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Journal articles on the topic 'CAPM'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

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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2

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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4

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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10

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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11

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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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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13

Candela, Thomas, Michèle Mock, and Agnès Fouet. "CapE, a 47-Amino-Acid Peptide, Is Necessary for Bacillus anthracis Polyglutamate Capsule Synthesis." Journal of Bacteriology 187, no. 22 (2005): 7765–72. http://dx.doi.org/10.1128/jb.187.22.7765-7772.2005.

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ABSTRACT Polyglutamate is found in various bacteria, but displays different functions depending on the species and their environment. Here, we describe a minimal polyglutamate synthesis system in Bacillus anthracis. In addition to the three genes previously described as sufficient for polyglutamate synthesis, this system includes a small open reading frame, capE, belonging to the cap operon. The polyglutamate system's requirement for the five cap genes, for capsulation and anchoring, was assayed in nonpolar mutants. The capA, capB, capC, and capE genes are all necessary and are sufficient for

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14

Tobing, Ainun Sakinah L., Nur Aisyah Fitri, Qori Fadla Ajmilia, and Isfenti Sadalia. "Optimal Portfolio Analysis of LQ-45 Stocks Based on Capital Asset Pricing Model." West Science Business and Management 2, no. 04 (2024): 1101–13. https://doi.org/10.58812/wsbm.v2i04.1443.

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Analysis of optimal portfolio formation for LQ-45 stocks using the Capital Asset Pricing Model (CAPM) is an interesting and complex topic in financial management. This study aims to calculate the expected return and systematic risk of each LQ-45 stock, and evaluate the combination of these stocks to form an optimal portfolio. By using CAPM and Modern Portfolio Theory (MPT), this study can provide a comprehensive framework to understand the risk-return dynamics of stock investment. Despite the limitations of CAPM, this study shows that CAPM remains an important tool in investment analysis. Reco

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15

Wu, Mengyun, Muhammad Imran, YanHua Feng, Linrong Zhang, and Muhammad Abbas. "Review and Validity of Capital Asset Pricing Model: Evidence from Pakistan Stock Exchange." International Research in Economics and Finance 1, no. 1 (2017): 21. http://dx.doi.org/10.20849/iref.v1i1.267.

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Since the inception of prospects theory of Markowitz (1952) which leads to the development of CAPM has been studied and applied in many ways. Some researchers conclude that CAPM is valid and could be used for valuation of securities and cost of equity. However, critiques arise that CAPM is a single risk factor and remark that a single factor model cannot be generalized in the overall capital markets because the capital market absorbs many other risk factors. The CAPM has been applied to the Pakistan’s Stock Exchange to check the validity of CAPM for a sample of 306 individual firms and 18 indu

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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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17

Zhu, Runqi. "Comparative Research of the Fitness of CAPM and Fama-French Three-factor Models." BCP Business & Management 30 (October 24, 2022): 803–7. http://dx.doi.org/10.54691/bcpbm.v30i.2568.

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CAPM theory is the core of the modern financial theory. As time went on, more and more people began to invest in CAPM research, many of the contradictions of CAPM have emerged, not least the highly idealistic assumptions and harsh implementation conditions. Different from CAPM, which only has a single factor of market risk beta, The inclusion of size premium and book-to-market ratio premium in this model can effectively explain stock market results. By introducing the model concept of CAPM and FF3 and comparing the empirical evidence in Sattar, M., this paper explains why the explanatory power

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18

El-Masry, Ahmed, and Dalia A. El-Mosallamy. "A comparative study of the performance of Saudi mutual funds." Corporate Ownership and Control 13, no. 4 (2016): 89–102. http://dx.doi.org/10.22495/cocv13i4p9.

