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Books on the topic 'Capital assets pricing model'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

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

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2

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

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3

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

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4

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

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5

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

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6

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

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7

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

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8

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

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9

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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10

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

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11

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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12

Damodaran, Aswath. Damodaran on valuation: Security analysis for investment and corporate finances. Wiley, 1994.

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13

Parmler, Johan. Essays in empirical asset pricing. Economic Research Institute, Stockholm School of Economics, 2005.

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14

Parmler, Johan. Essays in empirical asset pricing. Economic Research Institute, 2005.

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15

M, Harris, and Stulz R. M, eds. Handbook of the Economics of Finance. Elsevier Science, 2002.

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16

Chen, Xiaohong. Land of addicts?: An empirical investigation of habit-based asset pricing behavior. National Bureau of Economic Research, 2004.

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17

Campbell, John Y. Intertemporal asset pricing without consumption data. National Bureau of Economic Research, 1992.

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18

Epstein, Larry G. Intertemporal asset pricing under Knightian uncertainty. Dept. of Economics and Institute for Policy Analysis, University of Toronto, 1992.

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19

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

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20

Hodrick, Robert J. Evaluating the specification errors of asset pricing models. National Bureau of Economic Research, 2000.

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21

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

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22

Duffie, Darrell. Asset pricing with stochastic differential utility. Dept. of Economics and Institute for Policy Analysis, University of Toronto, 1991.

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23

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

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24

Stahl, Raphael. Capital Asset Pricing Model und Alternativkalküle. Springer Fachmedien Wiesbaden, 2016. http://dx.doi.org/10.1007/978-3-658-12025-2.

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25

Huang, Ting-Ting. Theoretical and empirical analysis of common factors in a term structure model. Cambridge Scholars Pub., 2009.

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26

Vassiliou, P.-C. G. Discrete-time asset pricing models. ISTE Ltd/John Wiley & Sons, 2010.

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27

Aït-Sahalia, Yacine. Nonparametric estimation of state-price densities implicit in financial asset prices. National Bureau of Economic Research, 1995.

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28

McEntegart, Karen. A comparison of mean-variance and mean-semivariance capital asset models : evidence from the Irish stock market. University College Dublin, 1994.

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29

Brandt, Michael W. A no-arbitrage approach to range-based estimation of return covariances and correlations. National Bureau of Economic Research, 2003.

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30

Boldrin, Michele. Asset pricing lessons for modeling business cycles. National Bureau of Economic Research, 1995.

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31

Boldrin, Michele. Asset pricing lessons for modeling business cycles. National Bureau of Economic Research, 1995.

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32

Boldrin, Michele. Asset pricing lessons for modeling business cycles. Banca d'Italia, 1996.

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33

Boldrin, Michele. Asset pricing lessons for modeling business cycles. Banca d'Italia, 1996.

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34

Hodrick, Robert J. An international dynamic asset pricing model. National Bureau of Economic Research, 1999.

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35

Gao, Chunting. Wu yin zi zi chan ding jia mo xing ji shi zheng ying yong: A study on five-factor asset pricing model and its application. She hui ke xue wen xian chu ban she, 2018.

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36

Pástor, Lubos̆. Costs of equity capital and model mispricing. National Bureau of Economic Research, 1998.

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37

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

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38

Javid, Attiya Y. The conditional capital asset pricing model: Evidence from Karachi Stock Exchange. Pakistan Institute of Development Economics, 2008.

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39

Campbell, John Y. Explaining the poor performance of consumption-based asset pricing models. National Bureau of Economic Research, 1999.

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40

Lo, Andrew W. Trading volume: Implications of an intertemporal capital asset pricing model. National Bureau of Economic Research, 2001.

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41

Warfsmann, Jürgen. Das Capital Asset Pricing Model in Deutschland: Univariate und multivariate Tests für den Kapitalmarkt. Deutscher Universitäts Verlag, 1993.

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42

Erdoğan, Oral. Comparable approach to "the theory of efficient markets": A modified capital asset pricing model for maritime firms. Capital Markets Board, 1996.

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43

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

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44

Pástor, Lubos̆. Comparing asset pricing models: An investment perspective. National Bureau of Economic Research, 1999.

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45

Warfsmann, Jürgen. Das Capital Asset Pricing Model in Deutschland. Deutscher Universitätsverlag, 1993. http://dx.doi.org/10.1007/978-3-663-12006-3.

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46

Acharya, Viral V. Asset pricing with liquidity risk. National Bureau of Economic Research, 2004.

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47

Acharya, Viral V. Asset pricing with liquidity risk. National Bureau of Economic Research, 2004.

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48

Guo, Hui. Does stock market volatility forecast returns: The international evidence. Federal Reserve Bank of St. Louis, 2003.

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49

Cornioley, Claude. CAPM, périodicité de la prime de risque et anomalie de taille: Le cas suisse. Université de Fribourg (Suisse), Séminaire d'économie d'entreprise et de gestion financière, 1990.

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50

Ferson, Wayne E. Mimicking portfolios with conditioning information. National Bureau of Economic Research, 2005.

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