Relevant bibliographies by topics / Capital assets pricing model

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Capital assets pricing model'

Author: Grafiati
Published: 4 June 2021
Last updated: 25 July 2025

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Journal articles on the topic "Capital assets pricing model"

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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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Jiao, Dian. "Application of Deep Learning Method to Capital Assets Pricing." Highlights in Business, Economics and Management 3 (January 20, 2023): 136–39. http://dx.doi.org/10.54097/hbem.v3i.4713.

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The key problem of financial assets allocation is the price of assets. Assets pricing is the core content of Modern Finance, and revealing the law of assets pricing is always a hot spot of finance research. In recent years, deep learning technology has been applied in the research process of assets pricing and achieved good effect. This paper introduced the theory and characteristics of deep learning, started from extracting and utilizing nonlinear information, effectively processing time series data, and intellectual prediction model, and explored the application of deep learning method in th
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He, Zhiguo, and Arvind Krishnamurthy. "Intermediary Asset Pricing." American Economic Review 103, no. 2 (2013): 732–70. http://dx.doi.org/10.1257/aer.103.2.732.

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We model the dynamics of risk premia during crises in asset markets where the marginal investor is a financial intermediary. Intermediaries face an equity capital constraint. Risk premia rise when the constraint binds, reflecting the capital scarcity. The calibrated model matches the nonlinearity of risk premia during crises and the speed of reversion in risk premia from a crisis back to precrisis levels. We evaluate the effect of three government policies: reducing intermediaries borrowing costs, injecting equity capital, and purchasing distressed assets. Injecting equity capital is particula
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Yao, Wenjing, and Bin Mei. "Assessing forestry-related assets with the intertemporal capital asset pricing model." Forest Policy and Economics 50 (January 2015): 192–99. http://dx.doi.org/10.1016/j.forpol.2014.06.006.

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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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Ye, Jialin. "Intangible Capital, Investor Structure and Stock Return from the Perspective of RBV." Advances in Economics, Management and Political Sciences 72, no. 1 (2024): 139–47. http://dx.doi.org/10.54254/2754-1169/72/20240693.

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The current research suggests the presence of asset mispricing by indicating that stock prices may not necessarily reflect underlying fundamentals. Additionally, prior studies often underestimate the importance and overlook contributions from resources to the returns. In this article, we propose the effect of intangible assets into asset pricing in the context of varying investor sentiment and long-term investment horizon. Drawing from the recourse-based view of intangible assets within firms, we can better assess a firms growth and stock returns. We conclude that the Capital Asset Pricing Mod
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Григорий Георгиевич, Сидоренко, Сидоренко Олег Георгиевич, and Термосесов Дмитрий Сергеевич. "STOCK MARKET PRICING: CAPITAL ASSET RETURNS MODEL (CAPM) AND FAMA-FRENCH MODEL." STATE AND MUNICIPAL MANAGEMENT SCHOLAR NOTES 1, no. 2 (2022): 135–41. http://dx.doi.org/10.22394/2079-1690-2022-1-2-135-141.

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. Subject / topic: This article examines the issues of pricing in the stock market in order to help institutional investors to preserve their own capital and increase it based on the study of capital asset return models (CAPM) and Fama-French model. The tasks of collecting the necessary statistical data, analyzing them, as well as applying the model to assess various assets and analyzing the accuracy of their application have been solved. The use of this model makes it possible to reliably predict the prices of assets on the stock market, however, it does not guarantee 100% accuracy, and there
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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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Naqvi, Hassan. "On the validity of the Capital Asset Pricing Model." LAHORE JOURNAL OF ECONOMICS 5, no. 1 (2000): 73–92. http://dx.doi.org/10.35536/lje.2000.v5.i1.a4.

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One of the most important developments of modern finance is the Capital Asset Pricing Model (CAPM) of Sharpe, Lintner and Mossin. Although the model has been the subject of several academic papers, it is still exposed to theoretical and empirical criticisms. The CAPM is based on Markowitz’s (1959) mean variance analysis. Markowitz demonstrated that rational investors would hold assets, which offer the highest possible return for a given level of risk, or conversely assets with the minimum level of risk for a specific level of return.
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Johnston, Mark. "Extension of the Capital Asset Pricing Model to Non-normal Dependence Structures." ASTIN Bulletin 37, no. 01 (2007): 35–52. http://dx.doi.org/10.2143/ast.37.1.2020797.

