Relevant bibliographies by topics / CAPM

Contents

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

Academic literature on the topic 'CAPM'

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

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Journal articles on the topic "CAPM"

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Japlani, Ardiansyah, Karnila Ali, and Bob Ardi Prabowo. "Perbandingan Portofolio Saham Dengan Metode Capital Asset Pricing Model Dan Arbitrage Pricing Theory (Studi Kasus Pada Perusahaan Transpotasi Sub Sektor Maskapai Penerbangan Yang Terdaftar Di Bursa Efek Indonesia 2019-2021)." Jurnal Manajemen DIVERSIFIKASI 3, no. 3 (2023): 712–20. http://dx.doi.org/10.24127/diversifikasi.v3i3.4366.

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Regulations restricting transportation services have caused a drop in revenue and profits for transportation companies, and some companies have even suffered losses. This decrease in the number of passengers will have an impact on the financial performance of airline companies in Indonesia. The purpose of this research is to find out how to analyze stock portfolios, find out why investors need the CAPM and APT methods in maximizing stock portfolios and compare the accuracy of stock portfolio analysis in the airline sub-sector for the 2019-2021 period using the CAPM and APT methods. This resear
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PAULSEN, JON. "CAPM Issues." Business Valuation Review 10, no. 4 (1991): 175–76. http://dx.doi.org/10.5791/0882-2875-10.4.175.

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Hu, Wei, and Zhenlong Zheng. "Expectile CAPM." Economic Modelling 88 (June 2020): 386–97. http://dx.doi.org/10.1016/j.econmod.2019.09.049.

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Tsuji, Chikashi. "A Robust Estimation of the CAPM with a Heavy-tailed Distribution." International Journal of Social Science Studies 5, no. 5 (2017): 79. http://dx.doi.org/10.11114/ijsss.v5i5.2362.

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This study quantitatively explores the linear standard capital asset pricing model (CAPM) and a non-linear CAPM by using ten US representative firms’ monthly stock returns. By the maximum likelihood estimation, we derive the following useful findings. (1) First, when the stock return distribution is fat-tailed, our non-linear CAPM application is highly effective. Because our non-linear CAPM parameters very well capture the behavior of fat-tailed returns, the non-linear CAPM estimation derives more reliable beta value estimates than the standard linear CAPM. (2) Second, conducting the Wald test
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Zhang, Qisheng. "The Test of CAPM and Fama-Franch Three-factor Model on China A-shares." Advances in Economics, Management and Political Sciences 125, no. 1 (2024): 191–96. https://doi.org/10.54254/2754-1169/2024.17808.

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William Sharpe et al. proposed the CAPM model in 1964, but subsequent empirical studies showed that the CAPM model still had limitations in practical application. In 1993, Fama and Franch proposed the three-factor model, which can explain the future return of the stock portfolio through the company size, the BM ratio of the companies, and express the excess return of a portfolio in the form of three factors. Based on the CAMP and Fama-French three-factor model, this study will use daily trading data of the constituents of the SSE 50 Index to analyze the A-share market by employing the market v
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Paiva Martins Teixeira, Vandliny, Moisés Ferreira da Cunha, and Thaisa Renata dos Santos. "Aplicabilidade dos modelos CAPM local, CAPM local ajustado e CAPM ajustado híbrido ao mercado brasileiro." REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte - ISSN 2176-9036 14, no. 1 (2022): 1–22. http://dx.doi.org/10.21680/2176-9036.2022v14n1id21987.

