Relevant bibliographies by topics / CAPM (Capital Asset Pricing Model)

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  2. Dissertations / Theses
  3. Books
  4. Book chapters
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Academic literature on the topic 'CAPM (Capital Asset Pricing Model)'

Author: Grafiati
Published: 4 June 2021
Last updated: 19 June 2025

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

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

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The examination of the predictive power of CAPM and CCAPM in determining risk premium in Nigeria between 1999-2014 shows that CAPM is statistically significant for all equities although the coefficient is relatively high. However, CCAPM was statistically not significant for all equities listed though the results was meaningful. This is in line with the findings of Mankiw and Shapiro (1986), Chen (2003) and Idolor (2012) where the authors’ findings did not support CCAPM but concluded that the superiority of CAPM is a puzzle. In conclusion Capital Asset Pricing Model produced a more meaningful and statistically significant result in predicting equity premium in Nigeria than Consumption Capital Asset Pricing Model.
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Takouachet, Rania. "Capital asset pricing model." Finance and Business Economies Review 4, no. 1 (2020): 165–89. http://dx.doi.org/10.58205/fber.v4i1.645.

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This study aims to identify the model of capital asset pricing (CAPM), which occupies a privileged positionin the stock market because it is one of the analysis tools that take into account the relationship betweenreturn and risk in securities and capital investments in general. Which is considered one of the mostimportant discoveries in the modern financial economy where despite the many criticisms of this model, thebasic model has simplicity, speed and ease. This feature has kept this model in use today and on a largescale by most specialists in the financial field.
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Hazny, Mohamad Hafiz, Haslifah Mohamad Hasim, and Aida Yuzy Yusof. "Mathematical modelling of a shariah-compliant capital asset pricing model." Journal of Islamic Accounting and Business Research 11, no. 1 (2020): 90–109. http://dx.doi.org/10.1108/jiabr-07-2016-0083.

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Purpose The capital asset pricing model (CAPM) is the most widely used asset pricing model that measures risk–return relationship. The CAPM is based on Markowitz’s mean variance analysis. The advancement of Islamic finance leads to the question whether or not the practice of modern investment theories and analyses such as the Markowitz’s mean variance analysis and CAPM are in accordance to shariah and could be used in pricing Islamic financial assets. Therefore, this paper aims to present a review of the CAPM and to discourse the set of assumptions underlying the model in terms of shariah compliance. Design/methodology/approach Although most of the assumptions are not contradictory to shariah principles, there are Islamic variables such as prohibition of short selling, purification and zakat that should be taken into consideration when pricing Islamic financial assets. We then develop a mathematical model which is a modification of the traditional CAPM that incorporates principles of Islamic finance and integrating zakat, purification of return and exclusion of short sales. Findings As a proof-of-concept, this paper presents the results of an empirical study on the proposed shariah-compliant CAPM in comparison to the traditional CAPM. The results show that the proposed Islamic CAPM is appropriate and applicable in examining the relationship between risk and return in the Islamic stock market. Originality/value This study contributes to existing body of knowledge by presenting an algorithm and mathematical derivation of the shariah-compliant CAPM which has been lacking in the literature of Islamic finance. The paper offers a novel approach in pricing Islamic financial assets in accordance to shariah, advocated by modern investment theories of Markowitz’s mean variance analysis and CAPM.
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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 results of empirical testing by regression analysis supported the CAPM’s validity for these sectors in Pakistan and found CAPM β as a single factor which was priced by the market. The KSE-100 index was used as a market, and the year treasury-bills return rate was taken as a risk-free rate.
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A, Sandhya, and Dr Ravichandra Reddy. "Capital Asset Pricing Model: Analysis, Flaws & Solutions." International Scientific Journal of Engineering and Management 03, no. 12 (2024): 1–6. https://doi.org/10.55041/ijsrem39490.

