ex- amining the mean return, with respect to an asset pricing model, and did not consider higher moments. Janse van Rensburg, Sharp and Friski

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6

Emeny, Matthew. "The book-to-market effect and the behaviour of stock returns in the Australian equity market." Title page, contents and abstract only, 1998. http://web4.library.adelaide.edu.au/theses/09ECM/09ecme533.pdf.

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"August 1998" Bibliography: leaves 74-78. The relationship between the returns to a stock, and ratio of book equity to market equity of the firm, are tested for the Australian stock market, and statistically significant evidence is found in support if the :book to market effect". Several tests are performed to determine whether this return premium is the result of additional risk or market inefficiency. No evidence is found to suggest that high book-to-market stocks are associated with additional risk, and only weak evidence is found to suggest that return premium is a result of investor over-

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7

Kam, Wai-hung Simon. "Capital asset pricing model : is it relevant in Hong Kong /." [Hong Kong : University of Hong Kong], 1993. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13570456.

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8

Zhou, Yi. "Leverage, asset pricing and its implications." Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1692099801&sid=19&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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9

Kam, Wai-hung Simon, and 甘偉雄. "Capital asset pricing model: is it relevant in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B31265686.

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10

Davies, Philip R. "Empirical tests of asset pricing models." Columbus, Ohio : Ohio State University, 2007. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1184592627.

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11

Suh, Daniel. "Stock returns, risk factor loadings, and model predictions a test of the CAPM and the Fama-French 3-factor model /." Morgantown, W. Va. : [West Virginia University Libraries], 2009. http://hdl.handle.net/10450/10744.

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Thesis (Ph. D.)--West Virginia University, 2009.<br>Title from document title page. Document formatted into pages; contains x, 146 p. : col. ill. Includes abstract. Includes bibliographical references.

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12

Lin, Chien-Hsiu. "Asset pricing in the Asian emerging markets." Diss., Restricted to subscribing institutions, 2007. http://proquest.umi.com/pqdweb?did=1432786771&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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13

Sakouvogui, Kekoura. "Robust Capital Asset Pricing Model Estimation through Cross-Validation." Thesis, North Dakota State University, 2018. https://hdl.handle.net/10365/29019.

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Limitations of Capital Asset Pricing Model (CAPM) continue to present inconsistent empirical results despite its rm mathematical foundations provided in recent studies. In this thesis, we examine how estimation errors of the CAPM could be minimized using the cross-validation technique, a concept that is widely applied in machine learning (CV-CAPM). We apply our approach to test the assumption of CAPM as a well-diversified portfolio model with data from S&P500 and Dow Jones Industrial Average (DJIA). Our results from the CV-CAPM validate that both S&P500 and DJIA are well-diversified market in

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14

Hadjieftychiou, Aristarchos. "The CAPM approach to materiality." Thesis, This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-12172008-063723/.

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15

Zhao, Huimin, and 趙慧敏. "Two essays on asset pricing and options market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B41508397.

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16

Zhao, Huimin. "Two essays on asset pricing and options market." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/B41508397.

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17

Fu, Jun, and 付君. "Asset pricing, hedging and portfolio optimization." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48199345.

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Starting from the most famous Black-Scholes model for the underlying asset price, there has been a large variety of extensions made in recent decades. One main strand is about the models which allow a jump component in the asset price. The first topic of this thesis is about the study of jump risk premium by an equilibrium approach. Different from others, this work provides a more general result by modeling the underlying asset price as the ordinary exponential of a L?vy process. For any given asset price process, the equity premium, pricing kernel and an equilibrium option pricing for

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18

Li, Ya. "An empirical analysis of factor seasonalities." HKBU Institutional Repository, 2017. https://repository.hkbu.edu.hk/etd_oa/421.

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I establish the existence of seasonality in 42 popular risk factors in the asset pricing literature. I document extensive empirical evidence for the Keloharju et al. (2016) hypothesis that seasonalities in individual asset returns stem from their exposures to risk factors. It is the seasonal patterns in risk factors that lead to the seasonalities in individual asset portfolios. The empirical findings show that seasonalities are widely present among individual asset portfolios. However, both the all-factor model and the Fama-French (2014) five-factor model demonstrate that these patterns greatl

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19

Yoon, Jai-Hyung. "Four essays on international real business cycle and asset pricing models." Monash University, Dept. of Accounting and Finance, 2002. http://arrow.monash.edu.au/hdl/1959.1/8520.