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Objetivo: O objetivo desta pesquisa é verificar a aplicabilidade dos modelos CAPM local, CAPM Local Ajustado e CAPM Ajustado Híbrido ao mercado brasileiro, a partir da análise de suas respectivas premissas e, adicionalmente, verificar a existência de diferenças estatísticas significativas entre os modelos.
 Metodologia: Para os indicadores escolhidos, objetivando representar as premissas de cada modelo, é testada a série história de 2007 a 2014, compreendendo uma amostra de 94 empresas mais líquidas do mercado brasileiro avaliadas conforme os modelos de precificação de ativos CAPM Local,
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AMELIAH, VIKY, KOMANG DHARMAWAN, and I. NYOMAN WIDANA. "MEMBANDINGKAN RISIKO SISTEMATIS MENGGUNAKAN CAPM-GARCH DAN CAPM-EGARCH." E-Jurnal Matematika 6, no. 4 (2017): 241. http://dx.doi.org/10.24843/mtk.2017.v06.i04.p172.

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In making stock investments, investors usually pay attention to the rate of return and risk of the stock investment. To calculate risk using capital asset pricing model (CAPM), GARCH, and EGARCH. The data used in this study is secondary data in the form of daily closing price (daily close price), JII price index and monthly SBI rate. All data were processed using matlab 13. The research sample consisted of 6 flagship shares for the period of 2013-2017 ie ADHI, SMGR, UNTR, BSDE, ICBP, KLBF. The conclusion of the research is the beta of each stock including aggressive beta because beta greater t
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Arshad, Muhammad Adnan, Saira Munir, Bashir Ahmad, and Muhammad Waseem. "Do factors matter for predicting high-risk stock returns? Comparison of single-, three- and five-factor CAPM." International Journal of Financial Engineering 06, no. 02 (2019): 1950015. http://dx.doi.org/10.1142/s2424786319500154.

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This study empirically analyzes the three models of CAPM in order to get the best determinants, and superlative model of CAPM in the context of Pakistan’s Financial Sector. This study used fixed Effect model and Hausman test are used in this study to investigate the single-, three- and five-factor CAPM. First we analyzed the single factor CAPM, and results explain 52% variations in the dependent variable — stock returns. Next, the three-factors CAPM is analyzed, which elucidates 69% variations in the dependent variable — stock returns — on the addition of two more factors (size and value). Las
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Tsuji, Chikashi. "A Non-linear Estimation of the Capital Asset Pricing Model: The Case of Japanese Automobile Industry Firms." Applied Finance and Accounting 3, no. 2 (2017): 20. http://dx.doi.org/10.11114/afa.v3i2.2331.

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This paper quantitatively examines a non-linear capital asset pricing model (CAPM) by using monthly stock returns of major automobile industry firms in Japan. Applying the maximum likelihood method, we derive the following interesting findings. (1) First, in the case where the distribution of stock returns has a fat-tail, our non-linear CAPM is highly effective. Because the parameters of our non-linear CAPM well capture fat-tailed return distributions, the non-linear model estimation derives reliable estimates of beta values. (2) Second, in the case where stock returns are normally distributed
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Bin, Yuxin. "The Limitaitons and Alternatives of CAPM." Advances in Economics, Management and Political Sciences 60, no. 1 (2024): 46–51. http://dx.doi.org/10.54254/2754-1169/60/20231154.

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The Capital Asset Pricing Model (CAPM), a conventional financial model, has undergone extensive testing. This research critically examines the limitations of CAPM from four distinct perspectives and offers alternative frameworks. Specifically, this paper delves into these issues through the lens of the Conditional CAPM. Traditionally, CAPM has been viewed as a simplistic single-factor model. The limitations addressed here encompass temporal constraints, uniform expectations, the role of consumption factors, and underlying assumptions of rationality. This study employs a systematic literature r
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Dissertations / Theses on the topic "CAPM"

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Aleksienė, Sandra. "CAPM modelio testavimas." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2004. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2004~D_20040604_210631-10316.

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The results of empirical tests of the capital asset pricing model (CAPM) are discussed in this paper. A formidable problem here involves setting up an effective method for testing or test methodology. Many conceptual and statistical problems are inherent in tests of capital asset pricing model. It always has to be concerned the possible contaminating effects of the inevitable real-world violations of the model’s assumption. The tests reported in this paper are tests of how well the model fits history. The purpose of this work is to determine whether the CAPM fits the real world and, if it does
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Plate, Mike. "CAPM-basierte Optionsbewertung." [S.l. : s.n.], 2000. http://www.bsz-bw.de/cgi-bin/xvms.cgi?SWB9394040.

