An Alternative Test of the Capital Asset Pricing Model
Author: Pao Lun Cheng
Publisher: Burnaby, B.C. : Department of Economics and Commerce, Simon Fraser University
Published: 1978
Total Pages: 52
ISBN-13:
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Alternative Capital Asset Pricing Models
Author: Attiya Y. Javed
Publisher:
Published: 2000
Total Pages: 48
ISBN-13:
DOWNLOAD EBOOKCapital Asset Pricing Model Tests in a Term Structure Context (Classic Reprint)
Author: Terry A. Marsh
Publisher: Forgotten Books
Published: 2018-02-04
Total Pages: 66
ISBN-13: 9780267778171
DOWNLOAD EBOOKExcerpt from Capital Asset Pricing Model Tests in a Term Structure Context The stochastic beta model under the second interpretation of (1) includes the stable beta as a special case; i.e., it nests the stable beta model. Additionally, it will be shown that the stable beta model (1) nests the traditional capm. The rationale for nesting models in this manner is that it takes a model to beat a model, so that tests are best structured to focus on the incremental explanatory power of the increasingly more elaborate models. Indeed, outside this nested hypothesis framework, it is not clear what it even means to reject (say) the traditional capm against a general unspecified alternative. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Financial Econometrics, Mathematics and Statistics
Author: Cheng-Few Lee
Publisher: Springer
Published: 2019-06-03
Total Pages: 655
ISBN-13: 1493994298
DOWNLOAD EBOOKThis rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics.
Alternative Tests of the Zero-Beta CAPM.
Author: Pin-Huang Chou
Publisher:
Published: 2001
Total Pages:
ISBN-13:
DOWNLOAD EBOOKIn this paper I develop an analytical Wald test of the zero-beta capital asset pricing model (CAPM) in a simple iid (independent and identically distributed) setting, and extend the Wald test to the generalized method of moments (GMM) framework that allows for a general form of serial correlation and conditional heteroscedasticity. The size and power of these tests, along with some existing tests, are investigated under normal errors and other alternative distributional specifications. The results show that, under alternative distributional assumptions for the error terms, the proposed Wald and GMM tests have reliable sizes for medium-size samples, while the likelihood ratio test (LRT) tends to reject the efficiency too often, especially when the error terms significantly deviate from normality. However, the LRT is more powerful than both the Wald and GMM tests.
Handbook of the Fundamentals of Financial Decision Making
Author: Leonard C. MacLean
Publisher: World Scientific
Published: 2013
Total Pages: 941
ISBN-13: 9814417351
DOWNLOAD EBOOKThis handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).
The Capital Asset Pricing Model
Author: Joseph E. Moussa
Publisher:
Published: 2007
Total Pages: 446
ISBN-13:
DOWNLOAD EBOOKThis study examines the relationship between Stocks returns and The Capital asset Pricing Model (CAPM) in the US market by using the S&P 500 companies; it also tests the level of influence of the Size and Book-to-Market on Stocks Returns. The hypothesis tested is whether there is a significant relationship between the CAPM and Stocks Returns. The methodological approach taken was a sampleof 100 companies from S&P 500 compromising top US companies. The Stocks Returns were regressed against the returns that the CAPM predicted to find a relationship between the Stocks returns and the CAPM and to see how precise the CAPM is. Data relating to Beta, Market Return, Size and Price-to-Book were downloaded from the Yahoo Finance website, the Risk free Rate is from the U.S. Federal Bank Website. Regression tests conducted on the data were significant at 1% level. The results lead to the rejection of the null hypothesis, and accepting the alternative hypothesis which states that the CAPM does predict stock returns. However, the results also lead us to a conclusion that other variables may explain stocks return. This results was consistent with all recent results since all studies have agreed that to CAPM can explain an important part of the returns, moreover the results regarding the size and Book-To-Market were inconsistent with Fama and French (1992) theories since they were relatively insignificant.
An Empirical Test of the "Capital Asset Pricing Modell" (CAPM) on Current Stock Data
Author: Lucas Ammelung
Publisher:
Published: 2020-12-30
Total Pages: 62
ISBN-13: 9783346338099
DOWNLOAD EBOOKBachelor Thesis from the year 2020 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, Munich University of Applied Sciences, language: English, abstract: The goal of this study is thus to determine the best available asset pricing model in Germany and whether the use of pre-existing datasets, with the factors already calculated, brings results as accurate as a custom dataset. This is relevant in Germany as the CAPM is still the most commonly used way to compute the cost of equity with 34% of companies using it. Another 16% of companies are using asset pricing models with additional risk factors. To determine the answer to this, this study will look into the aforementioned three most commonly used models: the CAPM, the Fama and French three-factor model and the Carhart four-factor model. After explaining the background and functioning of the CAPM, this study will show the flaws within the model and how these flaws led to extensions of the CAPM. Each model will then be statistically analyzed with three distinct sets of data. Two of these are publicly available, while the last has been calculated for this study. Lastly, to understand how the difference in data used can influence the results from asset pricing models, the runtime and underlying factor of datasets will be modified, re-analyzed and compared to the initial results.
Aspects of Multivariate Statistical Theory
Author: Robb J. Muirhead
Publisher: John Wiley & Sons
Published: 2009-09-25
Total Pages: 706
ISBN-13: 0470316705
DOWNLOAD EBOOKThe Wiley-Interscience Paperback Series consists of selected books that have been made more accessible to consumers in an effort to increase global appeal and general circulation. With these new unabridged softcover volumes, Wiley hopes to extend the lives of these works by making them available to future generations of statisticians, mathematicians, and scientists. ". . . the wealth of material on statistics concerning the multivariate normal distribution is quite exceptional. As such it is a very useful source of information for the general statistician and a must for anyone wanting to penetrate deeper into the multivariate field." -Mededelingen van het Wiskundig Genootschap "This book is a comprehensive and clearly written text on multivariate analysis from a theoretical point of view." -The Statistician Aspects of Multivariate Statistical Theory presents a classical mathematical treatment of the techniques, distributions, and inferences based on multivariate normal distribution. Noncentral distribution theory, decision theoretic estimation of the parameters of a multivariate normal distribution, and the uses of spherical and elliptical distributions in multivariate analysis are introduced. Advances in multivariate analysis are discussed, including decision theory and robustness. The book also includes tables of percentage points of many of the standard likelihood statistics used in multivariate statistical procedures. This definitive resource provides in-depth discussion of the multivariate field and serves admirably as both a textbook and reference.
Static Asset-pricing Models
Author: Andrew Wen-Chuan Lo
Publisher: Edward Elgar Publishing
Published: 2007
Total Pages: 680
ISBN-13:
DOWNLOAD EBOOKPresents a selection of the most important articles in the field of financial econometrics. Starting with a review of the philosophical background, this collection covers such topics as the random walk hypothesis, long-memory processes, asset pricing, arbitrage pricing theory, variance bounds tests, term structure models, and more.