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In the ambit of earning from the investments in the capital market it always comes with risk component. Parallelly the risk element is influenced different factors and a model known as CAPM. CAPM developed by Sharpe (1964) and Lintner (1965), the CAPM suggests that only certain types of risk, particularly market-related risk, affect a company’s stock price. In this case, CAPM is taken as a measure to estimate the expected return on its shares based on its market beta and the risk-free rate. While CAPM remains a cornerstone in asset pricing and investment decisions. Despite CAPM’s continued relevance in financial modelling, there are concerns that its underlying assumptions may oversimplify Tata Motors' real-world risk factors, such as industry-specific challenges and global market volatility. This paper explores the practical application of CAPM to Tata Motors, highlighting its insights and limitations in predicting the company's return on equity (ROE). KEYWORDS- Capital Asset Pricing Model; CAPM, Risk, Return, Beta, Risk-free rate.
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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 application in investment evaluation. There are three variables in CAPM model, risk-free rate of return, equity risk premium and beta. The weakness about application in investment evaluation shows that in beta of projects and firms are different, complex restructure and periods. The Arbitrage Pricing Theory (APT) can be an option of CAPM, and it is a more flexible and complex model compared with CAPM. However, the latest research proves that Portfolio Theory has very big problems. High-risky assets do not necessarily have high returns. This view may be embodied in "low-risk anomalies" and "Idiosyncratic Volatility". In the future, researchers will introduce more elements for CAPM to improve accuracy, or develop new models.
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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 factor drives out the money growth factor, the conditioning CAY factors of Lettau and Ludvigson (2001b) add explanatory power.
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Perold, André F. "The Capital Asset Pricing Model." Journal of Economic Perspectives 18, no. 3 (2004): 3–24. http://dx.doi.org/10.1257/0895330042162340.

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

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Davies, Philip R. "Empirical tests of asset pricing models." Columbus, Ohio : Ohio State University, 2007. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1184592627.

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Messner, Bryce Jaden. "Investing in United States Farmland: A Capital Asset Pricing Model Analysis." Thesis, North Dakota State University, 2019. https://hdl.handle.net/10365/31635.

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This study examines the risk and returns to owning United States farmland. State, regional, and national farmland returns from 1998 to 2018 are analyzed via the capital asset pricing model. Results show that farmland may be an effective route of investment portfolio diversification due to its favorable returns and low correlation with other commonly held assets. This study’s findings are generally consistent with similar research conducted in the past.
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Carter, Bradley. "Capital asset pricing model (CAPM) applicability in the South African context and alternative pricing models." Diss., University of Pretoria, 2015. http://hdl.handle.net/2263/52363.

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The ability to accurately price equity is an ineluctable requirement within businesses where decisions need to be taken daily that impact upon the future viability of that business. The Capital asset pricing model (CAPM) is the preeminent tool that has become entrenched within academia and business for exactly the purpose of costing equity capital. This study aimed to prove whether the application of the CAPM, in various forms, including the Black s CAPM, was merely a myopic inculcation of the academic and business spheres, or whether it truly reflected the empirical reality of the South African markets. The research discredited eight variations of the CAPM through a quantitative causal design, which employed t-tests and ANOVAs, tested upon a judgmental sample of the largest 160 shares on the JSE. Reaching this opprobrium would have been a Pyrrhic victory, had an alternative model not been proposed. Thus, a quartet of styles was employed in tests against both non-resource and resource shares in an attempt to generate two multi-factor models known as the Optimised Returns Score (ORS) combined models. The generated model for the non-resource shares explained 36.5% of the variation in the observed cost of equity capital, at a 95% level of significance. However, a statistically significant predictive model for resource shares was unable to be found, possibly due to the small sample size available.<br>Mini Dissertation (MBA)--University of Pretoria, 2015.<br>sn2016<br>Gordon Institute of Business Science (GIBS)<br>MBA<br>Unrestricted
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Hower, Sascha. "Unternehmensbewertung mit dem Tax-CAPM: Fortschritt oder nicht pragmatische Komplexitätssteigerung? /." Aachen : Shaker, 2008. http://d-nb.info/99025903X/04.

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Hadjieftychiou, Aristarchos. "The CAPM approach to materiality." Thesis, This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-12172008-063723/.

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Elshqirat, Mohammad Kamel. "Multifactor Capital Asset Pricing Model in the Jordanian Stock Market." ScholarWorks, 2018. https://scholarworks.waldenu.edu/dissertations/5186.