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Milosinschi, Marian Alexandru <1991&gt. "An improved CAPM." Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/10772.

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Sidestål, Jesper, and Johnny Sjöholm. "IT - Bubblan och CAPM." Thesis, Södertörn University College, School of Social Sciences, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-359.

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Grek, Åsa, and Abdi Jimaale. "Testing CAPM for the Swedish Stock Market In Order to Capture the Price Expectations - A Comparison Between Conditional CAPM, and Unconditional CAPM." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-47697.

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Allergren, Fredrik, and Alvin Wendelius. "CAPM - i tid och otid : En portföljbaserad studie av CAPM på den svenska aktiemarknaden." Thesis, Umeå University, Umeå School of Business, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1081.

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<p>Capital Asset Pricing Model (CAPM) är den prissättningsmodell som mest frekvent används av aktörer på den finansiella marknaden samt i litteratur för att förklara sambandet mellan risk och förväntad avkastning. Teorin grundades under 1960-talet av William Sharpe och tidiga empiriska tester av modellen visade att den med hög förklaringsgrad kunde estimera en framtida förväntad avkastning givet en viss risknivå. På senare år har dock CAPM fått stark kritik eftersom nya empiriska undersökningar demonstrerat att modellen inte längre verkar visa en rättvisande avkastning i förhållande till risk.
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Cia, Josilmar Cordenonssi. "Saving-capm: uma proposta de solução para o equity premium puzzle do consumption-capm." reponame:Repositório Institucional do FGV, 2006. http://hdl.handle.net/10438/2587.

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Made available in DSpace on 2010-04-20T20:48:06Z (GMT). No. of bitstreams: 3 74624.pdf.jpg: 19349 bytes, checksum: 269d46a30ce837e14a6d82e093455394 (MD5) 74624.pdf.txt: 205193 bytes, checksum: b18c9208c0b10a39e465247465127a9f (MD5) 74624.pdf: 777454 bytes, checksum: 76804656674cf7d08c7a3f917d0c9c05 (MD5) Previous issue date: 2006-08-08T00:00:00Z<br>Em 1985, Mehra e Prescott levantaram uma questão que até hoje não foi respondida de forma satisfatória: o prêmio de risco das ações americanas é muito maior do que poderia ser explicado pelo “paradigma neoclássico de finanças econômicas” (fina
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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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Trevisin, Davide <1993&gt. "CAPM e modelli alternativi: confronto." Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/11875.

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Bruno, Marlene Sofia Falcão. "Aplicação e análise do modelo CAPM condicional na bolsa de valores portuguesa." Master's thesis, Universidade de Évora, 2014. http://hdl.handle.net/10174/11506.

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O CAPM estático é o modelo mais utilizado para avaliar o trade-off entre rentabilidade esperada e risco, baseando-se apenas num único período de tempo. No entanto, numa economia dinâmica deve-se admitir que o risco e o prémio de risco variam ao longo do tempo. Com o intuito de testar aquela variabilidade, Jagannathan e Wang (1996) desenvolveram o modelo CAPM condicional, na qual incluíram as variáveis: prémio de risco de mercado, rentabilidade do capital humano e tamanho das empresas. O objetivo principal desta dissertação é aplicar este modelo ao mercado acionista português. Estimou-se o mode
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Books on the topic "CAPM"

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Hüper, Steffen. CAPM und Tax-CAPM im Mehrperiodenfall. Springer Fachmedien Wiesbaden, 2019. http://dx.doi.org/10.1007/978-3-658-25931-0.

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Sanghera, Paul. CAPM® in Depth. Apress, 2019. http://dx.doi.org/10.1007/978-1-4842-3664-2.

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Engineers, Institution of Production, ed. A guide to CAPM. Institution of Production Engineers, 1985.

