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Journal articles on the topic 'CAPM (Capital Asset Pricing Model)'

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Published: 4 June 2021

Last updated: 19 June 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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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 a

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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 comp

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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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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 rel

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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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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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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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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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Wong, Wing-Keung, and Guorui Bian. "Robust estimation in Capital Asset Pricing Model." Journal of Applied Mathematics and Decision Sciences 4, no. 1 (2000): 65–82. http://dx.doi.org/10.1155/s1173912600000043.

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Bian and Dickey (1996) developed a robust Bayesian estimator for the vector of regression coefficients using a Cauchy-type g-prior. This estimator is an adaptive weighted average of the least squares estimator and the prior location, and is of great robustness with respect to at-tailed sample distribution. In this paper, we introduce the robust Bayesian estimator to the estimation of the Capital Asset Pricing Model (CAPM) in which the distribution of the error component is well-known to be flat-tailed. To support our proposal, we apply both the robust Bayesian estimator and the least squares e

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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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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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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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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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Chavan, Pravin, and Dhananjay Patil. "An Empirical Test of Capital Asset Pricing Model with reference to S&P BSE Sensex Index." RESEARCH REVIEW International Journal of Multidisciplinary 4, no. 2 (2019): 52–58. https://doi.org/10.5281/zenodo.2561600.

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Capital Asset Pricing Model (CAPM) relates expected returns from an asset and portfolio to its systematics risk (Market risk). The CAPM proposes that excess rate of return on an asset is directly proportional to its covariance (Beta) with the market return. CAPM is a widely used asset pricing model for investment analysis, whereas in late twentieth various other theories contradicted the model. Numerous studies have been conducted to test the validity of CAPM in developed markets. Besides, there are limited studies conducted for testing the CAPM in developing markets. The present study is an e

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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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Baghdadabad, Mohammad Reza Tavakoli, and Paskalis Glabadanidis. "Average Drawdown Risk and Capital Asset Pricing." Review of Pacific Basin Financial Markets and Policies 16, no. 04 (2013): 1350028. http://dx.doi.org/10.1142/s0219091513500288.

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Practitioners and academics have spent the past few decades debating the validity and relevance of the capital asset pricing model (CAPM). One of the attributes of the model is an estimate of risk by beta, which in equilibrium describe the behavior of mean-variance (MV) investors. In the MV framework, risk is measured by the variance of returns which is a questionable and restrictive risk measure. In contrast, the average drawdown risk is a more acceptable risk measure and can be applied to modeling an alternative behavioral hypothesis, namely mean-drawdown behavior with a replacement risk mea

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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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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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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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Safitri, Kristika, Tarno Tarno, and Abdul Hoyyi. "PENGUKURAN KINERJA PORTOFOLIO OPTIMAL SAHAM LQ45 MENGGUNAKAN METODE CAPITAL ASSET PRICING MODEL (CAPM) DAN LIQUIDITY ADJUSTED CAPITAL ASSET PRICING MODEL (LCAPM)." Jurnal Gaussian 10, no. 2 (2021): 230–40. http://dx.doi.org/10.14710/j.gauss.v10i2.29414.

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Investment is planting some funds to get profit and the stock is one of the type of investment in fincancial that the most interested for investors. To avoid the risk of investing, investors try to diversify their invesments by using portfolio. Stock portfolio is investment which comprised of various stocks from different companies, with the expect when the price of one stock decreases, while the other increases, then the investments do not suffer losses. Models that can be used to make a portfolio, one of them is Capital Asset Pricing Model (CAPM) and Liquidity Adjusted Capital Asset Pricing

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Brennan, Michael J., and Yuzhao Zhang. "Capital Asset Pricing with a Stochastic Horizon." Journal of Financial and Quantitative Analysis 55, no. 3 (2018): 783–827. http://dx.doi.org/10.1017/s0022109018001412.

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In this paper we present empirical tests of an extended version of the capital asset pricing model (CAPM) that replaces the single-period horizon with a probability distribution over different horizons. Adopting a simple parameterization of the probability distribution of the length of the horizon, we estimate the parameters of the distribution as well as the parameters of the CAPM. We find that the extended model is not rejected for several different samples of common stocks, and for these samples it outperforms not only the standard CAPM but also the Fama–French (1993) 3-factor model. The pr

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Xiao, Xingzhi. "Analysis of Capital Asset Pricing Model in Chinese Stock Market." Advances in Economics, Management and Political Sciences 78, no. 1 (2024): 73–76. http://dx.doi.org/10.54254/2754-1169/78/20241849.

