The traditional CAPM beta is almost exclusively calculated over a return period that spans a window length of 60-months, at one-month return frequencies. It is one of the most utilized models in the asset management industry to assess systematic risk...
In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables. Indeed, the model proposed by Adrian and Franzoni (2009) is adapted to asses...
The conditional capital asset pricing model (CAPM) theory postulates that the systematic risk (
This study comparatively evaluated the Capital Asset Pricing Model (CAPM), the Fama and French three-factor model (FF3), and the Fama and French five-factor model (FF5) in key US market sectors (finance, energy, and utilities). The goals were to opti...
This study empirically tests and compares the performances of three famous financial asset valuation models in the Moroccan stock exchange: CAPM, the Fama and French three-factor model, and the Fama and French five-factor model. Our sample considers...
The cryptocurrency market is characterized by high volatility and strong systematic co-movements among assets, posing significant challenges for conventional statistical arbitrage strategies. Effective pair trading in this environment requires the id...
Carbon mitigation is a major aim of the power-generation regulation. Renewable energy sources for electricity are essential to design a future low-carbon mix. In this work, financial Modern Portfolio Theory (MPT) is implemented to optimize the power-...
Students considering a masters in Finance Engineering or Artificial Intelligence in Finance are usually required to have an undergraduate background in science, technology, engineering, or mathematics (STEM). STEM students have a good capacity in mat...
The present research proposes a methodology for portfolio construction that integrates the Black–Litterman model with expected returns generated through simulations under dynamic Capital Asset Pricing Model (CAPM) with conditional betas, estima...
The objective of this work is to develop a qualitative new approach to assessing business and company value. For this purpose, two of the three income approach methods, CAPM and WACC, are modified. When modifying CAPM, a new model, CAPM 2.0, was crea...
This paper re-examines the presence of the Sharpe–Treynor–Lintner–Mossin capital asset pricing model (CAPM) in the finance literature and is accompanied by a bibliometric summary analysis. The popular model is in its sixth decade; w...
This paper introduces an instrumental variable Bayesian shrinkage approach specifically designed for estimating the capital asset pricing model (CAPM) while utilizing a large number of instruments. Our methodology incorporates horseshoe, Laplace, and...
Using stock return data for the Japanese equity market, for the period from July 1983 to June 2018, we analyze the effect of major nuclear disasters worldwide on Japanese discount rates. For that purpose, we compare the performance of the capital ass...
The capital asset pricing model (CAPM) is often based on the Gaussianity or normality assumption. However, such an assumption is frequently violated in practical situations. In this paper, we introduce the symmetric CAPM considering distributions wit...
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 d...
The main objective of this article is to present the formulation of a Capital Asset Pricing Model ordered weighted average CAPMOWAand its extensions, called CAPM-induced OWA (CAPMIOWA), CAPM Bonferroni OWA (CAPMBon-OWA), and CAPM Bonferroni-induced O...
The cornerstone of the capital asset pricing model (CAPM) lies with its beta. The question of whether or not beta is dead has attracted great attention from academics and practitioners in the last 50 years or so, and the debate is still ongoing. Many...
Understanding risk-adjusted returns in real estate investment are crucial, but little is known about the risk-adjusted returns for direct real estate. This paper examines risk-adjusted total returns by developing an extended capital asset pricing mod...
Expected returns, variances, betas, and alphas are all non-linear functions of the investment horizon. This seems to be a fatal conceptual problem for the capital asset pricing model (CAPM), which assumes a unique common horizon for all investors. We...
Corporate credit ratings remove the information asymmetry between lenders and borrowers to find an equilibrium price. Structured finance ratings, however, are informationally insufficient because the systematic risk of equally rated assets can vary s...
This paper uses moment analysis, capital asset pricing model (CAPM) statistics, stochastic dominance (SD) test, and volume analysis to investigating why the market for Taiwan warrants can be sustained but not in China. Our moment analysis shows that...
This study is intended as a note and provides an extension to a much-used and established test for portfolio efficiency, the Gibbons, Ross, and Shanken GRS-Wald test. Tests devised to measure portfolio efficiency are crucial to the theoretical issues...
The importance of downside risk cannot be denied. In this study, we have replaced beta in the five-factor model of using downside beta and have added a momentum factor to suggest a new six-factor downside beta capital asset pricing model (CAPM). Two...
Timor-Leste is a new country still in the process of economic development and does not yet have a capital market for stock and bond investments. These two asset classes have been invested in international capital markets such as the US, the UK, Japan...