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This study examines the performance of 21 Saudi mutual funds using the CAPM and downside CAPM D-CAPM models over the period 2005-2011. Initially equity fund performance is examined against two benchmarks TASI and the GCCI Islamic index utilizing the traditional beta and CAPM performance evaluation measures. The evaluation is then replicated utilizing the downside beta and other tests of funds’ performance derived from the CAPM in the down side framework. The results indicate that the downside beta could be more relevant in terms of its higher explanatory power than the traditional beta and thu

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19

Hirth, Hans, and Martin Walther. "Firmengröße im CAPM." WiSt - Wirtschaftswissenschaftliches Studium 45, no. 12 (2016): 641–45. http://dx.doi.org/10.15358/0340-1650-2016-12-641.

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20

Haslam, Peter J. "CAPM pessimism ‘unjustified’." Production Engineer 64, no. 1 (1985): 6. http://dx.doi.org/10.1049/tpe.1985.0007.

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Barber, K. D. "CAPM requires planning." Production Engineer 64, no. 3 (1985): 7. http://dx.doi.org/10.1049/tpe.1985.0061.

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22

Medeiros, Marcelo C., Álvaro Veiga, Cristiano A. C. Fernandes, and Fabiano S. Oliveira. "CAPM Model Extensions." IFAC Proceedings Volumes 31, no. 16 (1998): 39–43. http://dx.doi.org/10.1016/s1474-6670(17)40456-3.

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23

Zhang, Lu. "The Investment CAPM." European Financial Management 23, no. 4 (2017): 545–603. http://dx.doi.org/10.1111/eufm.12129.

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24

Husmann, Sven, and Neda Todorova. "CAPM option pricing." Finance Research Letters 8, no. 4 (2011): 213–19. http://dx.doi.org/10.1016/j.frl.2011.03.001.

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25

Zhao, Xutong. "The Application of the Capital Asset Pricing Model (CAPM) in the Field of Asset Management." Advances in Economics, Management and Political Sciences 71, no. 1 (2024): 144–49. http://dx.doi.org/10.54254/2754-1169/71/20241459.

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The Capital Asset Pricing Model (CAPM) has been a cornerstone of modern finance theory since its introduction by William Sharpe in the 1960s. This research article explores the application of the CAPM in the field of asset management. Besides, the CAPM provides a framework for understanding the relationship between risk and return, aiding asset managers in making informed investment decisions. This article discusses the key components of the CAPM, its limitations, and its practical implications in portfolio construction, risk assessment, and performance evaluation. Through an analysis of empir

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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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SAFIRA, ICHA WINDA DIAN, KOMANG DHARMAWAN, and DESAK PUTU EKA NILAKUSMAWATI. "PENENTUAN KEPUTUSAN INVESTASI SAHAM MENGGUNAKAN CAPITAL ASSET PRICING MODEL (CAPM) DENGAN PENAKSIR PARAMETER STOKASTIK." E-Jurnal Matematika 10, no. 4 (2021): 251. http://dx.doi.org/10.24843/mtk.2021.v10.i04.p351.

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CAPM is a method of determining efficient or inefficient stocks based on the differences between individual returns and expected returns based on the CAPM’s positive value for efficient and negative value for inefficient stocks. The move to share prices in the process can influence investors's decisions in investing funds, so that it can be formulated in stochastic differential equations that form the Geometric Brownian Motion model (GBM). The purpose of the study is to determine return value using the CAPM based on share estimates and historical stock prices. The study uses secondary data tha

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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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Yunita, Irni, Tieka Tri Kartika Gustyana, and Dwi Kurniawan. "ACCURACY LEVEL OF CAPM AND APT MODELS IN DETERMINING THE EXPECTED RETURN OF STOCK LISTED ON LQ45 INDEX." Jurnal Aplikasi Manajemen 18, no. 4 (2020): 797–807. http://dx.doi.org/10.21776/ub.jam.2020.018.04.17.

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This study determines the accuracy level of CAPM and APT in determining the expected return of LQ45 and comparing the expected return from CAPM and APT models. This study uses descriptive and comparative research approaches. The population is all stocks listed in the LQ45 index while the sampling method used is purposive sampling with stock criteria that have complete data for the period November 2015 - November 2019. This study uses an independent sample t-test in testing the expected return differences between the CAPM and APT models. The result showed that the CAPM Model was more accurate i

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Liu, Yuhan. "Applicability Analysis of Cryptocurrency Market Based on Capital Asset Pricing Model." Highlights in Business, Economics and Management 24 (January 22, 2024): 923–28. http://dx.doi.org/10.54097/dkzd7p22.