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20

Tam, Kwok-Leung Yves. "Pricing risk for nonnormal processes and conditional higher-order moments /." free to MU campus, to others for purchase, 1997. http://wwwlib.umi.com/cr/mo/fullcit?p9842570.

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21

Peleg, Ehud. "Three essays on asset pricing, portfolio choice and behavioral finance." Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1722324081&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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22

Chu, Kai-cheung, and 朱啟祥. "The effects of mean reversion on dynamic corporate finance and asset pricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B47752762.

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This thesis aims to investigate the effects of mean reversion on dynamic corporate finance decisions and stock pricing. In Chapter 1, a continuous-time real option model of mature firm that produces product with exogenous mean reverting price is developed to study the firm’s optimal exit and leverage policies. Simulation results show that both liquidation and bankruptcy triggers are negatively related to the long run price levels, while the speed of mean reversion interacts with the long run price level to affect the firm’s exit decisions in two opposite directions depending on the l

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23

Lam, Kenneth. "Is the Fama-French three-factor model better than the CAPM? /." Burnaby B.C. : Simon Fraser University, 2005. http://ir.lib.sfu.ca/handle/1892/2094.

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24

LEGGETT, DAVID NEAL. "INCOME TAXES AND CAPITAL ASSET PRICING THEORY: SOME EMPIRICAL EVIDENCE." Diss., The University of Arizona, 1985. http://hdl.handle.net/10150/187910.

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Capital asset pricing theory assumes a no-tax, after-tax efficiency equivalence; ie., that the efficient information produced in a no-tax analysis is equivalent to that which is produced in an after-tax analysis. However, if the effect of income taxes is not systematic throughout the market, the useful application of the theory may be impaired by this assumption. This research seeks to determine the effect of income tax imposition on the risk-return expectations or individual investors. If the effect of income tax imposition is to produce non-homogeneous after-tax investor risk-return expectat

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25

Zheng, Xiaohong. "Two essays on empirical asset pricing /." View abstract or full-text, 2007. http://library.ust.hk/cgi/db/thesis.pl?FINA%202007%20ZHENG.

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26

Hamada, Mahmoud Actuarial Studies Australian School of Business UNSW. "Dynamic portfolio optimization & asset pricing : Martingale methods and probability distortion functions." Awarded by:University of New South Wales. School of Actuarial Studies, 2001. http://handle.unsw.edu.au/1959.4/18232.

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This dissertation consist of three contributions to financial and insurance mathematics. The first part considers numerical methods for dynamic portfolio optimisation in the expected utility model. The aim is to compare the risk-neutral computational approach (RNCA) also known as the martingale approach to stochastic dynamic programming (SDP) in a discrete-time setting. The main idea of the RNCA is to use the completeness and the arbitrage free properties of the market to compute the optimal consumption rules and then determine the trading strategy that finance this optimal consumption. In co

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27

Majerbi, Basma. "Essays in international asset pricing and foreign exchange risk." Thesis, McGill University, 2003. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=84526.

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The purpose of this thesis is to provide new evidence on the pricing of foreign exchange risk in the stock market by testing international asset pricing models (IAPMs) under varying market structures and different exchange rate measures. It is composed of three essays. In the first essay, I test unconditional asset pricing models with exchange risk using country, portfolio and firm level data from nine emerging markets (EMs). It is shown that unlike the case for developed markets where unconditional tests often fail to detect a significant exchange risk premium in stock returns, exchang

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28

Zhang, Qianwen. "What kind of asset pricing model works in emerging markets? a case study for the Chinese stock markets /." online access from Digital Dissertation Consortium, 2007. http://libweb.cityu.edu.hk/cgi-bin/er/db/ddcdiss.pl?MR26886.

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29

Farnsworth, Heber K. "Evaluating stochastic discount factors from term structure models /." Thesis, Connect to this title online; UW restricted, 1997. http://hdl.handle.net/1773/8786.

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30

Laurente, García María Marisol, and Villalobos Leyla del Milagro Saldaña. "Controversia del CAPM con relación al riesgo y rentabilidad de activos financieros frente a otros modelos alternativos y derivados." Bachelor's thesis, Universidad Peruana de Ciencias Aplicadas (UPC), 2019. http://hdl.handle.net/10757/628015.