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The Capital Asset Pricing Model (CAPM) is a key financial tool used to estimate the relationship between asset return and risk, helping investors make investment decisions, business valuation and risk management. The importance of CAPM is reflected in its ability to help investors understand market risk, build an optimized portfolio, estimate the cost of capital, evaluate investment performance, and test market efficiency. However, it is important to keep in mind that CAPM has its assumptions and limitations, and other factors should be considered in making decisions. This paper mainly studies

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Gita, Virni Sagita, Dara tista kaarubi Dara, and Novita fitrah ramadhani Novita. "LITERATURE REVIEW : ANALISIS KEAKURATAN CAPITAL ASSET PRINCING MODEL DAN ARBITRASE PRICING THEORY UNTUK MEMPERKIRAKAN RETURN SAHAM DALAM PERUSAHAAN." Jurnal Akuntansi, Keuangan, Perpajakan dan Tata Kelola Perusahaan 2, no. 2 (2024): 424–35. https://doi.org/10.70248/jakpt.v2i2.937.

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Penelitian ini bertujuan untuk meninjau ketepatan dan keakuratan Capital Asset Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT) dalam memprediksi return saham perusahaan. CAPM adalah model keuangan yang memperkirakan tingkat pengembalian yang diharapkan dari aset berdasarkan risiko sistematis, sementara APT mengasumsikan bahwa return pada aset merupakan fungsi linear dari berbagai faktor makroekonomi. Studi ini menggunakan metode Systematic Literature Review (SLR) dengan data sekunder dari 30 artikel yang membandingkan keakuratan CAPM dan APT. Berdasarkan analisis, 6 artikel menyimpulka

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Leng, Wenjie. "Application of Capital Asset Pricing Model in Finance." Highlights in Business, Economics and Management 45 (December 24, 2024): 307–12. https://doi.org/10.54097/j01fg368.

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In the financial sector, Mathematics is indispensable everywhere. To be precise, Portfolio Optimization and Risk Management are two common methods under investment. The article introduces Portfolio Optimization and Risk Management to explain how mathematics using in Finance. In Portfolio Optimization plate, this article starts with the basic theories, which include Markowitz portfolio theory and combine with the celebrated Capital Asset Pricing Model (CAPM). In Risk management, the article specifically describes how do calculus used in Value-at-Risk (VaR) and conditional VaR. This article uses

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Nyangara, Melody, Davis Nyangara, Godfrey Ndlovu, and Takawira Tyavambiza. "An Empirical Test of the Validity of the Capital Asset Pricing Model on the Zimbabwe Stock Exchange." International Journal of Economics and Financial Issues 6, no. 2 (2016): 365–79. https://doi.org/10.5281/zenodo.2548263.

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We test the empirical validity of the capital asset pricing model (CAPM) on the Zimbabwe Stock Exchange (ZSE) using cross-sectional stock returns on 31 stocks listed on the ZSE between March 2009 and February 2014. We conclude that, although the explanatory power of beta tends to fall rapidly for prediction horizons >6 months, beta significantly explains average monthly stock returns on the ZSE. Tests to validate the CAPM reject its validity for the ZSE however, primarily due to liquidity and skewness anomalies. We nevertheless fail to detect any size effects. There is encouraging evidence

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Park, Dojoon, Young Ho Eom, and Jaehoon Hahn. "Evaluating the Conditional CAPM using Consumption-based State Variables: Evidence from the Korean Stock Market." Korean Journal of Financial Studies 50, no. 3 (2021): 339–67. http://dx.doi.org/10.26845/kjfs.2021.06.50.3.339.

