This article offers an alternative proof of the capital asset pricing model (CAPM) when asset returns follow a multivariate elliptical distribution. Empirical studies continue to demonstrate the inappropriateness of the normality assumption for modelin
The celebrated single factor Capital Asset Pricing Model (CAPM) introduced last century by Sharpe (1...
We make three remarks to the main CAPM equation presented in the well-known textbook by John Cochran...
Abstract: In light of the inadequacy of Sharpe’s one-period Capital Asset Pricing Model (CAPM) in ex...
We develop new tests of the capital asset pricing model that take account of and are valid under the...
The capital asset pricing model (CAPM) is an ex ante concept, whereas so-called `tests of the CAPM a...
The capital asset pricing model (CAPM) is an ex ante concept, whereas so-called \u27tests\u27 of the...
The capital asset pricing model (CAPM) is an influential paradigm in financial risk management. It f...
Lintner (1965) marks the birth of asset pricing theory (resulting in a Nobel Prize for Sharpe in 199...
The Capital Asset Pricing Model (CAPM) predicts a linear relation between assets’ return and their b...
Four decades later, the CAPM is still widely used in applications, such as estimating the cost of ca...
Four decades later, the CAPM is still widely used in applications, such as estimating the cost of ca...
In this paper we propose a simple approach to asset valuation in terms of two characteristics, expec...
Investors are risk averse, so they will choose to hold a portfolio of securities to take advantage ...
In this paper we estimate the single-factor Consumption Capital Asset Pricing Model (C-CAPM) over th...
In this paper we estimate the single-factor Consumption Capital Asset Pricing Model (C-CAPM) over th...
The celebrated single factor Capital Asset Pricing Model (CAPM) introduced last century by Sharpe (1...
We make three remarks to the main CAPM equation presented in the well-known textbook by John Cochran...
Abstract: In light of the inadequacy of Sharpe’s one-period Capital Asset Pricing Model (CAPM) in ex...
We develop new tests of the capital asset pricing model that take account of and are valid under the...
The capital asset pricing model (CAPM) is an ex ante concept, whereas so-called `tests of the CAPM a...
The capital asset pricing model (CAPM) is an ex ante concept, whereas so-called \u27tests\u27 of the...
The capital asset pricing model (CAPM) is an influential paradigm in financial risk management. It f...
Lintner (1965) marks the birth of asset pricing theory (resulting in a Nobel Prize for Sharpe in 199...
The Capital Asset Pricing Model (CAPM) predicts a linear relation between assets’ return and their b...
Four decades later, the CAPM is still widely used in applications, such as estimating the cost of ca...
Four decades later, the CAPM is still widely used in applications, such as estimating the cost of ca...
In this paper we propose a simple approach to asset valuation in terms of two characteristics, expec...
Investors are risk averse, so they will choose to hold a portfolio of securities to take advantage ...
In this paper we estimate the single-factor Consumption Capital Asset Pricing Model (C-CAPM) over th...
In this paper we estimate the single-factor Consumption Capital Asset Pricing Model (C-CAPM) over th...
The celebrated single factor Capital Asset Pricing Model (CAPM) introduced last century by Sharpe (1...
We make three remarks to the main CAPM equation presented in the well-known textbook by John Cochran...
Abstract: In light of the inadequacy of Sharpe’s one-period Capital Asset Pricing Model (CAPM) in ex...
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