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Journal articles on the topic 'Capital assets pricing model'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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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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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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5

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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9

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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Johnston, Mark. "Extension of the Capital Asset Pricing Model to Non-normal Dependence Structures." ASTIN Bulletin 37, no. 1 (2007): 35–52. http://dx.doi.org/10.1017/s0515036100014720.

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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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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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13

Wagner, John E., and Douglas B. Rideout. "Evaluating Forest Management Investments: The Capital Asset Pricing Model and the Income Growth Model." Forest Science 37, no. 6 (1991): 1591–604. http://dx.doi.org/10.1093/forestscience/37.6.1591.

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Abstract This article combines an Income Growth Model (IGM) with a nominal and real Capital Asset Pricing Model (CAPM) to evaluate two alternative management regimes using a simulation of two fully regulated Pacific Northwest ponderosa pine (Pinus ponderosa) plantations. The IGM can be used to estimate the cost of capital for nonpublicly traded firms. The IGM was used to estimate a real cost of capital to value the land and timber inventory of the forestry assets. The simulation highlights five findings: (1) the results, both nominal and real, showed that a thinning investment did not reduce f

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Ovechkin, Danila V., and Natalia B. Boldyreva. "Modification of Capital Assets Pricing Model for a non-equilibrium capital market." Tyumen State University Herald. Social, Economic, and Law Research 5, no. 1 (2019): 131–43. http://dx.doi.org/10.21684/2411-7897-2019-5-1-131-143.

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15

Offiong, Amenawo Ikpa, Hodo Bassey Riman, Helen Walter Mboto, Eyo Itam Eyo, and Diana Gembom Punah. "Capital Asset Pricing Model (CAPM) and the Douala Stock Exchange." International Journal of Financial Research 11, no. 5 (2020): 191. http://dx.doi.org/10.5430/ijfr.v11n5p191.

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This study examines if the Capital Asset Pricing Model (CAPM) can be applied to the Douala Stock Exchange. The study utilized monthly stock returns from the three companies listed on the Douala Stock Exchange (DSX), for the period 30th April 2009 to 31st August 2017. Ordinary Least Square regression analysis was adopted for the study to examine if individual stocks can predict a better stock beta. The Black, Jensen, and Scholes (1972) CAPM version were also examined in this study to assess the validity of the zero beta estimate. The result of the individual estimates could not establish the va

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16

Xu, Tianyang. "Study on the Capital Asset Pricing Model(CAPM): literature review and possible improvements." BCP Business & Management 16 (December 26, 2021): 109–13. http://dx.doi.org/10.54691/bcpbm.v16i.282.

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Capital Asset Pricing Model is one of the most classic financial models used by investors to predict the relations between risks and returns. However, with the rapid growth of global market, international corporations and fictitious assets, the whole global market becomes more complicated. For the stock markets, with more factors affecting the risks and expected returns, will these novel changes affect and make those classic financial models obsolete? This paper discusses the history of the Capital Asset Pricing Model and and studies the adaptability, assumptions, and formula of Capital Asset

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17

QIN, JIE. "Human-Capital-Adjusted Capital Asset Pricing Model*." Japanese Economic Review 53, no. 2 (2002): 182–98. http://dx.doi.org/10.1111/1468-5876.00018.

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18

Qin, Jie. "Human-Capital-Adjusted Capital Asset Pricing Model." Japanese Economic Review 53, no. 2 (2002): 182–98. http://dx.doi.org/10.1111/1468-5876.00222.

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19

Chunpeng YANG, Jun XIE, and Wei YAN. "Sentiment Capital Asset Pricing Model." International Journal of Digital Content Technology and its Applications 6, no. 3 (2012): 254–61. http://dx.doi.org/10.4156/jdcta.vol6.issue3.30.

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20

Stoimenov, Pavel A., and Sascha Wilkens. "Das Capital Asset Pricing Model." WiSt - Wirtschaftswissenschaftliches Studium 34, no. 5 (2005): 295–306. http://dx.doi.org/10.15358/0340-1650-2005-5-295.

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21

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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22

Klobus, Carmen. "Das Capital Asset Pricing Model." Controlling 13, no. 10 (2001): 525–28. http://dx.doi.org/10.15358/0935-0381-2001-10-525.

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23

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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24

Shabi, A. "Projective Capital Asset Pricing Model." Современные инновации, системы и технологии - Modern Innovations, Systems and Technologies 2, no. 4 (2022): 0201–13. http://dx.doi.org/10.47813/2782-2818-2022-2-4-0201-0213.