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At present, there are approximately 9300 types of cryptocurrencies in the cryptocurrency market, with Bitcoin, Ethereum, and other representative cryptocurrencies receiving widespread attention. Currently, scholars have conducted a lot of research on stock pricing using the Capital Asset Pricing Model (CAPM), but there is little research on the application of CAPM in the emerging cryptocurrency market. This article uses the CAPM to conduct an applicability analysis of CAPM of the top 10 cryptocurrencies in the cryptocurrency market from August 1 2021 to July 31 2023. The analysis process invol

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Chang, Bojun. "Customer Risk Management and CAPM Model Application." Modern Economics & Management Forum 4, no. 3 (2023): 47. http://dx.doi.org/10.32629/memf.v4i3.1372.

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Purpose: The purpose of this paper is to discuss the combined application of customer risk management and CAPM model, specifically including the definition, classification and assessment methods of customer risk, as well as the basic principles, formulas and assumptions of CAPM model. The paper will also analyse the application and improvement of the CAPM model in domestic and international capital markets, as well as risk management practices based on the CAPM model. Methods: A review and analysis of relevant literature. Results: Effective customer risk management can help financial instituti

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Ye, Jihua. "Systematic Risk and Idiosyncratic Risk: Their Application in the Capital Asset Pricing Model and Modern Portfolio Theory." Advances in Economics, Management and Political Sciences 184, no. 1 (2025): 103–8. https://doi.org/10.54254/2754-1169/2025.bl23217.

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This article aims to summarize the previous researches, and explore the application of Systematic Risk and Idiosyncratic Risk in CAPM model. The paper talks about Critical Analysis of CAPM Assumptions, Beta Calculation and Interpretation, and gives some Examples from Empirical Data to analyze the authors main viewpoints toward the application of systematic risk and idiosyncratic risk. In summary, this research underscores the significance of systematic risk in the context of calm market conditions and offers valuable insights for both academic and practical domains. It lays the groundwork for

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Zhao, Bohan, Hong Yin, and Yonghong Long. "An Advanced Time-Varying Capital Asset Pricing Model via Heterogeneous Autoregressive Framework: Evidence from the Chinese Stock Market." Mathematics 13, no. 1 (2024): 41. https://doi.org/10.3390/math13010041.

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The capital asset pricing model (CAPM) is a foundational asset pricing model that is widely applied and holds particular significance in the globally influential Chinese stock market. This study focuses on the banking sector, enhancing the performance of the CAPM and further assessing its applicability within the Chinese stock market context. This study incorporates a heterogeneous autoregressive (HAR) component into the CAPM framework, developing a CAPM-HAR model with time-varying beta coefficients. Empirical analysis based on high-frequency data demonstrates that the CAPM-HAR model not only

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Sari, Cindy Mela Kurnia, and Nafik Hadi Ryandono. "PENGUJIAN CAPITAL ASSET PRICING MODEL (CAPM) DALAM MENILAI RISIKO DAN RETURN SAHAM JAKARTA ISLAMIC INDEX (JII) DENGAN TWO PASS REGRESSION." Jurnal Ekonomi Syariah Teori dan Terapan 5, no. 9 (2019): 775. http://dx.doi.org/10.20473/vol5iss20189pp775-790.

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The aim of this research is to investigate the validity of Capital Asset Pricing Model (CAPM) in assessing risk and return of Sharia stock in JII during 2014-2016. The samples are 18 companies obtained by purposive sampling. This research uses quantitative approach with two pass regression method. The result of empirical testing explains that CAPM is not accurate because one of the CAPM assumption is unfulfilled that the beta value is negative and not significant to the expected return. This results fail to confirm linear and positive relation between beta and the expected return such in the C

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Tambosi Filho, Elmo, Fábio Gallo Garcia, Joshua Onome Imoniana, and Luiz Maurício Franco Moreiras. "Teste do CAPM condicional dos retornos de carteiras dos mercados brasileiro, argentino e chileno, comparando-os com o mercado norte-americano." Revista de Administração de Empresas 50, no. 1 (2010): 60–74. http://dx.doi.org/10.1590/s0034-75902010000100006.