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In this study, we evaluate the empirical performance of conditional asset pricing models using consumption-based measures as state variables. We incorporate three consumption variables known to forecast the equity risk premium as conditioning variables to capture time variations in the risk premium. These three variables are the consumption-aggregate wealth ratio, the surplus consumption ratio, and the labor income to consumption ratio. The asset pricing models evaluated in this study are the CAPM, the CAPM with human capital, the consumption CAPM, and the Fama-French three-factor model. We co

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Guo, Ruimin. "The Theory of Asset Pricing." Advances in Economics, Management and Political Sciences 4, no. 1 (2023): 387–91. http://dx.doi.org/10.54254/2754-1169/4/2022908.

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This assignment explores the theory of asset pricing and mainly focuses on the capital asset pricing model (CAPM). Also, the assignment addresses the CAPM as a model that explains how the projected return on an asset is equivalent to the risk-free rate of return plus a risk premium that is proportionate to the asset's beta. The assignment further evaluates the advantages of the model and explains comprehensively some of the drawbacks that make the model criticized by most researchers. Therefore, criticizing the model led to the rise of other efficient asset pricing models. Hence one of the pop

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Nalini, G. S., and Trinley Paldon. "Investment Decision Using Capital Asset Pricing Model." Emerging Economies Cases Journal 4, no. 1 (2022): 44–48. http://dx.doi.org/10.1177/25166042221115240.

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In January 2020, Mr. Durai being an amateur investor wanted to diversify his portfolio by adding some fast-moving consumer goods (FMCG) stocks. He has chosen three FMCG stocks, namely Hindustan Unilever, Godrej Consumer Products and Dabur India, based on high trading volume. The capital asset pricing model (CAPM) is one of the widely followed techniques to measure risk and return of equity investment. The risk and return are the key factors that help investors to take an informed decision. To assess the risk and return profile of stocks, Mr. Durai considered monthly stock prices from 2015 to 2

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Ansari, Valeed A. "Capital Asset Pricing Model: Should We Stop Using It?" Vikalpa: The Journal for Decision Makers 25, no. 1 (2000): 55–64. http://dx.doi.org/10.1177/0256090920000114.

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The Capital Asset Pricing Model (CAPM) predicts that expected returns on securities are a positive linear function of their market ß s (betas) and market ß is adequate to describe the cross-section of expected returns. There is a controversy regarding the empirical validity of CAPM. This article reviews the content and scope of the model, examines the issues in the controversy, and provides an empirical assessment of the model in India. It notes that the evidence is not sufficient to drop the use of CAPM; one must, however, recognize and understand its limitations.

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Habis, Helga. "A three-period extension of the CAPM." Journal of Economic Studies 51, no. 9 (2024): 200–211. http://dx.doi.org/10.1108/jes-11-2023-0640.

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PurposeOur result of this paper aims to indicate that the beta pricing formula could be applied in a long-term model setting as well.Design/methodology/approachIn this paper, we show that the capital asset pricing model can be derived from a three-period general equilibrium model.FindingsWe show that our extended model yields a Pareto efficient outcome.Practical implicationsThe capital asset pricing model (CAPM) model can be used for pricing long-lived assets.Social implicationsLong-term modelling and sustainability can be modelled in our setting.Originality/valueOur results were only known fo

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Fama, Eugene F., and Kenneth R. French. "The Capital Asset Pricing Model: Theory and Evidence." Journal of Economic Perspectives 18, no. 3 (2004): 25–46. http://dx.doi.org/10.1257/0895330042162430.

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The capital asset pricing model (CAPM) of William Sharpe (1964) and John Lintner (1965) marks the birth of asset pricing theory (resulting in a Nobel Prize for Sharpe in 1990). Before their breakthrough, there were no asset pricing models built from first principles about the nature of tastes and investment opportunities and with clear testable predictions about risk and return. Four decades later, the CAPM is still widely used in applications, such as estimating the cost of equity capital for firms and evaluating the performance of managed portfolios. And it is the centerpiece, indeed often t

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Harijono, Harijono, Ari Budi Kristanto, and Apriani Dorkas Rambu Atahau. "Aplikasi Capital Asset Pricing Model dalam Evaluasi Kelayakan Investasi Daerah." Perspektif Akuntansi 4, no. 1 (2021): 1–12. http://dx.doi.org/10.24246/persi.v4i1.p1-12.