We employ an empirical framework for real estate securities that incorporates portfolio optimization, return distribution tail diagnostics, risk metrics, modeling of long-range dependence in return volatility, regression against benchmark indices, an...
We propose a two-factor Capital Asset Pricing Model (CAPM), which includes two separate factors for the market capital gains and the market dividend yield. We find that the dividend yield factor carries a significant negative premium in the post-1978...
The consumption-based capital asset pricing model (CCAPM) is an attractive research field in finance, and extant studies have examined the impacts of different factors towards traditional CCAPM, intending to improve the model from the practical persp...
This paper examines the stochastic behaviour of the realized betas in the CAPM model for the ten largest companies in terms of market capitalisation included in the U.S. Dow Jones stock market index. Fractional integration methods are applied to esti...
This article investigates the connection between US logistics companies’ commitment to environmental, social and fair governance (ESG) strategy and their performance on the US stock market during the 2007–2022 period. The research conside...
In a recent book, Kolari et al. developed a new theoretical capital asset pricing model dubbed the ZCAPM. Based on out-of-sample cross-sectional tests using U.S. stocks, the ZCAPM consistently outperformed well-known multifactor models popular in the...
In this paper, we explore the connection between a single index model under the real-world probability measure and martingale pricing via minimal relative entropy or Esscher transform, within the context of a one-period market model, possibly incompl...
In this article, we test the capital asset pricing model (CAPM) on the Warsaw Stock Exchange (WSE) by measuring the performance of two portfolios composed of construction firms: family-controlled and nonfamily controlled. These portfolios were select...
The study focuses on the selected aspects of investment measurement and management for the support of financial and economic decision-making of investors in wood-processing sectors. The aim of the study was to analyze the indicators for the structure...
In this research, we summarize the results of implementing the market risk premium into the option valuation formulas of the Black–Scholes–Merton model for out-of-the-money (OTM) options. We show that derivative prices can partly depend o...
This paper deals with the determination of the intrinsic value of the company Seznam.cz, a.s. using discounted cash flow. Specifically, it is concerned with determining the value of the business from the perspective of the company’s shareholder...
Value-at-Risk (VaR) is a key metric widely applied in market risk assessment and regulatory compliance under the Basel III framework. This study compares two Monte Carlo-based VaR models using publicly available equity data: a return-based model cali...
Computing optimal-solution sets has long been a topic in multiple-objective optimization. Despite substantial progress, there are still research limitations in the multiple-objective portfolio optimization area. The optimal-solution sets’ struc...
Sustainable investing is an investment approach in line with the values of sustainable development and compliance with environmental, social, and corporate governance (ESG) criteria. The aim of the article is to propose a sustainable investing model...
The study adds an empirical outlook on the predicting power of using data from the future to predict future returns. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of the beta co...
Assessing the riskiness of investments in civil works is an integral part of the decision-making process. The main limitation is the absence, both in the regulatory landscape and in the literature of the sector, of threshold values that can guide the...
This paper assesses the extent to which carry trade operations affect the performance of equity and bond markets in a target country, South Africa, by considering the US and the euro area as the funding countries. A two- and three-factor capital asse...
Low-risk pricing anomalies, characterized by lower returns in higher-risk stocks, are prevalent in equity markets and challenge traditional asset pricing theory. Previous studies primarily relied on linear regression methods, which analyze a limited...
This paper presents a comprehensive spatiotemporal decomposition of equity returns for nine top-weighted constituents of the Dow Jones Industrial Average (DJIA) over a twenty-year period spanning January 2004 through December 2023, encompassing 5033...
For some time, renewable solar energy generations using cellular photovoltaic panels have stood out among the options, especially in the segment of micro and small companies, where the return on investment is usually higher. In this context, when mic...
Recent literature shows that many testing procedures used to evaluate asset pricing models result in spurious rejection probabilities. Model misspecification, the strong factor structure of test assets, or skewed test statistics largely explain this....
Companies in the energy sector, due to their important role in the economy and the specificity of energy sources, are exposed to many types of risk, ranging from the risk associated with the company’s operations and the global economic and poli...
In the last decade, many factors, such as socio-political and econo-environmental ones, have led to a perturbation in the timeline of the worldwide development, and especially in countries and regions having political changes. This led us to introduc...
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 performanc...
In the financial world, the importance of “downside risk” and “higher moments” has been emphasized, predominantly in developing countries such as Pakistan, for a substantial period. Consequently, this study tests four models f...
The contract administration process is inevitably complex, and improper performance of the associated tasks and procedures may lead to disputes between the contracting parties whilst further driving against the sustainability bottom lines. Therefore,...
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