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A valid and accurate capital asset pricing model (CAPM) may help investors and mutual funds managers in determining expected returns and thus, may increase profits which can be reflected on the community resources. The problem is that the traditional CAPM does not accurately predict the expected rate of return. A more accurate model is needed to help investors in determining the intrinsic price of the financial asset they want to sell or buy. The purpose of this study was to examine the validity of the single-factor CAPM and then develop and test the validity of a multifactor CAPM in the Jordanian stock market. The study was informed by the modern portfolio theory and specifically by the single-factor CAPM developed by Sharpe, Lintner, and Mossin. The research questions for the study examined the factors that may explain the variation in the expected rate of return on stocks in the Jordanian stock market and the relationship between the expected rate of return and factors of market return, company size, financial leverage, and operating leverage. A causal-comparative quantitative research design was employed to achieve the purpose of the study by testing the listed companies on the Amman stock exchange (ASE) for the period from 2000 to 2015. Data were collected from the ASE database and analyzed using the multiple regression model and t test. The results revealed that market return, company size, and financial leverage are not predictors of the expected rate of return while operating leverage is a predictor. The results of this study may contribute to positive social change by changing the way the individual investors and mutual funds managers select their investing portfolios which can lead to better resource distribution in the economy.
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Höge, Christin. "Kapitalkosten zur Investitionsbewertung in der Energiewirtschaft." Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2014. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-152278.

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Die Wahl risikoadäquater Kapitalkosten ist Voraussetzung für eine Investitionsentscheidung im Interesse der Investoren. In der Energiewirtschaft wird die Ermittlung der Eigenkapitalkosten mit Hilfe des Capital Asset Pricing Models (CAPM) infolge fehlender Kapitalmarktdaten für Investitionen in regenerative Energien sowie durch die Existenz neuer Marktakteure mit eingeschränkter Risikostreuung allerdings mehr und mehr erschwert. Der vorliegende Beitrag beschreibt ein Forschungsvorhaben zur Entwicklung eines modellbasierten Ansatzes, der die veränderten Bedingungen durch den Wandel in der Energiewirtschaft aufgreifen und damit verbundene Problemfelder lösen soll.
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Laurente, García María Marisol, and Villalobos Leyla del Milagro Saldaña. "Controversia del CAPM con relación al riesgo y rentabilidad de activos financieros frente a otros modelos alternativos y derivados." Bachelor's thesis, Universidad Peruana de Ciencias Aplicadas (UPC), 2019. http://hdl.handle.net/10757/628015.

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El presente trabajo tiene como objetivo analizar el uso y aplicación del modelo de valoración de activos de capital, CAPM, como herramienta de planificación y evaluación financiera, comparándolo con otros modelos alternativos. El CAPM propone una relación entre el riesgo y rendimiento de un activo. El riesgo está representado por el coeficiente beta, que mide la sensibilidad del instrumento financiero en relación con el riesgo sistemático, ya sea en un portafolio de activos o en la valoración de una empresa. Debido a que existen críticas sobre la validez del CAPM, en este estudio se busca conocer la efectividad que tiene el uso y la aplicación del modelo. Para ello, se han buscado evidencias empíricas, en diferentes países, y sectores económicos en las que se compara el CAPM con otros modelos alternativos, tales como el APT o el de Tres Factores Fama y French que, según la investigación realizada, serían los más utilizados. Los resultados de esta investigación muestran que el CAPM no ofrece necesariamente resultados positivos significativos en los estudios revisados. Sin embargo, ello no quiere decir que el CAPM no sea un modelo suficiente para predecir la relación riesgo – rentabilidad en los casos en los que se aplica. Se concluye por ello que, a pesar de que existen modelos alternativos tratando de superar las limitaciones del CAPM, hoy en día este modelo sigue siendo el más utilizado fundamentalmente por su sencillez y por su capacidad de explicar y predecir, de manera suficiente, en la mayoría de las aplicaciones generales.<br>The objective of this paper is to analyze the use and application of the capital asset pricing model, CAPM, as a planning and financial evaluation tool and to compare it with other alternative models. The CAPM propose a relationship between the risk and return of an asset. The risk is represented by coefficient called beta, which measures the sensitivity of the financial asset in relation to it´s systematic risk, either in a portfolio or in the valuation of a company. Given that there are controversies about the validity of the CAPM, the study is gad is to understand the effectiveness of the use and application of the model. In order to do that, evidence, in different countries and economic sectors, is presented in which the CAPM is compared with other alternative models, such as the APT or the Fama and French Three Factor, according to this investigation would be the most used. The results of this investigation shown that, the CAPM, even though it is not able to offer significant positives results in the studies reviewed. However, it is not a sufficient model for predictins the risk - return relationship in the cases where it applies. It is concluded for that, although there are alternatives models trying to overcome the limitations of the CAPM, this model is nowadays the most used yet, fundamentally because of its simplicity and its ability to explain and predict, in a sufficient fashion, in most of the general applications.<br>Trabajo de Suficiencia Profesional
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Zhuang, Yuchen. "Risk, return and market condition: a new functional-beta capital asset pricing model." Thesis, Curtin University, 2009. http://hdl.handle.net/20.500.11937/78.