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Nas últimas décadas, o modelo Capital Asset Pricing Model (CAPM) tem despertado grande interesse por parte da comunidade científica. Apesar das críticas, o aprimoramento do CAPM estático deu origem a novos modelos dinâmicos que trazem maior segurança para o investidor ao longo do ciclo de negócios. Atualmente, encontramos adaptações mais complexas do modelo CAPM, as quais nos permitem ter respostas sobre questões em finanças que por muito tempo permaneceram não solucionadas. Diante desse panorama e considerando todo o debate acerca da validade do CAPM, este trabalho tem como objetivo testar o

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Orellana-Osorio, Iván, Marco Antonio Reyes, and Estefanía Cevallos-Rodríguez. "Evolución de los modelos para la medición del riesgo financiero." UDA AKADEM, no. 3 (April 30, 2019): 7–34. http://dx.doi.org/10.33324/udaakadem.v1i3.201.

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El propósito de esta investigación será conocer los principales modelos de medición de riesgo sistemático existentes e identificar las variables utilizadas, para posteriormente estudiar la factibilidad en la implementación de los modelos en mercados emergentes como el caso de Ecuador. Por medio de investigación cualitativa y de tipo descriptivo, se logró determinar que los modelos de medición de riesgo han evolucionado significativamente. El modelo CAPM es el más utilizado por inversionistas para medir el riesgo, sin embargo, posee limitaciones y ha recibido críticas por el alto grado de sensi

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Mejía-Matute, Silvia, and Kevin Samaniego. "El gasto público en educación y su impacto en el crecimiento de la economía ecuatoriana 2007-2017." UDA AKADEM, no. 3 (April 30, 2019): 65–92. http://dx.doi.org/10.33324/udaakadem.v1i3.203.

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El propósito de esta investigación será conocer los principales modelos de medición de riesgo sistemático existentes e identificar las vari ables utilizadas, para posteriormente estudiar la factibilidad en la implementación de los modelos en mercados emergentes como el caso de Ecuador. Por medio de investigación cualitativa y de tipo descriptivo, se logró determinar que los modelos de medición de riesgo han evolucionado significativamente. El modelo CAPM es el más utilizado por inversionistas para medir el riesgo, sin embargo, posee limitaciones y ha recibido críticas por el alto grado de sens

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Ke, Junjie. "A Review of the Applicability of Pricing Models in the Stock Market." Advances in Economics, Management and Political Sciences 55, no. 1 (2023): 130–34. http://dx.doi.org/10.54254/2754-1169/55/20230976.

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The capital asset pricing model (CAPM) model has always been the core theory of asset pricing and is widely used in the world as a finance tool in the securities market, but it is not fully effective for the economic market due to the current state of development in some countries. This paper compares and analyses the CAPM model and its improved and alternative models based on existing literature and statistical data. This paper first explains the CAPM model, analyses its formula, and then describes the disadvantages and shortcomings of the CAPM model. Then it gives examples of other replaceab

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Cho, Seung Mo. "Deriving the CAPM under the Mean-Variance Utility Function." Taegu Science University Defense Security Institute 6, no. 3 (2022): 95–102. http://dx.doi.org/10.37181/jscs.2022.6.3.095.

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This article has derived the CAPM under the mean-variance utility function. Thus, it has the following academic significance. Firstly, the article has proposed a new way of deriving the CAPM in addition to the various traditional ones by previous studies of Sharpe(1964), Lintner(1965), Mossin(1966), Huang & Litzenberger(1988), etc. Secondly, by proposing the assumption of mean-variance utility to derive the CAPM, it has contributed to the research on assumptions or conditions for the CAPM such as Markowitz(1959), Tobin(1958, 1969), Borch(1969), Feldstein(1969), Ross(1978), Nielsen(1990), A

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Cui, Yina. "The Recent Progress and State-Of-Art Applications of CAPM Model." Highlights in Science, Engineering and Technology 49 (May 21, 2023): 432–37. http://dx.doi.org/10.54097/hset.v49i.8561.

