Capital asset pricing model
Testes multivariados do capital asset pricing model com variabilidade dos prémios de risco ao longo do tempo : aplicação ao mercado accionista português
... do Capital Asset Pricing Model (CAPM) Condicional desenvolvido por Ng (1989 e 1991), com diferentes representações do modelo Multivariate Simultaneous Generalized Autoregressive Conditional ...
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Aplicação do CAPM (Capital Asset Pricing Model) condicional por meio de métodos...
... conditional Capital Asset Pricing Model (CAPM), suggested by Wang (2002), and also by four variables of information available to the investors: (i) percentage variation of the Brazilian ...
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Testes de validade do capital asset pricing model no mercado acionário de São Paulo: um estudo indicativo do poder de teste da metodologia de Fama e Macbeth
... Sendo zeros o desvio- padrão dos retornos do ativo livre de risco e a correlação com a carteira A, tanto o retorno esperado do portf6lio do investidor como o seu desvio serão funções lin[r] ...
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O modelo de avaliação de ativos: (Capital Asset Pricing Model)
... Conse quentemente, podemos separar o investimento em dois fundos (titulo sem risco e portfolio õtimo de titulos de risco) e a Fronteira Eficiente tor na-se linear, já que passa a ser uma[r] ...
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CAPITAL ASSET PRICING MODEL (CAPM): TESTE EMPÍRICO AO MODELO E A CONSTRUÇÃO DO ENVELOPE PORTFOLIO
... da Capital Market Line (CML); (iii) todos os investidores possuem um horizonte temporal de investimento igual a um período; (iv) não existem impostos nem custos de transação – desta feita para cada investidor é ...
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Consumption-based macroeconomic models of asset pricing theory
... Equilibrium pricing comprises many different models that postulate different preferences of ...the Capital Asset Pricing Model assumes that agents have preferences defined over risk and ...
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The Prediction Performance of Asset Pricing Models and Their Capability of Capturing the Effects of Economic Crises: The Case of Istanbul Stock Exchange
... multifactor asset pricing models produce superior predictions as compared to the single factor models and to evaluate the performance of Arbitrage Pricing Theory (APT) and Capital Asset ...
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Repositório Institucional UFC: Deformed exponentials and financial markets: applications to portfolio selection and asset pricing
... mean-divergence model and the classical one by ...beta pricing models adapted to a mean-divergence portfolio selection (34), (17), ...of Capital Asset Pricing Model (CAPM) ...
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CAPM nos mercados Europeu e Português
... Representando uma nova etapa e fase na evolução da teoria financeira, o Capital Asset Pricing Model (CAPM) tem sido muito estudado, testado e aplicado nas organizações e na dinâmica [r] ...
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UNIVERSIDADE TÉCNICA DE LISBOA
... Investment behavior of mutual fund shareholders: The evidence from aggregate fund flows.. The Treynor Capital Asset Pricing Model.[r] ...
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Exact arbitrage, well-diversified portfolios and asset pricing in large markets
... arbitrage pricing theory (APT) is an attempt to formalize the raw intuition that \well-diversi ed portfolios exhibit no idiosyncratic risk", and thereby to derive an APT asset- pricing formula ...
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A precificação de ativos de renda variável no mercado de capitais brasileiro: uma visão comparativa entre a Arbitrage Pricing Theory e o Capital AssetPricing Model
... ativos Capital Asset Pricing Model (CAPM) e Arbitrage Pricing Theory (APT) no mercado brasileiro após a implementação do Plano Real, a partir de julho de 1994, até junho ...
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Optimal Portfolio Selection in Ex Ante Stock Price Bubble and Furthermore Bubble Burst Scenario from Dhaka Stock Exchange with Relevance to Sharpe’s Single Index Model
... index model of capital asset pricing in different scenarios, one is ex ante stock price bubble scenario and stock price bubble and bubble burst is second ...index model applied to same ...
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The capital asset pricing theory and its misconceptions
... The CAPM is the fundamental model for pricing financial securities. Nevertheless, the way it is proved in Finance textbooks can be fairly confusing, and more complicated than necessary; with an excessive ...
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Asset pricing with a bank risk factor
... their asset pricing effects result from the portfolio rebalancing of broker-dealers, our effects come from the transmission of financial distress from commercial banks to other sectors of the ...a ...
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Introducing additional factors for the Brazilian market in the fama-french five-factor asset pricing model
... in capital expenditures (investment) are statistically ...increased capital investments have a tendency to have future negative risk- adjusted returns (TITMAN, WEI and XIE, ...
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A stochastic discount factor approach to asset pricing using panel data asymptotics
... A key feature of our approach is that it combines a general Taylor Expansion of the Pricing Equation with standard panel-data asymptotic theory to derive a novel consistent estimator for the SDF. In this context, ...
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O herding behavior no mercado acionista português: análise por setores com modelos não lineares
... Num estudo recente, Demirer et al. (2010), analisaram o herding behavior no mercado emergente de Taiwan. Este artigo revelou-se particularmente interessante pela comparação de modelos que os investigadores realizaram ...
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Asset pricing when risk sharing is limited by default: a theoretical framework
... In an efficient allocations in the "worst" possible case consumption of an agent can not be lower than the lowest individual endowment, because for this allocation[r] ...
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A stochastic discount factor approach to asset pricing using panel data
... the Pricing Equation, in a panel-data framework, we construct a novel consis- tent estimator of the stochastic discount factor (SDF) mimicking portfolio which relies on the fact that its logarithm is the “common ...
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