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In this research, we will focus on investigating the relationship between risk and return. We will propose a new model which leads to a more sensible approach to modelling the relationship between risk and return under different market conditions. It is an extension of the traditional single-index capital asset pricing model (CAPM) which reads as: The return R[subscript]i on individual Security i can be decomposed into the specific return α[subscript]I + ε[subscript]i (expected specific return α[subscript]i and random specific return ε[subscript]i) and the systematic return β[subscript]iR[subscript]m owing to the common market return R[subscript]m.In our new model, we suggest a functional-beta single-index CAPM, extending the work of three-beta CAPM (Galagedera and Faff, 2004) that takes into account the condition of market volatility. Differently from the three-beta CAPM, we allow β[subscript]i changing functionally with the market volatility σ[subscript]m, which is more flexible and adaptable to the changing structure of financial systems. The main contributions of this thesis are summarised as follows:• A new functional-beta CAPM, taking into account the conditions of market volatility, is proposed under the framework of widely applicable data generating processes of near epoch dependence (NED).• A semi-parametric estimation procedure based on least squares local linear modelling technique under NED is suggested with the large sample distributions of the estimators established.• Simulation study is fully made, illustrating that the suggested estimation procedure for the proposed functional-beta CAPM under near epoch dependence can work well. It provides reasonable estimates of the functional beta in the condition of moderate market volatility.• By using a set of stocks data sets collected from Australian stock market in the past ten years, empirical evidences of the functional-beta CAPM in Australia are carefully examined under both nonparametric and parametric model structures. Differently from the three- or multi-beta (constant) CAPM in Galagedera and Faff (2005), our new findings show that the functional beta can be reasonably parameterized as threshold (regime-switching) linear functions of market volatility with two or three regimes of market condition. In the condition of extreme market volatility, a threshold functional-beta CAPM is suggested.The CAPM provides a usable measure of risk that helps investors determine what return they deserve for putting their money at risk. Our new model is no doubt helpful to better understand the relationship between risk and return under different market conditions. It can be potentially applied widely, for example, it may be useful both for market investors and financial risk managers in their investment/management decision-making.
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Czekierda, Bartosz. "The Capital Asset Pricing ModelTest of the model on the Warsaw Stock Exchange." Thesis, Örebro universitet, Institutionen för ekonomi, statistik och informatik, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-4814.

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Since 1994 when the Warsaw Stock Exchange has been acknowledged as a full member of World Federation of Exchanges and became one of the fastest developing security markets in the region, it has been hard to find any studies relating to the assets price performance on this exchange. That is why I decided to write this paper in which the Nobel price winning theory namely the Capital Asset Pricing Model has been tested. The Capital Asset Pricing Model (or CAPM) is an equilibrium model which relates asset’s risk measured by beta to its returns. It states that in a competitive market the expected rate of return on an asset varies in direct proportion to its beta. In this paper the performance of 100 stocks traded continuously on the main market in the years 2002-2006 has been tested. I have performed three independent tests of the CAPM based on different methods and techniques to better check the validity of the theory and then compared the results. As in the case of many other studies of the Capital Asset Pricing Model, this one didn’t find a complete support for the model but couldn’t reject some of its features either.
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Books on the topic "CAPM (Capital Asset Pricing Model)"