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Otonomi daerah mendorong pemerintah daerah untuk berinvestasi sebagai salah satu sarana meningkatkan pertumbuhan ekonomi daerah. Dalam rangka mengevaluasi keputusan investasi daerah perlu dilakukan analisis penganggaran modal. Capital Asset Pricing Model adalah metode perhitungan biaya modal dalam analisis investasi yang digunakan secara luas di dunia usaha. Penelitian ini bertujuan mengkaji aplikasi CAPM dalam keputusan investasi daerah. Dengan menggunakan data sekunder dari laporan keuangan dan laporan auditor hipotetis selama periode 2012-2017, hasil penelitian menunjukkan bahwa CAPM dapat

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Zahroh, Fatimatus, Ririn Irmadariyani, and Oktaviani Ari Wardhaningrum. "Komparasi Capital Asset Pricing Model dan Arbitrage Pricing Theory dalam Memprediksi Return Saham." Diversification: Journal of Economics and Management Studies 1, no. 1 (2024): 1–13. http://dx.doi.org/10.54373/djems.v1i1.968.

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This research aims to determine the comparison of the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in predicting stock returns of LQ45 index companies on the Indonesian Stock Exchange. Data analysis methods use Simple Regression Analysis, Multiple Regression Methods, and Difference tests. The results of data analysis show that there are differences between CAPM and APT in predicting stock returns. The emergence of varying differences in research results regarding the accuracy of the CAPM and APT models is caused by data disturbances that appear in the historical data u

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Acheampong, Prince, and Sydney Kwesi Swanzy. "Empirical Test of Single Factor and Multi-Factor Asset Pricing Models: Evidence from Non Financial Firms on the Ghana Stock Exchange (GSE)." International Journal of Economics and Finance 8, no. 1 (2015): 99. http://dx.doi.org/10.5539/ijef.v8n1p99.

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<p>This paper examines the explanatory power of a uni-factor asset pricing model (CAPM) against a multi-factor model (The Fama-French three factor model) in explaining excess portfolio returns on non-financial firms on the Ghana Stock Exchange (GSE). Data covering the period January 2002 to December 2011 were used. A six Size- Book-to-Market (BTM) ratio portfolios were formed and used for the analysis. The paper revealed that, a uni-factor model like the (CAPM) could not predict satisfactorily, the excess portfolio returns on the Ghana Stock Exchange. By using the multi-factor asset pric

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Chaudhary, Pankaj. "Test of CAPM: A Study of India and US." GIS Business 11, no. 5 (2016): 51–58. http://dx.doi.org/10.26643/gis.v11i5.3422.

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Asset pricing is one of the most important research areas in the field of finance. The simple CAPM model (capital asset pricing model) relates the return of the stocks and portfolios to the market factor captured by beta. Since the formulation of CAPM in 1960s, asset pricing has covered a long distance. We conduct the test of CAPM for India and US by using data from January 2001 to December 2015. We run 84 second pass cross-sectional regression equations to test the applicability of CAPM. The results of our test find that CAPM is not able to capture the cross section of average returns both in

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Barberis, Nicholas, Robin Greenwood, Lawrence Jin, and Andrei Shleifer. "X-CAPM: An extrapolative capital asset pricing model." Journal of Financial Economics 115, no. 1 (2015): 1–24. http://dx.doi.org/10.1016/j.jfineco.2014.08.007.

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Zabarankin, Michael, Konstantin Pavlikov, and Stan Uryasev. "Capital Asset Pricing Model (CAPM) with drawdown measure." European Journal of Operational Research 234, no. 2 (2014): 508–17. http://dx.doi.org/10.1016/j.ejor.2013.03.024.

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Bu, Chenxi. "CAPM: A Time-Tested Investment Model for Modern Portfolios." Highlights in Business, Economics and Management 36 (July 17, 2024): 473–76. http://dx.doi.org/10.54097/h71g1g11.

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This paper provides an in-depth exploration of the Capital Asset Pricing Model (CAPM), which is a pricing model that is an important part of financial theory. It will discuss the origins, assumptions and implications of the CAPM model in investment decisions and compares the pros and cons with other asset pricing models such as the single index model and the arbitrage pricing theory. The CAPM model has undergone significant evolution and adaptation over time through the recognition of its limitations and complexity of real-world markets as society developed at an increasing rate. Since CAPM wa

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Qemo, Silvi, and Eahab Elsaid. "Statistical Modelling of the Capital Asset Pricing Model (CAPM)." Accounting and Finance Research 7, no. 2 (2018): 146. http://dx.doi.org/10.5430/afr.v7n2p146.