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This paper is interested in exploring the capabilities and limitations of investment decision making under uncertainty through the lens of Quantum Probabilities/formalism stand and will be focusing on the Capital Asset Pricing Model as use case. Our main purpose is to examine the historical and structural foundations surrounding decision making paradoxes. To ease the comprehension of the issue to the common reader, we first outline key cornerstones of investment decision making under the two competing conceptual frameworks, expected utility and mean-variance. We review then the axiomatic justi

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25

Alshomaly, Ibrahim, and Ra’ed Masa’deh. "The Capital Assets Pricing Model & Arbitrage Pricing Theory: Properties and Applications in Jordan." Modern Applied Science 12, no. 11 (2018): 330. http://dx.doi.org/10.5539/mas.v12n11p330.

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This paper aimed to test the validity of capital asset pricing model (CAPM) and arbitrage pricing theory (APT) in Jordanian stock Market using three different firms of three main sectors, financial, industrial, and service sector for the period Q1 (2000) to Q4 (2016), using published information obtained from Amman stock exchange (ASE), these models were designed to measure the cost of capital using the coefficient of systematic risk factor, that used in the valuation of capital assets. We reviewed the most important similarities and differences between the two models out of sectors analysis.

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26

Leković, Miljan. "Evidence for and against the validity of the capital asset Pricing model." Tehnika 77, no. 3 (2022): 363–72. http://dx.doi.org/10.5937/tehnika2203363l.

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The Capital Asset Pricing Model (CAPM) makes a significant contribution to understanding the relationship between return and risk and valuing assets in the capital market. The basic idea of the CAPM model is that assets exposed to the same level of systemic risk should have the same level of expected return. Therefore, the CAPM model values the asset, ie. determines its price at a level that ensures that the expected return corresponds to the assumed systemic risk. In addition to the positive aspects of the CAPM model, the paper pays equal attention to understanding the problems and taking int

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Valencia-Herrera, Humberto, and Francisco López-Herrera. "Markov Switching International Capital Asset Pricing Model, an Emerging Market Case: Mexico." Journal of Emerging Market Finance 17, no. 1 (2018): 96–129. http://dx.doi.org/10.1177/0972652717748089.

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The article shows how the international capital asset pricing model (ICAPM) with Markov regime switching can model the asset returns in the emerging market of Mexico. For most assets, although significant, the international risk premium factor is not subject to regime switching, but the domestic factor is. The probabilities of regimes are correlated with the volatility of assets. A GARCH(1,1) Markov regime switching model offers better adjustment than a non-GARCH. JEL Classification: C58, F36, F65, G12, G15

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Luo, Ruiming. "The Progress of Portfolio Allocation and the Capital Asset Pricing Model." Advances in Economics, Management and Political Sciences 3, no. 1 (2023): 374–83. http://dx.doi.org/10.54254/2754-1169/3/2022808.

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This paper aims to discuss the fundamental element in finance, which is the property of the portfolio theory. Also, the paper presents an overview of the evolution of the portfolio theory management and capital asset pricing model (CAPM). Harry Markowitz, James Tobin, and William Sharpe, et al play an indispensable role in the contribution of these financial theories. This paper first studies and then describes the expected return and risk of the single asset portfolio. Then, this paper extends the topic to multiple asset portfolios and teaches people to eliminate or lower the risk in the inve

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Julianto, Leo. "Comparative Study between Capital Asset Pricing Model and Arbitrage Pricing Theory in Indonesian Capital Market during Period 2008-2012." Asia Pacific Management and Business Application 2, no. 2 (2013): 111–19. http://dx.doi.org/10.21776/ub.apmba.2013.002.02.3.

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30

Khalid, Ul Islam, and Hussain Sartaj. "Is the Capital Asset Pricing Model valid in the Indian context ?" Pacific Business Review International 9, no. 7 (2017): 115–24. https://doi.org/10.5281/zenodo.7197148.

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CAPM has been a great milestone in asset pricing theory, explaining the risk-return characteristic of financial assets. However, over a few decades, the validity of CAPM has been put to test by a large number of researchers. In this study, we test the validity of CAPM in India on the stocks listed on the National Stock Exchange by using Fama and McBeth (1973) two-step procedure. Our results show an absence of any significant relationship between betas and risk premiums and therefore we conclude that CAPM is not a valid test in explaining the risk-return characteristics of assets listed on the

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He, Shuxian, Wanwen Mai, and Yinghao Qin. "Big data analysis of the effectiveness for capital asset pricing model under COVID-19." SHS Web of Conferences 181 (2024): 02012. http://dx.doi.org/10.1051/shsconf/202418102012.