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El presente trabajo tiene como objetivo analizar el uso y aplicación del modelo de valoración de activos de capital, CAPM, como herramienta de planificación y evaluación financiera, comparándolo con otros modelos alternativos. El CAPM propone una relación entre el riesgo y rendimiento de un activo. El riesgo está representado por el coeficiente beta, que mide la sensibilidad del instrumento financiero en relación con el riesgo sistemático, ya sea en un portafolio de activos o en la valoración de una empresa. Debido a que existen críticas sobre la validez del CAPM, en este estudio se busc

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31

Chaieb, Ines. "Essays on international asset pricing under segmentation and PPP deviations." Thesis, McGill University, 2006. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=102485.

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This dissertation comprises two essays. The first essay develops and tests a theoretical model that provides new insights when markets are partially segmented and the purchasing power parity (PPP) is violated which seems to be the case for the majority of national markets. The theoretical part derives closed form solutions for asset prices and portfolio holdings. Particularly, we show that deviations from PPP in mildly segmented markets induce a new form of systematic risk, termed segflation risk, and in equilibrium investors require compensation for this risk. A strong feature of the model is

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32

Cheng, Enoch. "Connections between no-arbitrage and the continuous time mean-variance framework." Diss., Restricted to subscribing institutions, 2009. http://proquest.umi.com/pqdweb?did=1836268281&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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33

Morscheck, Justin David. "Overreaction in trading : evidence from the intraday trading of SPDRs /." abstract and full text PDF (UNR users only), 2008. http://0-gateway.proquest.com.innopac.library.unr.edu/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:1461538.

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Thesis (M.S.)--University of Nevada, Reno, 2008.<br>"December, 2008." Includes bibliographical references (leaves 23-24). Library also has microfilm. Ann Arbor, Mich. : ProQuest Information and Learning Company, [2009]. 1 microfilm reel ; 35 mm. Online version available on the World Wide Web.

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34

Užik, Martin. "Berücksichtigung der Informationsunsicherheitsprämie im Capital Asset Pricing Model /." Lohmar ; Köln : Eul, 2004. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=012826721&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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35

Cândido, Maria Teresa. "Financial market liquidity, asset pricing, and financial crises /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1998. http://wwwlib.umi.com/cr/ucsd/fullcit?p9914068.

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36

Yuen, Moon-chuen. "An empirical test of the arbitrage pricing theory in the Hong Kong stock market /." [Hong Kong : University of Hong Kong], 1985. http://sunzi.lib.hku.hk/hkuto/record.jsp?B12317664.

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37

Limkriangkrai, Manapon. "An empirical investigation of asset-pricing models in Australia." University of Western Australia. Faculty of Business, 2007. http://theses.library.uwa.edu.au/adt-WU2007.0197.

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[Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton?s zero-intercept criterion for a well-specified pricing model. This study instead documents th

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38

Spurway, Kayleigh Fay Nanette. "A study of the Consumption Capital Asset Pricing Model's appilcability across four countries." Thesis, Rhodes University, 2014. http://hdl.handle.net/10962/d1013016.

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Historically, the Consumption Capital Asset Pricing Method (C-CAPM) has performed poorly in that estimated parameters are implausible, model restrictions are often rejected and inferences appear to be very sensitive to the choice of economic agents' preferences. In this study, we estimate and test the C-CAPM with Constant Relative Risk Aversion (CRRA) using time series data from Germany, South Africa, Britain and America during relatively short time periods with the latest available data sets. Hansen's GMM approach is applied to estimate the parameters arising from this model. In general, esti

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39

Carter, Bradley. "Capital asset pricing model (CAPM) applicability in the South African context and alternative pricing models." Diss., University of Pretoria, 2015. http://hdl.handle.net/2263/52363.

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The ability to accurately price equity is an ineluctable requirement within businesses where decisions need to be taken daily that impact upon the future viability of that business. The Capital asset pricing model (CAPM) is the preeminent tool that has become entrenched within academia and business for exactly the purpose of costing equity capital. This study aimed to prove whether the application of the CAPM, in various forms, including the Black s CAPM, was merely a myopic inculcation of the academic and business spheres, or whether it truly reflected the empirical reality of the South Afr

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40

Sagi, Jacob S. "Partial ordering of risky choices : anchoring, preference for flexibility and applications to asset pricing." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0019/NQ56611.pdf.