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The purpose of this study is to derive a multiple linear regression model of the CAPM. More specifically, to test for other potential explanatory variables that can be added to the basic linear regression model for the expected returns on Apple Inc. The following explanatory variables were examined: share volume, outstanding shares, closing bid/ask spread, high/low spread and average spread. Using daily returns of Apple Inc. stock from 2007 till 2014 we were able to create a multiple linear regression model of CAPM that increase the R2 value from the basic linear regression model and enhances

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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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He, Tianchi. "The Upgrading of CAPM Model: from Fama-French 3 Factors to Multi-factors." BCP Business & Management 38 (March 2, 2023): 3462–67. http://dx.doi.org/10.54691/bcpbm.v38i.4329.

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In general, financial theorem has always been particularly interested in the trade-off for dynamics of associated risk and expected return. This mystery had remained convoluted for decades until William Sharpe and John Lintner developed the first practical framework of the Capital Asset Pricing Models (CAPM). As a matter of fact, CAPM is founded on the idea that asset prices are influenced by inherent, risk free and market risk returns, and diversification of portfolios also benefited the investor for risk reduction. Since this finding, many advancements have been made beyond the initial model

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Jiang, Haihua. "Capital Asset Pricing Model and its Application on Investment Risk." Highlights in Business, Economics and Management 45 (December 24, 2024): 300–306. https://doi.org/10.54097/f832wg56.

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This study explores the utilization of the Capital Asset Pricing Model (CAPM), serving as a key instrument in the realm of asset management, with the objective of maximizing financial gains while minimizing potential hazards. The introduction highlights the significance of CAPM in guiding investment decisions and portfolio management by providing a theoretical framework to assess the potential earnings of an investment in relation to the inherent risks associated with it. The body of the paper outlines the fundamental concepts of CAPM, including its underlying assumptions and the mathematical

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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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Zou, Houyu. "A Literature Review on the Capital Asset Pricing Model in Finance." Advances in Economics, Management and Political Sciences 26, no. 1 (2023): 56–60. http://dx.doi.org/10.54254/2754-1169/26/20230543.

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CAPM (Capital Asset Pricing Model) plays an extremely important role in the financial sector. However, since the establishment of the model, the discussion and dispute about it have never stopped. It predicts future data through past market data. However, with the deepening of research, people find that the stock returns in the capital market do not conform to CAPM. The results obtained by the capital asset pricing model may be due to the lack of data validity in the market, which leads to its own inability to carry out relevant tests. In different regions, scholars in some regions have also c

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Pooja, R., Parthajit Kayal, and Moinak Maiti. "Enhancing portfolio decision-making: a capital asset pricing model-based clustering analysis." Journal of Economic Studies 51, no. 9 (2024): 358–79. https://doi.org/10.1108/jes-08-2024-0573.

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PurposeTo enhance portfolio decision-making using a capital asset pricing model-based clustering analysis.Design/methodology/approachCapital asset pricing model (CAPM); K-means clustering; agglomerative clustering.FindingsEmploying clustering along with CAPM to identify varying levels of risk appetite among customers enables the customization of security recommendations, enhancing client satisfaction and portfolio performance.Originality/valueBy employing multi-factor models as the foundation for clustering, thereby integrating additional dimensions of risk and return.

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Zhang, Wo. "Research on the Applicability of the Capital Asset Pricing Model in the Chinese Market." Advances in Economics, Management and Political Sciences 175, no. 1 (2025): 83–88. https://doi.org/10.54254/2754-1169/2025.21981.

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With the development of China's capital market, how to conduct reasonable asset pricing has become an important issue. More and more scholars have begun to study the application of the classic asset pricing model Capital Asset Pricing Model (CAPM) in the Chinese market. This paper introduces the basic assumptions and conclusions of the CAPM model, and sorts out the application of the CAPM model in different stages, sectors and market cycles of the Chinese market. It also summarizes the changes of scholars' empirical analysis methods at different stages, and draws a conclusion that the overall

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