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In 2020, the novel coronavirus outbreak in China and rapidly spread around the world, causing a great impact on the economies of all countries, but also brought great uncertainty to the global financial market. The epidemic may not only trigger a crisis of supply, investment and supply chain disruption, but also further spread to the financial market, exacerbating systemic risks in the financial market and having a certain impact on the pricing of various types of assets. On this basis, this study conducts an empirical study on stock pricing under the influence of COVID-19 based on capital ass

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Wahyuni, Diah Maghfiroh, Abdul Aziz, and Juhari Juhari. "Estimasi Parameter Capital Assets Pricing Model Dengan Metode Generalized Method of Moments Dalam Perhitungan Value At Risk." Jurnal Riset Mahasiswa Matematika 1, no. 1 (2021): 32–39. http://dx.doi.org/10.18860/jrmm.v1i1.13413.

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Capital Assets Pricing Model merupakan persamaan regresi antara premi risiko aset terhadap premi risiko pasar. Risiko ada jika pembuat keputusan tidak memiliki data untuk menyusun suatu dugaan. Pendugaan tersebut dapat dilakukan dengan generalized method of moments.Penelitian ini bertujuan untuk mengetahui hasil estimasi parameter pada Capital Assets Pricing Model menggunakan Generalized Method of Moments pada data saham PT. Indofood Tbk., serta mendapatkan nilai Value at Risk pada data saham PT. Indofood Tbk..Hasil yang diperoleh yaitu : , m=1,2,…. Dengan nilai maka model regresi pada saham P

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33

Ruffino, Doriana. "A Robust Capital Asset Pricing Model." Finance and Economics Discussion Series 2014, no. 01 (2014): 1–14. http://dx.doi.org/10.17016/feds.2014.01.

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Selim, Tarek H. "An Islamic capital asset pricing model." Humanomics 24, no. 2 (2008): 122–29. http://dx.doi.org/10.1108/08288660810876831.

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KUEHN, LARS-ALEXANDER, MIKHAIL SIMUTIN, and JESSIE JIAXU WANG. "A Labor Capital Asset Pricing Model." Journal of Finance 72, no. 5 (2017): 2131–78. http://dx.doi.org/10.1111/jofi.12504.

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Siddiqi, Hammad. "Anchoring-Adjusted Capital Asset Pricing Model." Journal of Behavioral Finance 19, no. 3 (2017): 249–70. http://dx.doi.org/10.1080/15427560.2018.1378218.

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Li, Hui, Min Wu, and Xiao-Tian Wang. "Fractional-moment Capital Asset Pricing model." Chaos, Solitons & Fractals 42, no. 1 (2009): 412–21. http://dx.doi.org/10.1016/j.chaos.2009.01.003.

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Qin, Jie. "Regret-based capital asset pricing model." Journal of Banking & Finance 114 (May 2020): 105784. http://dx.doi.org/10.1016/j.jbankfin.2020.105784.

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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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Huang, Botao. "Research on the Financial Model Selection between Capital Asset Pricing Model, Arbitrage Pricing Model, and Fama-French Model." Advances in Economics, Management and Political Sciences 18, no. 1 (2023): 369–74. http://dx.doi.org/10.54254/2754-1169/18/20230100.

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Financial modeling magnifies the importance of various systematic and unsystematic risks occurring in modern finance, which elicits the functionality of the Capital Asset Pricing Model (CAPM) introduced by Sharpe, Lintner, and Treynor. A considerable amount of societal support for CAPM has been triggered by its simplicity and precision in terms of making decisions for assets based on absolute risk rather than total risk. Objectively speaking, CAPM is also deeply limited by its unique prerequisites or assumptions. One pivotal point for investors to ponder is the selection of different methods a

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Anahita Horri. "Comparing the Performance of the Expected Returns of Cryptocurrencies Using CAPM and D-CAPM Approaches." Journal of Electrical Systems 20, no. 1 (2024): 415–24. http://dx.doi.org/10.52783/jes.5376.

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The present study compares the expected returns of cryptocurrencies using the capital asset pricing and the downside capital asset pricing models. For this purpose, fifty cryptocurrencies were studied as representative of risky assets during the five-year from 2018 to 2022 with daily frequency. Using the conditional variance test, eighteen cryptocurrencies were accepted and the rest were homogeneously rejected in the variance heterogeneity test. Among the eighteen cryptocurrencies, nine were randomly selected as the portfolio, including high-volatility, low-volatility, and medium-volatility cr

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Chao, Yang. "The Impact of Factors in Capital Assets Pricing Model and Fama-French Models." BCP Business & Management 40 (March 8, 2023): 90–105. http://dx.doi.org/10.54691/bcpbm.v40i.4364.