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The Capital Asset Pricing Model arises in an economy where agents have exponential utility functions and aggregate consumption is normally distributed, and gives the prices of assets with payoffs which are jointly normal with consumption. Such assets have normal marginal distributions and have dependence with consumption characterised by a normal copula. Wang has derived a transform which extends the CAPM by allowing pricing of assets in such an economy which have non-normal marginal distributions but still are normal-copula with consumption.Here we set out the stochastic discount factors corr
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Dissertations / Theses on the topic "Capital assets pricing model"

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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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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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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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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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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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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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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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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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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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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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Books on the topic "Capital assets pricing model"

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Levy, Haim. The capital asset pricing model in the 21st century: Analytical, empirical, and behavioral perspectives. Cambridge University Press, 2012.

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Jianping, Mei, and Liao Hsien-hsing, eds. Asset pricing. World Scientific, 2003.

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Ma, Chenghu. Advanced asset pricing theory. Imperial College Press, 2011.

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

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Balduzzi, Pierluigi. Asset-pricing models and economic risk premia. Federal Reserve Bank of Atlanta, 2005.

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Bernd, Meyer. Intertemporal asset pricing: Evidence from Germany. Physica-Verlag, 1999.

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Schulz, Paul E. Financial asset pricing: Theory, global policy and dynamics. Nova Science Publishers, 2010.

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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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Chabi-Yo, Fousseni. Conditioning information and variance bounds on pricing kernels with higher-order moments: Theory and evidence. Bank of Canada, 2006.

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Cochrane, John H. A rehabilitation of stochastic discount factor methodology. National Bureau of Economic Research, 2001.

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Book chapters on the topic "Capital assets pricing model"

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Severini, Thomas A. "Capital Asset Pricing Model." In Introduction to Statistical Methods for Financial Models. Chapman and Hall/CRC, 2017. http://dx.doi.org/10.1201/b21962-7.

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De Luca, Pasquale. "Capital Asset Pricing Model." In Analytical Corporate Valuation. Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-93551-5_6.

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Brennan, M. J. "Capital Asset Pricing Model." In The New Palgrave Dictionary of Economics. Palgrave Macmillan UK, 2018. http://dx.doi.org/10.1057/978-1-349-95189-5_553.

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Brennan, M. J. "Capital Asset Pricing Model." In The New Palgrave Dictionary of Economics. Palgrave Macmillan UK, 1987. http://dx.doi.org/10.1057/978-1-349-95121-5_553-1.

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Brennan, M. J. "Capital Asset Pricing Model." In The New Palgrave Dictionary of Economics. Palgrave Macmillan UK, 2008. http://dx.doi.org/10.1057/978-1-349-95121-5_553-2.

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Brennan, M. J. "Capital Asset Pricing Model." In Finance. Palgrave Macmillan UK, 1989. http://dx.doi.org/10.1007/978-1-349-20213-3_9.

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Michaelides, Panayotis G. "Capital Asset Pricing Model." In 21 Equations that Shaped the World Economy. Springer Nature Switzerland, 2024. https://doi.org/10.1007/978-3-031-76140-9_13.

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Kolari, James W., Wei Liu, and Jianhua Z. Huang. "Capital Asset Pricing Models." In A New Model of Capital Asset Prices. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-65197-8_2.

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Schwartz, Eduardo S., and Michael J. Brennan. "Asset Pricing in a Small Economy: A Test of the Omitted Assets Model." In Capital Market Equilibria. Springer Berlin Heidelberg, 1986. http://dx.doi.org/10.1007/978-3-642-70995-1_6.

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Kolari, James W., Wei Liu, and Jianhua Z. Huang. "Asset Pricing Evolution." In A New Model of Capital Asset Prices. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-65197-8_1.