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Conventionally, CAPM model is widely used to estimate the value of securities, but it is not efficient in Chinese securities market due to the non-systematic risk. Therefore, this paper aims to analyze the development of CAPM multi-factor model and multi-effect Asset pricing (e.g., the Fama French multi-factorial model). Primarily, this paper introduces the background and function of CAPM model. Afterwards, it is pointed out that more factors need to be considered to improve the performance of CAPM model. Therefore, Fama-French models of three-factor and five-factor are demonstrated. The paper

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Tsuji, Chikashi. "An Exploration of the Time-varying Beta of the International Capital Asset Pricing Model: The Case of the Japanese and the Other Asia-Pacific Stock Markets." Accounting and Finance Research 6, no. 2 (2017): 86. http://dx.doi.org/10.5430/afr.v6n2p86.

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This study clarifies the state of dynamic evolution of the international CAPM betas for Asia Pacific (excluding Japan) and Japanese stock returns: first, both for Asia Pacific and Japanese stock markets, the time-invariant international CAPM beta values are not high. Second, over the period from July 2, 1990 to May 30, 2016, for Asia Pacific stock markets, the time-varying international CAPM betas gradually increase; while for the Japanese market, the time-varying international CAPM betas gradually decrease. We also find that the international time-varying CAPM betas for Japan are recently low

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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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Du, Mahe. "A Review Study on the Analysis of Validity Validation of Chinese Stock Market Pairs Using CAPM." BCP Business & Management 30 (October 24, 2022): 664–68. http://dx.doi.org/10.54691/bcpbm.v30i.2514.

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Since the inception of the Capital Asset Pricing Model (CAPM), numerous empirical studies have been conducted to test its effectiveness. However, there are several disputes surrounding the CAPM model's implementation and study in the Chinese securities market. This paper first describes the significance of the CAPM model in testing its validity in the Chinese market. Then the paper summarizes 11 papers that include using data from the Shanghai and Shenzhen stock exchanges as assistance, and using different analytical methods to conduct research. The investigation demonstrates that the CAPM mod

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Fleming, Jennifer, Sahra Kennedy, Rebecca Fisher, Hannah Gill, Matthew Gullo, and David Shum. "Validity of the Comprehensive Assessment of Prospective Memory (CAPM) for Use With Adults With Traumatic Brain Injury." Brain Impairment 10, no. 1 (2009): 34–44. http://dx.doi.org/10.1375/brim.10.1.34.

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AbstractObjective: To expand upon the existing psychometric properties of the Comprehensive Assessment of Prospective Memory (CAPM) for use with adults with traumatic brain injury by examining concurrent and criterion validity. Method: Participants were 45 adults with a traumatic brain injury. Participants and their relatives completed Section A of the CAPM and a measure of psychosocial integration. Participants were also administered two neuropsychological tests of prospective memory, the Cambridge Prospective Memory Test (CAM-PROMPT) and the Memory Intentions Screening Test (MIST). Concurren

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Brusov, P. N., T. V. Filatova, and V. L. Kulik. "Capital Asset Pricing Model (CAPM) 2.0: Account of Business and Financial Risk." Finance: Theory and Practice 28, no. 2 (2024): 128–42. http://dx.doi.org/10.26794/2587-5671-2024-28-2-128-142.

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The famous Capital Asset Pricing Model (CAPM), widely used in practice, takes into account only the business risk associated with investments in a specific company [not the entire market (or industry)]. In practice, most listing companies use debt financing and operate at a non-zero leverage level. This means that the financial risk associated with the use of debt financing, along with business risk, must be taken into account. The purpose of this paper is to simultaneously account for business and financial risk. We combined the CAPM theory and the Modigliani-Miller (MM) theory, which is the

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Guo, Jiayi. "Basic Pricing Models and Some New Relevant Derivatives." Advances in Economics, Management and Political Sciences 3, no. 1 (2023): 781–86. http://dx.doi.org/10.54254/2754-1169/3/2022888.

