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Relevant bibliographies by topics / Capital Asset Pricing Model, CAPM

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Academic literature on the topic 'Capital Asset Pricing Model, CAPM'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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Journal articles on the topic "Capital Asset Pricing Model, CAPM"

1

Chen, James Ming. "The Capital Asset Pricing Model." Encyclopedia 1, no. 3 (2021): 915–33. http://dx.doi.org/10.3390/encyclopedia1030070.

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The capital asset pricing model (CAPM) is an influential paradigm in financial risk management. It formalizes mean-variance optimization of a risky portfolio given the presence of a risk-free investment such as short-term government bonds. The CAPM defines the price of financial assets according to the premium demanded by investors for bearing excess risk.

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CICIRETTI, ROCCO. "CAPITAL ASSET PRICING MODEL (CAPM)." BANKPEDIA REVIEW 4, no. 2 (2014): 21–25. http://dx.doi.org/10.14612/ciciretti_2_2014.

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Aderounmu, Busayo, and Olubusayo Oni. "The Predictive Power of Capital Asset Pricing Model and Consumption Capital Asset Pricing Model in Nigeria." Journal of Research and Innovation 2, no. 1 (2024): 13. http://dx.doi.org/10.59562/jorein.v2i1.60616.

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The examination of the predictive power of CAPM and CCAPM in determining risk premium in Nigeria between 1999-2014 shows that CAPM is statistically significant for all equities although the coefficient is relatively high. However, CCAPM was statistically not significant for all equities listed though the results was meaningful. This is in line with the findings of Mankiw and Shapiro (1986), Chen (2003) and Idolor (2012) where the authors’ findings did not support CCAPM but concluded that the superiority of CAPM is a puzzle. In conclusion Capital Asset Pricing Model produced a more meaningful a

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Takouachet, Rania. "Capital asset pricing model." Finance and Business Economies Review 4, no. 1 (2020): 165–89. http://dx.doi.org/10.58205/fber.v4i1.645.

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This study aims to identify the model of capital asset pricing (CAPM), which occupies a privileged positionin the stock market because it is one of the analysis tools that take into account the relationship betweenreturn and risk in securities and capital investments in general. Which is considered one of the mostimportant discoveries in the modern financial economy where despite the many criticisms of this model, thebasic model has simplicity, speed and ease. This feature has kept this model in use today and on a largescale by most specialists in the financial field.

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Hazny, Mohamad Hafiz, Haslifah Mohamad Hasim, and Aida Yuzy Yusof. "Mathematical modelling of a shariah-compliant capital asset pricing model." Journal of Islamic Accounting and Business Research 11, no. 1 (2020): 90–109. http://dx.doi.org/10.1108/jiabr-07-2016-0083.

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Purpose The capital asset pricing model (CAPM) is the most widely used asset pricing model that measures risk–return relationship. The CAPM is based on Markowitz’s mean variance analysis. The advancement of Islamic finance leads to the question whether or not the practice of modern investment theories and analyses such as the Markowitz’s mean variance analysis and CAPM are in accordance to shariah and could be used in pricing Islamic financial assets. Therefore, this paper aims to present a review of the CAPM and to discourse the set of assumptions underlying the model in terms of shariah comp

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Riaz, Amna, Nauman Riaz Chaudhry, Reema Choudhary, Mohsin Riaz, and Muhammad Suhail. "Capital Asset Pricing Model for the Stock Market in Pakistan." Qlantic Journal of Social Sciences 5, no. 2 (2024): 76–84. http://dx.doi.org/10.55737/qjss.139458386.

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The Capital Asset Pricing Model (CAPM), within modern financial theory, offers a theoretical framework for pricing assets with uncertain returns. CAPM assesses systematic risk and proposes a linear relationship between risk and expected returns for any asset. It serves as a potent tool for pricing risky assets. In this present study, the trade-off between risk-return was investigated within the framework of CAPM and its validity was tested on the daily returns of companies listed in the chemical, textile and food sectors of the Pakistan stock market during the period July 2004- Feb 2014. The r

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A, Sandhya, and Dr Ravichandra Reddy. "Capital Asset Pricing Model: Analysis, Flaws & Solutions." International Scientific Journal of Engineering and Management 03, no. 12 (2024): 1–6. https://doi.org/10.55041/ijsrem39490.

