The time traveller's CAPM
J French - Investment Analysts Journal, 2017 - journals.co.za
This empirical study comprises six emerging market portfolios and five industry replicating
portfolios from the USA, using data from 2005 to 2014. The purpose of this study is to test the …
portfolios from the USA, using data from 2005 to 2014. The purpose of this study is to test the …
Analysis of the five-factor asset pricing model with wavelet multiscaling approach
We study the relationship between average returns and risk factors through wavelet
multiscaling approach which enables us to investigate the risk-return relationship based on …
multiscaling approach which enables us to investigate the risk-return relationship based on …
[PDF][PDF] Visualization analysis for business performance of chinese listed companies based on Gephi
G Sun, HZ Lv, DY Wang, XP Fan, Y Zuo… - Comput. Mater …, 2020 - cdn.techscience.cn
When conducting company performance evaluations, the traditional method cannot reflect
the distribution characteristics of the company's operating conditions in the entire securities …
the distribution characteristics of the company's operating conditions in the entire securities …
The Validity of CAPM: A Critical and Conclusive Study with Empirical Evidence from the UK Security Market
S Peng - 2021 3rd International Conference on Economic …, 2021 - atlantis-press.com
CAPM is a fundamental asset pricing model that has complex viewpoints from scholars. The
validity of CAPM is essential for the market participants, as many of their decisions will be …
validity of CAPM is essential for the market participants, as many of their decisions will be …
Gotta CAPM'All: An Empirical Study on the Validity of the CAPM Against Four Unique Assets
S Mehta, D Afzelius - Available at SSRN 2995585, 2017 - papers.ssrn.com
This study investigates expected returns against actual and annualized (or CSE) returns on
four unique assets, GOOGL, Silver, Bitcoin, and Pokémon Cards using the classic CAPM …
four unique assets, GOOGL, Silver, Bitcoin, and Pokémon Cards using the classic CAPM …
A practitioner's guide to the CAPM: an empirical study
J French - Global Tensions in Financial Markets, 2018 - emerald.com
The most popular method for calculating asset prices is the Capital Asset Pricing Model
(CAPM). What is the appropriate amount of years to use in the estimation and which …
(CAPM). What is the appropriate amount of years to use in the estimation and which …
Market moods: An investor sentiment event study
J French - foresight, 2018 - emerald.com
Purpose The purpose of this paper is to provide insight to practitioners who wish to forecast
market returns based on event occurrences. Design/methodology/approach Using 64 …
market returns based on event occurrences. Design/methodology/approach Using 64 …
[PDF][PDF] Does capital asset pricing hold in Pakistan stock exchange? An application of seemingly unrelated regression
The aim of the study is to critically evaluate role of Capital Asset Pricing Model with the
respect to Pakistan Stock Exchange through applying Seemingly Unrelated Technique of …
respect to Pakistan Stock Exchange through applying Seemingly Unrelated Technique of …
Portfolio selection and fractal market hypothesis: Evidence from the London stock exchange
It is well known that the models supporting the Modern Portfolio Theory (MPT) and the
Efficient Market Hypothesis (EMH) are constructed in the framework of random walk theory …
Efficient Market Hypothesis (EMH) are constructed in the framework of random walk theory …
[PDF][PDF] CAPITAL ASSET PRICING MODEL: REVISITING THE SIZE PREMIUM HYPOTHESIS
The declining performance of the Nigerian capital market has increased the demand for
research into the capital asset pricing model. Portfolios are typically used to evaluate the …
research into the capital asset pricing model. Portfolios are typically used to evaluate the …