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Assets pricing model theories have developed for long period from CAPM to five factor model. Since Sharp proposed CAPM, some scholars performed empirical tests for it. There were many anomalies that CAPM could not explain. So many scholars challenged the application of CAPM and they tried to modified it from many perspectives. Then the researches of asset pricing model focused on multiple factors ranging from some conventional field, to unconventional factors including factors related to human, like humans behaviors, to describe the return of assets in the market.

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Riwu, Yonas Ferdinand, Sari Angriany Natonis, Klaasvakumok J. Kamuri, Yuri Sandra Faah, and Irience R. A. Manongga. "Analisis Perbandingan Kinerja Dan Risiko Portofolio Optimal Saham Kompas 100 Menggunakan Single Index Model Dan Capital Asset Pricing Model Periode 2020-2023." Bisman (Bisnis dan Manajemen): The Journal of Business and Management 7, no. 1 (2024): 112–23. http://dx.doi.org/10.36815/bisman.v7i1.3054.

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Tujuan dari penelitian ini adalah untuk mengetahui perbedaan kinerja dan risiko optimal portofolio Single Index Model (SIM) dan Capital Asset Pricing Model (CAPM) periode Agustus 2020 – Januari 2023. Penelitian ini merupakan penelitian deskriptif dengan pendekatan kuantitatif. Teknik pengumpulan data yang digunakan adalah studi dokumentasi. Berdasarkan hasil perhitungan diperoleh bahwa terdapat perbedaan return portofolio SIM terhadap CAPM, tidak terdapat perbedaan risiko portofolio SIM terhadap CAPM, terdapat perbedaan kinerja portofolio SIM yang dievaluasi menggunakan Sharpe, Treynor dan Met

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Zokirjonov, Muhammadsodiq, and Fotima Mirzayeva. "KAPITAL AKTIVNI BAHOLASH MODELI (CAPM)NING NAZARIY VA METODOLOGIK ASOSLARINI RIVOJLANISH XUSUSIYATLARI." Ижтимоий-гуманитар фанларнинг долзарб муаммолари / Актуальные проблемы социально-гуманитарных наук / Actual Problems of Humanities and Social Sciences. 5, S/2 (2025): 79–91. https://doi.org/10.47390/spr1342v5si2y2025n11.

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Ushbu maqolada kapital aktivlarni baholash modeli (CAPM) tahlil qilinib, uning moliyaviy bozorlardagi oʻrni va investitsiya qarorlarini qabul qilish va strategiyalarini ishlab chiqishdagi ahamiyati ochib berildi. Modelning asosiy nazariy asoslari va yoʻnalishlari, uning komponentlari va matematik tenglamalari sharhi, uning moliyaviy bozorlardagi qoʻllanilishi hamda investitsiya jarayonlariga taʼsirini baholanishi muhokama qilindi. Shuningdek, olimlarning CAPM rivojiga qoʻshgan hissalari, xususan CAPM modeliga kiritgan cheklovchi shartlarini, uning real bozor sharoitlariga moslashtirish imkoniy

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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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Li, Guobei. "The Application of the Capital Asset Pricing Model in Corporate Risk Management." Advances in Economics, Management and Political Sciences 158, no. 1 (2025): 162–68. https://doi.org/10.54254/2754-1169/2025.19766.

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This paper states utilizing the capital asset pricing model (CAPM) in corporate risk management. It is widely recognized that CAPM is a helpful tool in the financial field, providing a method to calculate the expected return of an investment based on systemic risk. This essay mainly describes the importance of the relationship between risk and return and learning how to balance them so enterprises can make informed decisions. Through a series of literature and case studies, this article will show how organizations can effectively use CAPM to identify potential risks, assess costs, and determin

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