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In the ambit of earning from the investments in the capital market it always comes with risk component. Parallelly the risk element is influenced different factors and a model known as CAPM. CAPM developed by Sharpe (1964) and Lintner (1965), the CAPM suggests that only certain types of risk, particularly market-related risk, affect a company’s stock price. In this case, CAPM is taken as a measure to estimate the expected return on its shares based on its market beta and the risk-free rate. While CAPM remains a cornerstone in asset pricing and investment decisions. Despite CAPM’s continued rel

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Xie, Zhitao. "A Literature Study on the Capital Asset Pricing Model." BCP Business & Management 40 (March 8, 2023): 162–66. http://dx.doi.org/10.54691/bcpbm.v40i.4375.

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Capital Asset Pricing Model (CAPM) is an important theory in financial economics. It was based on Markowitz's Modern Asset Allocation Theory (MPT) and proposed by Sharpe. This model expresses the relationship between risk coefficient, asset return rate, and systematic risks by simple mathematical formulas. The model has four advantages, handling of risks when evaluating investment behavior, accuracy when estimating equity capital, relatively reliable and better than Weighted Average Cost of Capital (WACC) in investment evaluation. CAPM also has some weakness, consisting of variables and applic

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Balvers, Ronald J., and Dayong Huang. "Money and the C-CAPM." Journal of Financial and Quantitative Analysis 44, no. 2 (2009): 337–68. http://dx.doi.org/10.1017/s0022109009090176.

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AbstractWe consider asset pricing in a monetary economy where liquid assets are held to lower transaction costs. The ensuing model extends the capital asset pricing model (CAPM) and the consumption CAPM by deriving real money growth as an additional factor determining returns. Empirically, the two model versions compare favorably to other theoretical asset pricing models along several dimensions, supporting the traditional intertemporal asset pricing perspective. A value premium arises because value firms are sensitive to liquidity shocks but growth firms are not. Although no alternative facto

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Perold, André F. "The Capital Asset Pricing Model." Journal of Economic Perspectives 18, no. 3 (2004): 3–24. http://dx.doi.org/10.1257/0895330042162340.

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The Capital Asset Pricing Model (CAPM) revolutionized modern finance. Developed in the early 1960s by William Sharpe, Jack Treynor, John Lintner and Jan Mossin, the model provided the first coherent framework for relating the required return on an investment to the risk of that investment. This paper lays out the key ideas of the model, places its development in a historical context, and discusses its applications and enduring importance to the field of finance.

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Dissertations / Theses on the topic "Capital Asset Pricing Model, CAPM"

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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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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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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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Hower, Sascha. "Unternehmensbewertung mit dem Tax-CAPM: Fortschritt oder nicht pragmatische Komplexitätssteigerung? /." Aachen : Shaker, 2008. http://d-nb.info/99025903X/04.

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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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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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Höge, Christin. "Kapitalkosten zur Investitionsbewertung in der Energiewirtschaft." Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2014. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-152278.

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Die Wahl risikoadäquater Kapitalkosten ist Voraussetzung für eine Investitionsentscheidung im Interesse der Investoren. In der Energiewirtschaft wird die Ermittlung der Eigenkapitalkosten mit Hilfe des Capital Asset Pricing Models (CAPM) infolge fehlender Kapitalmarktdaten für Investitionen in regenerative Energien sowie durch die Existenz neuer Marktakteure mit eingeschränkter Risikostreuung allerdings mehr und mehr erschwert. Der vorliegende Beitrag beschreibt ein Forschungsvorhaben zur Entwicklung eines modellbasierten Ansatzes, der die veränderten Bedingungen durch den Wandel in der Energi

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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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Zhuang, Yuchen. "Risk, return and market condition: a new functional-beta capital asset pricing model." Thesis, Curtin University, 2009. http://hdl.handle.net/20.500.11937/78.

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In this research, we will focus on investigating the relationship between risk and return. We will propose a new model which leads to a more sensible approach to modelling the relationship between risk and return under different market conditions. It is an extension of the traditional single-index capital asset pricing model (CAPM) which reads as: The return R[subscript]i on individual Security i can be decomposed into the specific return α[subscript]I + ε[subscript]i (expected specific return α[subscript]i and random specific return ε[subscript]i) and the systematic return β[subscript]iR[subs

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Czekierda, Bartosz. "The Capital Asset Pricing ModelTest of the model on the Warsaw Stock Exchange." Thesis, Örebro universitet, Institutionen för ekonomi, statistik och informatik, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-4814.