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41

Galagedera, Don U. A. "Investment performance appraisal and asset pricing models." Monash University, Dept. of Econometrics and Business Statistics, 2003. http://arrow.monash.edu.au/hdl/1959.1/5780.

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42

Bailer, Heiko Manfred. "Robust estimation of factor models in finance /." Thesis, Connect to this title online; UW restricted, 2005. http://hdl.handle.net/1773/8985.

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43

Guo, Xu. "Fractional differential equations for modelling financial processes with jumps." HKBU Institutional Repository, 2015. https://repository.hkbu.edu.hk/etd_oa/192.

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The standard Black-Scholes model is under the assumption of geometric Brownian motion, and the log-returns for Black-Scholes model are independent and Gaussian. However, most of the recent literature on the statistical properties of the log-returns makes this hypothesis not always consistent. One of the ongoing research topics is to nd a better nancial pricing model instead of the Black-Scholes model. In the present work, we concentrate on two typical 1-D option pricing models under the general exponential L evy processes, namely the nite moment log-stable (FMLS) model and the the Carr-Gema

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44

Yuen, Moon-chuen, and 袁滿泉. "An empirical test of the arbitrage pricing theory in the Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1985. http://hub.hku.hk/bib/B31263513.

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45

Elshqirat, Mohammad Kamel. "Multifactor Capital Asset Pricing Model in the Jordanian Stock Market." ScholarWorks, 2018. https://scholarworks.waldenu.edu/dissertations/5186.

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A valid and accurate capital asset pricing model (CAPM) may help investors and mutual funds managers in determining expected returns and thus, may increase profits which can be reflected on the community resources. The problem is that the traditional CAPM does not accurately predict the expected rate of return. A more accurate model is needed to help investors in determining the intrinsic price of the financial asset they want to sell or buy. The purpose of this study was to examine the validity of the single-factor CAPM and then develop and test the validity of a multifactor CAPM in the Jorda

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46

Hotz, Pirmin. "Das capital asset pricing model und die Markteffizienzhypothese unter besonderer Berücksichtigung der empirisch beobachteten "Anomalien" in den amerikanischen und anderen internationalen Aktienmärkten /." [S.l.] : [s.n.], 1989. http://aleph.unisg.ch/hsgscan/hm00150730.pdf.

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47

Asalya, Dawoud, and Awais Shah. "Testing the Capital Asset Pricing Model on the Karachi Stock Exchange." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-21617.

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48

Bjorheim, Jacob. "The epistemological value of the consumption based capital asset pricing model." Thesis, London School of Economics and Political Science (University of London), 2014. http://etheses.lse.ac.uk/939/.

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The thesis is a philosophical analysis of the consumption based capital asset pricing model (CCAPM), investigating in particular its epistemological and methodological foundations. Financial markets are integral parts of advanced and developing economies. They matter because they channel unspent household income into banks’ savings accounts and assets such as bonds and stocks. Financial economists have traditionally taken interest in the pricing mechanism that underlies this capital allocation. The consumption based capital asset pricing model (CCAPM) is a prominent effort to describe, explain

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49

Messner, Bryce Jaden. "Investing in United States Farmland: A Capital Asset Pricing Model Analysis." Thesis, North Dakota State University, 2019. https://hdl.handle.net/10365/31635.

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This study examines the risk and returns to owning United States farmland. State, regional, and national farmland returns from 1998 to 2018 are analyzed via the capital asset pricing model. Results show that farmland may be an effective route of investment portfolio diversification due to its favorable returns and low correlation with other commonly held assets. This study’s findings are generally consistent with similar research conducted in the past.

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50

Tymoigne, Eric Wray L. Randall. "Central banking, asset prices, and financial fragility what role for a central bank? /." Diss., UMK access, 2006.

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Thesis (Ph. D.)--Dept. of Economics and Social Sciences Consortium. University of Missouri--Kansas City, 2006.<br>"A dissertation in economics and social sciences." Advisor: L. Randall Wray. Typescript. Vita. Title from "catalog record" of the print edition Description based on contents viewed Dec. 19, 2007. Includes bibliographical references (leaves 422-452). Online version of the print edition.

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