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Despite the fact that other researchers have looked into hundreds of potential factors that could affect equity returns, Fama and French initially proposed three and have since allowed for five, with the sporadic appearance of a sixth factor. By using regression which is a statistical technique that is used to isolate and quantify the significance of a variable. It works as a test to ascertain whether a stock's average returns may be influenced by factors like leverage or sector performance. This study uses R programming language and the “lm” function to research the impacts of factors in CAPM

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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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Aygoren, Hakan, and Emrah Balkan. "The role of efficiency in capital asset pricing: a research on Nasdaq technology sector." Managerial Finance 46, no. 11 (2020): 1479–93. http://dx.doi.org/10.1108/mf-12-2019-0612.

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PurposeThe aim of this study is to investigate the role of efficiency in capital asset pricing. The paper explores the impact of a four-factor model that involves an efficiency factor on the returns of Nasdaq technology firms.Design/methodology/approachThe paper relies on data of 147 firms from July 2007 to June 2017 to examine the impact of efficiency on stock returns. The performances of the capital asset pricing model (CAPM), Fama–French three-factor model and the proposed four-factor model are evaluated based on the time series regression method. The parameters such as the GRS F-statistic

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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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Shen, Yixin. "Beyond CAPM: The Rise and Relevance of Arbitrage Pricing Theory in Modern Investment Strategies." Advances in Economics, Management and Political Sciences 150, no. 1 (2025): 57–62. https://doi.org/10.54254/2754-1169/2024.19316.

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Using the Capital Asset Pricing Model (CAPM) has been common for identifying expected returns by analyzing an assets systematic risk in the market.. Nevertheless, to enhance the Capital Asset Pricing Model (CAPM), more sophisticated models are necessary, chiefly because of the model's presumption of a singular risk factor. This study focuses on the Arbitrage Pricing Theory (APT) as an alternative, which incorporates multiple economic factors, offering a nuanced understanding of asset pricing and risk. This paper explores the distinctions between the Capital Asset Pricing Model (CAPM) and the A

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Xinwen, Zhang. "Research on the Influencing Factors of Capital Asset Income ---- Is Based on the Fama-French Three-Factor Model." SHS Web of Conferences 163 (2023): 01019. http://dx.doi.org/10.1051/shsconf/202316301019.

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Capital asset pricing is very important to the development of listed companies. It is not only related to the performance of micro enterprises, but also related to the stability and development of macro financial markets. Therefore, the in-depth study of the law and influencing factors of listed companies’ return on capital assets is a theoretical problem worthy of in-depth exploration, but also has significant practical significance. In this paper, 160 stocks from 2012 to 2021 are selected for empirical analysis, and it is concluded that stocks of small-scale companies can realize good risk h

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Dong, Xinyi. "Analysis of Capital Asset Pricing Model: Advantages, Disadvantages and Alternative Models." Advances in Economics, Management and Political Sciences 146, no. 1 (2025): 1–5. https://doi.org/10.54254/2754-1169/2024.ld19049.

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Return on investment and investment risk have long been worries for investors in financial area. The Capital Asset Pricing Model (CAPM) is the main subject of this investigation. Given the background that the CAPM has limitations but is still important for investors, this paper examines the benefits and weaknesses of the model as well as the four alternatives: the Consumer Capital Asset Pricing Model (CCAPM), the Fama-French Five Factor Model (FFFM), the Fama-French Three Factor Model (FFM), and Arbitrage Pricing Theory (APT). The inference made is that, given to certain assumptions, investors

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Francová, Blanka. "An Analysis of the Impact of Selected Factors on the Bond Market." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 66, no. 6 (2018): 1451–58. http://dx.doi.org/10.11118/actaun201866061451.

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Exchange rate risk is important factor for the valuation of capital asset on international markets. According to the International Arbitrage Pricing Theory currency movements affect the prices of capital assets and associated risk premiums. The International Arbitrage Pricing Theory is based on total return of asset decomposition to non‑currency return and currency return. The currency return is defined by exchange rate risk and the non‑currency return is defined by factors affecting the price of capital assets. We propose an empirical model to apply this theory using corporate bonds. Using a

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Wang, Xinzhe. "Portfolio Optimization of Five Stocks Based on the Mean-Variance Model." BCP Business & Management 35 (December 31, 2022): 687–93. http://dx.doi.org/10.54691/bcpbm.v35i.3371.

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Portfolio optimization, as an essential part of asset allocation, has become a core issue in the financial investment field in recent years. This paper focuses on the diversification of assets in semiconductor and integrated circuits, commodities, fast-moving consumer goods, air transportation, and streaming services industries, aiming to provide investors with a portfolio that optimizes risk and return. The mean-variance analysis, capital asset pricing model, and Fama-French three-factor model are applied to construct the portfolio. According to the asset weight allocation, the results are an

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