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Since 1994 when the Warsaw Stock Exchange has been acknowledged as a full member of World Federation of Exchanges and became one of the fastest developing security markets in the region, it has been hard to find any studies relating to the assets price performance on this exchange. That is why I decided to write this paper in which the Nobel price winning theory namely the Capital Asset Pricing Model has been tested. The Capital Asset Pricing Model (or CAPM) is an equilibrium model which relates asset’s risk measured by beta to its returns. It states that in a competitive market the expected r

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Books on the topic "Capital Asset Pricing Model, CAPM"

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Lewellen, Jonathan. The conditional CAPM does not explain asset-pricing anomalies. National Bureau of Economic Research, 2003.

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Jagannathan, Ravi. Do we need CAPM for capital budgeting? National Bureau of Economic Research, 2002.

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Soufian, Nasreen. Empirical content of Capital Asset Pricing Model (CAPM) and Arbitage Pricing Theory (APT) across time. Business School, 2001.

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Soufian, Nasreen. Empirical content of capital asset pricing model (CAPM) and arbitrage pricing theory (APT) across time. Manchester Metropolitan University, Business School, 2001.

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MacKinlay, Archie Craig. Multifactor models do not explain deviations from the CAPM. National Bureau of Economic Research, 1994.

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Lettau, Martin. Resurrecting the (c)CAPM: A cross-sectional test when risk premia are time-varying. Federal Reserve Bank of New York, 1999.

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Bezares, Fernando Gómez. Gestión de carteras: Eficienca, teoria de cartera, CAPM, APT. 2nd ed. Editorial Desclée de Brouwer, 2000.

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Fernández, Viviana. The international CAPM and a wavelet-based decomposition of value at risk. National Bureau of Economic Research, 2006.

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Kadiyala, K. R. Estimation of standard errors of empirical Bayes estimators in CAPM-type models. Institute for Research in the Behavioral, Economic, and Management Sciences, Krannert Graduate School of Management, Purdue University, 1988.

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Dumas, Bernard. A test of the international CAPM using business cycles indicators as instrumental variables. National Bureau of Economic Research, 1994.

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Book chapters on the topic "Capital Asset Pricing Model, CAPM"

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Evstigneev, Igor V., Thorsten Hens, and Klaus Reiner Schenk-Hoppé. "Capital Asset Pricing Model (CAPM)." In Springer Texts in Business and Economics. Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-16571-4_7.

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Bhattacharya, Rajeev. "Capital Asset Pricing Model (CAPM)." In The Palgrave Encyclopedia of Strategic Management. Palgrave Macmillan UK, 2018. http://dx.doi.org/10.1057/978-1-137-00772-8_665.

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Aljandali, Abdulkader, and Motasam Tatahi. "Capital Asset Pricing Model (CAPM)." In Economic and Financial Modelling with EViews. Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-92985-9_12.

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Kolari, James W., and Seppo Pynnönen. "Capital Asset Pricing Model (CAPM)." In Investment Valuation and Asset Pricing. Springer International Publishing, 2023. http://dx.doi.org/10.1007/978-3-031-16784-3_3.

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Bhattacharya, Rajeev. "Capital Asset Pricing Model (CAPM)." In The Palgrave Encyclopedia of Strategic Management. Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/978-1-349-94848-2_665-1.

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Löffler, Andreas. "Das traditionelle CAPM." In Capital Asset Pricing Model mit Konsumtion. Deutscher Universitätsverlag, 1996. http://dx.doi.org/10.1007/978-3-663-08303-0_2.

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Hausmann, Wilfried, Kathrin Diener, and Joachim Käsler. "Das Capital Asset Pricing Model (CAPM)." In Derivate, Arbitrage und Portfolio-Selection. Vieweg+Teubner Verlag, 2002. http://dx.doi.org/10.1007/978-3-322-80223-1_2.

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Löffler, Andreas. "Das CAPM mit realer Konsumtion." In Capital Asset Pricing Model mit Konsumtion. Deutscher Universitätsverlag, 1996. http://dx.doi.org/10.1007/978-3-663-08303-0_3.

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Schierenbeck, Henner. "Capital Asset Pricing Model (CAPM) und Eigenkapitalkosten." In Ertragsorientiertes Bankmanagement. Gabler Verlag, 2002. http://dx.doi.org/10.1007/978-3-322-92155-0_3.

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Schierenbeck, Henner. "Capital Asset Pricing Model (CAPM) und Eigenkapitalkosten." In Ertragsorientiertes Bankmanagement. Gabler Verlag, 2005. http://dx.doi.org/10.1007/978-3-322-82944-3_3.