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Nielsen, Lars Tyge. "Positive prices in CAPM". INSEAD, 1986.

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Nielsen, Lars Tyge. Positive prices in CAPM. INSEAD, 1990.

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Mitzi, Koontz, and ebrary Inc, eds. CAPM in depth: Project management professional study guide for the CAPM exam. Cengage Learning, 2010.

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Nielsen, Lars Tyge. Existence of equilibrium in CAPM. INSEAD, 1990.

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Phillips, Joseph. CAPM: Certified associate in project management. McGraw-Hill/Osborne, 2004.

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Thomas, Stephen. International CAPM - why has it failed? University of Southampton, Dept. of Economics, 1989.

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Ang, Andrew. CAPM over the long run: 1926-2001. National Bureau of Economic Research, 2005.

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Book chapters on the topic "CAPM"

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Hüper, Steffen. "Tax-CAPM." In CAPM und Tax-CAPM im Mehrperiodenfall. Springer Fachmedien Wiesbaden, 2019. http://dx.doi.org/10.1007/978-3-658-25931-0_4.

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Evstigneev, Igor V., Thorsten Hens, and Klaus Reiner Schenk-Hoppé. "CAPM Continued." In Springer Texts in Business and Economics. Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-16571-4_8.

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García, Francisco Javier Población. "The CAPM." In Financial Risk Management. Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_16.

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Hunanyan, Gevorg. "CAPM Equilibrium." In Finanzwirtschaft, Banken und Bankmanagement I Finance, Banks and Bank Management. Springer Fachmedien Wiesbaden, 2019. http://dx.doi.org/10.1007/978-3-658-27956-1_3.

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Hüper, Steffen. "Einleitung." In CAPM und Tax-CAPM im Mehrperiodenfall. Springer Fachmedien Wiesbaden, 2019. http://dx.doi.org/10.1007/978-3-658-25931-0_1.

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Hüper, Steffen. "CAPM im Mehrperiodenfall." In CAPM und Tax-CAPM im Mehrperiodenfall. Springer Fachmedien Wiesbaden, 2019. http://dx.doi.org/10.1007/978-3-658-25931-0_2.

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Hüper, Steffen. "Varianzaversion impliziert (μ, σ)-Kriterium." In CAPM und Tax-CAPM im Mehrperiodenfall. Springer Fachmedien Wiesbaden, 2019. http://dx.doi.org/10.1007/978-3-658-25931-0_3.

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Hüper, Steffen. "Anhang." In CAPM und Tax-CAPM im Mehrperiodenfall. Springer Fachmedien Wiesbaden, 2019. http://dx.doi.org/10.1007/978-3-658-25931-0_5.

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Skivington, J. J. "What is CAPM?" In Computerizing Production Management Systems. Springer Netherlands, 1990. http://dx.doi.org/10.1007/978-94-009-0427-9_2.

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Ziemann, Volker. "Portfoliotheorie und CAPM." In Physik und Finanzen. Springer International Publishing, 2023. http://dx.doi.org/10.1007/978-3-031-36964-3_3.

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Conference papers on the topic "CAPM"

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Fan, Wenzhen, and Jiayan Wang. "Integration of CAPM and ANN in the Application of Stock Forecasting." In International Conference on Data Science and Engineering. SCITEPRESS - Science and Technology Publications, 2024. http://dx.doi.org/10.5220/0012818000004547.

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Xiao, Mengxi, Ben Liu, Miao Peng, Wenjie Xu, and Min Peng. "Clarified Aggregation and Predictive Modeling (CAPM): High-Interpretability Framework for Inductive Link Prediction." In 2024 International Joint Conference on Neural Networks (IJCNN). IEEE, 2024. http://dx.doi.org/10.1109/ijcnn60899.2024.10650892.

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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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Chowdhury, Townim Faisal, Kewen Liao, Vu Minh Hieu Phan, et al. "CAPE: CAM as a Probabilistic Ensemble for Enhanced DNN Interpretation." In 2024 IEEE/CVF Conference on Computer Vision and Pattern Recognition (CVPR). IEEE, 2024. http://dx.doi.org/10.1109/cvpr52733.2024.01053.