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Conference papers on the topic "Capital assets pricing model"

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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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Mousa, Soha, and Dhabia Al-Mohannadi. "Optimizing Industrial Heat Electrification: Balancing Cost and Emissions." In The 35th European Symposium on Computer Aided Process Engineering. PSE Press, 2025. https://doi.org/10.69997/sct.113100.

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The electrification of industrial heat is a promising pathway for decarbonization, yet challenges persist in balancing capital costs, operating costs, and emissions reduction. While previous studies have assessed electrification through heat integration and graphical methods, these approaches do not inherently determine the optimal hybrid technology configuration. This study introduces an optimization-based framework that systematically evaluates the cost-optimal allocation of electrified and conventional heating technologies. Formulated as a Mixed-Integer Linear Programming (MILP) model and i
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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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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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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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KEYI, ZHANG. "Multinational Company Registration Country's Control over Overseas Operations——based on Capital Asset Pricing Model." In 2020 2nd International Conference on Economic Management and Model Engineering (ICEMME). IEEE, 2020. http://dx.doi.org/10.1109/icemme51517.2020.00100.

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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 assets pricing model"

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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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Farmer, Roger. Pricing Assets in a Perpetual Youth Model. National Bureau of Economic Research, 2018. http://dx.doi.org/10.3386/w24261.

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Guidolin, Massimo, and Francesca Rinaldi. A Simple Model of Trading and Pricing Risky Assets Under Ambiguity: Any Lessons for Policy-Makers? Federal Reserve Bank of St. Louis, 2009. http://dx.doi.org/10.20955/wp.2009.020.

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Rozenberg, Julie, Stephane Hallegatte, and Adrien Vogt-Schilb. Instrument Choice and Stranded Assets in the Transition to Clean Capital. Inter-American Development Bank, 2017. http://dx.doi.org/10.18235/0011781.

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To mitigate climate change, some governments opt for instruments focused on investment, like performance standards or feebates, instead of carbon prices. We compare these policies in a Ramsey model with clean and polluting capital, irreversible investment and a climate constraint. Alternative instruments imply different transitions to the same balanced growth path. The optimal carbon price minimizes the discounted social cost of the transition to clean capital, but imposes immediate private costs that disproportionately affect the current owners of polluting capital, in particular in the form
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Tirapat, Sunti. Risk-based deposit insurance : an application to Thailand. Chulalongkorn University, 2000. https://doi.org/10.58837/chula.res.2000.19.

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This paper investigates the application of option pricing to calculate the premium of deposit insurance in Thailand during 1992-1996 period. In addition to applying the traditional Black-Scholes model, the barrier model of Boyle and Lee (1994) is examined. The barrier model takes the management (owners) action into account: the management (owners) may have strong incentive to increase the volatility of the bank’s assets since this action in crease the value of their equity. As suggested by the stylized evidence, most financial institutions in Thailand were owned by “family” and there was inade
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Aoki, Kosuke, Enric Martorell, and Kalin Nikolov. Monetary policy, bank leverage and systemic risk-taking. Banco de España, 2025. https://doi.org/10.53479/39442.

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We examine the interplay between monetary policy, bank risk-taking, and financial stability in a quantitative macroeconomic model with endogenous risk-taking by banks and systemic crises. Banks’ access to leverage depends on their charter value, which is itself affected by movements in the real interest rate. We find that permanent shifts in the long-term real interest rate have a significant impact on banks’ leverage and on their investments in systemically risky assets, while transitory movements have a more limited impact. We show that in the presence of systemic risk-taking, the systemic c
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Quimba, Francis Mark, Maureen Ane Rosellon, and Sylwyn Jr Calizo. Digital Divide and the Platform Economy: Looking for the Connection from the Asian Experience. Philippine Institute for Development Studies, 2020. https://doi.org/10.62986/dp2020.30.

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This study presents the indications of the presence of a digital divide in Asia through indicators for the region and selected Asian countries. The digital divide can be seen as a determinant for the use of digital platforms as material access and skills access affect how these platforms will be used and maximized. Data from a number of countries in Asia show that certain segments of the population have better access (motivational, material, skill, and usage) to computers and the internet. These would include those who live in the urban or more affluent areas, those who are neither too old nor
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