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Conference papers on the topic "Capital Asset Pricing Model, CAPM"

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KARTAWINATA, BUDI RUSTANDI, and ALDI AKBAR. "Investment decision analysis with capital asset pricing model (CAPM) of technology sector stocks on ASEAN regional stock exchanges." In International Conference on Medical Imaging, Electronic Imaging, Information Technologies, and Sensors (MIEITS 2025), edited by Kamal Jadidy Aval, Lazim Abdullah, and Samad Rashid. SPIE, 2025. https://doi.org/10.1117/12.3058313.

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Mosoiu, Ovidiu, Catalin Cioaca, and Ion Balaceanu. "USING THE CAPITAL ASSET PRICING MODEL IN INFORMATION SECURITY INVESTMENTS." In eLSE 2018. Carol I National Defence University Publishing House, 2018. http://dx.doi.org/10.12753/2066-026x-18-220.

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Interest in real option theory has intensified over the last decade due to the high uncertainty faced by some private and public organizations when deciding to make a strategic investment (competitive environment) or when faced with an external requirement of the organizational environment (ensuring security standards). Traditional methods of investment analysis define the existence of investment opportunity by net present value (NPV), ignoring the possibility that an investment will start from a certain moment in the future. In this way, it is not possible to capture the phenomenon in dynamic

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Gamonwet, Pasapong, and Charles O. P. Marpaung. "Electricity retail price in competitive market using the risk-adjusted capital asset pricing model (CAPM): A case of Thailand." In 2011 International Conference & Utility Exhibition on Power and Energy Systems: Issues and Prospects for Asia (ICUE). IEEE, 2011. http://dx.doi.org/10.1109/icuepes.2011.6497712.

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Kombarov, Sayan. "Action in Economics: Mathematical Derivation of Laws of Economics from the Principle of Least Action in Physics." In International Conference on Eurasian Economies. Eurasian Economists Association, 2021. http://dx.doi.org/10.36880/c13.02498.

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The thesis of this paper is mathematical formulation of the laws of Economics with application of the principle of Least Action of classical mechanics. This paper is proposed as the rigorous mathematical approach to Economics provided by the fundamental principle of the physical science – the Principle of Least Action. This approach introduces the principle of Action into main-stream economics and allows reconcile main principles Austrian School of Economics and the laws of market, such Say’s law and marginal value and interest rate theory, with the modern results of mathematical economics, su

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Li, Xinzhu. "Applicability Evaluation to Capital Asset Pricing Model." In 2012 National Conference on Information Technology and Computer Science. Atlantis Press, 2012. http://dx.doi.org/10.2991/citcs.2012.4.

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Li, Gang. "Idiosyncratic Volatility and the Intertemporal Capital Asset Pricing Model." In 10th International Conference on Modern Research in Management, Economics and Accounting. Acavent, 2020. http://dx.doi.org/10.33422/10th.mea.2020.03.56.

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Chen, Yu, Chaoyi She, Qinglin Wu, and Huang Wang. "The Ineffectiveness of Capital Asset Pricing Model and Its Possible Solutions." In 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022). Atlantis Press, 2022. http://dx.doi.org/10.2991/aebmr.k.220307.017.

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Wang, Zhen. "The Process of Test the Single-factor Capital Asset Pricing Model." In 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022). Atlantis Press, 2022. http://dx.doi.org/10.2991/aebmr.k.220307.338.

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Li, Yibo, and Yuyuan Gu. "The Applicability of Capital Asset Pricing Model in Shenzhen A-shares." In Proceedings of the 2nd International Conference on Mathematical Statistics and Economic Analysis, MSEA 2023, May 26–28, 2023, Nanjing, China. EAI, 2023. http://dx.doi.org/10.4108/eai.26-5-2023.2334337.

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Ledwith, Michael J. "An agent based modeling framework to evaluate the Capital Asset Pricing Model." In 2009 Systems and Information Engineering Design Symposium (SIEDS). IEEE, 2009. http://dx.doi.org/10.1109/sieds.2009.5166145.

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Reports on the topic "Capital Asset Pricing Model, CAPM"

1

Barberis, Nicholas, Robin Greenwood, Lawrence Jin, and Andrei Shleifer. X-CAPM: An Extrapolative Capital Asset Pricing Model. National Bureau of Economic Research, 2013. http://dx.doi.org/10.3386/w19189.

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Lo, Andrew, and Jiang Wang. Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model. National Bureau of Economic Research, 2001. http://dx.doi.org/10.3386/w8565.

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Giovannini, Alberto, and Philippe Weil. Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model. National Bureau of Economic Research, 1989. http://dx.doi.org/10.3386/w2824.

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