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

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

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

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

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

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

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

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

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

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

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Book chapters on the topic "CAPM (Capital Asset Pricing Model)"

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

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

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

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

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

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

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

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

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

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

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Conference papers on the topic "CAPM (Capital Asset 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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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 dynamics, which leads to limiting the possibility of solving the existing uncertainty over the time regarding the optimal use of resources. The need to optimize managerial strategies and give some flexibility to decision-makers in relation to the changes in the organization's external environment has triggered the real options analysis (ROA). By using ROA, a win-win situation is created in which the available policy options mitigate uncertainty fluctuations of updated net worth (based on new information available) and, at the same time, by applying the best strategy, maximize earnings. Information security systems are designed on a layered architecture and the decision to improve performance on each layer is the responsibility of strategic management. Being a modular system, it is recommended to build the architecture by stages, depending on the value of the assets. Also, the relatively long duration and costs of implementation, limited resources, irreversible character, and project risks determine the value and evaluation of the investment, involving its representation as a combined option associated with a succession of decisions. The proposed model is inspired from the theory of financial and real options, but also from the fuzzy logic. This approach seeks to anchor specific mechanisms for the study of asymmetric risk events in the security market (perfect market assumptions are of course limiting but provide a quick overview, which is essential for the proposed application). Using the capital asset pricing model (CAPM), the return on investments in the security of IT &amp; C systems, by reference to the investment risk as the estimated value, is defined. Investors can take risks that can be broken down into two components: systematic risks and non-systemic risks. Systematic risk refers to the variability of income caused by external factors (macroeconomic conditions), being a measure of the relative market volatility of relative incomes. Unsystematic risk refers to income variability caused by unpredictable factors (mismanagement decisions, abrupt technologies overtaken). The depreciation of security investments is inherent and leads to the dilemma of small and frequent investments or major and rare investments. On this issue, the proposed model can provide solutions to decision-makers. Uncertainty, irreversibility, growth potential and competition are factors that influence the behavior and investment decision. We consider that by using the capital asset pricing model in the security investments associated with eLerning training systems, we can increase the precision of optimal investment in terms of risk and opportunity balancing.
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Gamonwet, Pasapong, and Charles O. P. Marpaung. "Electricity retail price in competitive market using the risk-adjusted capital asset pricing model (CAPM): A case of Thailand." In 2011 International Conference & Utility Exhibition on Power and Energy Systems: Issues and Prospects for Asia (ICUE). IEEE, 2011. http://dx.doi.org/10.1109/icuepes.2011.6497712.

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

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The thesis of this paper is mathematical formulation of the laws of Economics with application of the principle of Least Action of classical mechanics. This paper is proposed as the rigorous mathematical approach to Economics provided by the fundamental principle of the physical science – the Principle of Least Action. This approach introduces the principle of Action into main-stream economics and allows reconcile main principles Austrian School of Economics and the laws of market, such Say’s law and marginal value and interest rate theory, with the modern results of mathematical economics, such as Capital Asset Pricing Model (CAPM), game theory and behavioral economics. This principle is well known in classical mechanics as the law of conservation of action that governs any system as a whole and all its components. It led to the revolution in physics, as it allows to derive the laws of Newtonian and quantum mechanics and probability. Ludwig von Mises defined Economics is the science of Human Action. Action is introduced into Economics by the founder of Austrian School of Economic, Carl Menger. Production or acquisition of any goods, services and assets are results of purposeful acts in the form of expenditure of work and energy in the form of flow of money and material resources. Humans take them to achieve certain desired goals with given resources and time. Any economic good and service, financial, productive, or real estate asset is the result of such action.
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Li, Xinzhu. "Applicability Evaluation to Capital Asset Pricing Model." In 2012 National Conference on Information Technology and Computer Science. Atlantis Press, 2012. http://dx.doi.org/10.2991/citcs.2012.4.

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

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

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

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

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

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Reports on the topic "CAPM (Capital Asset 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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