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Huynh, Dat T., and Marianthi Ierapetritou. "Integrated Ex-Ante Life Cycle Assessment and Techno-Economic Analysis of Biomass Conversion Technologies Featuring Evolving Environmental Policies." In Foundations of Computer-Aided Process Design. PSE Press, 2024. http://dx.doi.org/10.69997/sct.127765.

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Biorefineries can reduce carbon dioxide emissions while serving the global chemical demand market. Governments are also using carbon pricing policies, such as carbon taxes, cap-and-trade models, and carbon caps, as a strategy to reduce emissions. The use of biomass feedstocks in conjunction with carbon capture usage and storage technologies are mitigation strategies for global warming. Businesses can invest in these technologies to accommodate the adoption of these policies. Rapid action is necessary to halt global warming, which results in aggressive policies. In this work, a multi-period pro
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Choudhury, G. Sayeed, Mark Lorie, Erin Fitzpatrick, et al. "Comprehensive access to printed materials (CAPM)." In the first ACM/IEEE-CS joint conference. ACM Press, 2001. http://dx.doi.org/10.1145/379437.379476.

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"CAPM, liquidity and real estate performances." In 11th European Real Estate Society Conference: ERES Conference 2004. ERES, 2004. http://dx.doi.org/10.15396/eres2004_509.

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Xiong, He-Ping. "Does Heterogeneous Investment Horizon Effect on CAPM." In 2008 4th International Conference on Wireless Communications, Networking and Mobile Computing (WiCOM). IEEE, 2008. http://dx.doi.org/10.1109/wicom.2008.2292.

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Ju, Xinke. "Comparison and Analysis of CAPM and BAPM Models." In 2014 International Conference on Mechatronics, Electronic, Industrial and Control Engineering. Atlantis Press, 2014. http://dx.doi.org/10.2991/meic-14.2014.15.

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Zhang, Ping, and Fuzhong Chen. "The CAPM Applicability Study on Chinese Stock Markets." In 2009 International Workshop on Intelligent Systems and Applications. IEEE, 2009. http://dx.doi.org/10.1109/iwisa.2009.5073172.

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Reports on the topic "CAPM"

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Zhang, Lu. The Investment CAPM. National Bureau of Economic Research, 2017. http://dx.doi.org/10.3386/w23226.

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Zhang, Lu. Q-factors and Investment CAPM. National Bureau of Economic Research, 2019. http://dx.doi.org/10.3386/w26538.

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Engel, Charles, and Anthony Rodrigues. A Test of International CAPM. National Bureau of Economic Research, 1986. http://dx.doi.org/10.3386/w2054.

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Campbell, John, Stefano Giglio, Christopher Polk, and Robert Turley. An Intertemporal CAPM with Stochastic Volatility. National Bureau of Economic Research, 2012. http://dx.doi.org/10.3386/w18411.

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Jagannathan, Ravi, and Iwan Meier. Do We Need CAPM for Capital Budgeting? National Bureau of Economic Research, 2002. http://dx.doi.org/10.3386/w8719.

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Ang, Andrew, and Joseph Chen. CAPM Over the Long Run: 1926-2001. National Bureau of Economic Research, 2005. http://dx.doi.org/10.3386/w11903.

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Engel, Charles, and Anthony Rodrigues. Tests of International CAPM with Time-Varying Covariances. National Bureau of Economic Research, 1987. http://dx.doi.org/10.3386/w2303.

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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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MacKinlay, A. Craig. Multifactor Models Do Not Explain Deviations from the CAPM. National Bureau of Economic Research, 1994. http://dx.doi.org/10.3386/w4756.

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Lewellen, Jonathan, and Stefan Nagel. The Conditional CAPM does not Explain Asset-Pricing Anamolies. National Bureau of Economic Research, 2003. http://dx.doi.org/10.3386/w9974.

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