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Vitaly Kaganov
Pág. 29 - 37
The most common model for asset pricing (CAPM) is problematic and does not match the reality. In this article, I introduce a theoretical framework for a new model which aims at avoiding the problems of CAPM and keeping its advantages, therefore allowing ...
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Asmâa Alaoui Taib and Safae Benfeddoul
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 mont...
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Yuni Pristiwati Noer Widianingsih, Doddy Setiawan, Y. Anni Aryani and Evi Gantyowati
Firm-specific risk causes opinion differences on whether it relates to price informativeness or errors. The main difference is related to the disparity in information transparency. Therefore, this study tests the relationship between accrual management a...
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Milo? Ðakovic,Jelena Andra?ic,Danica Cicmil
Pág. 183 - 197
One of the basic types of portfolio valuation as well as valuation of individual company shares is the CAPM (Capital Asset Pricing) model, which uses a well-known measure of systemic risk in its analysis, which is beta. The CAPM model in its analysis use...
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Nsama Musawa,Sumbye Kapena,Chanda Shikaputo
AbstractBackground: The Fama and French five-factor model (FF5M) is one of the stock valuation model that is on the cutting edge of finance research. Results from the empirical tests from various stock markets were the FFM5 has been tested since its laun...
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Morotola Pholohane, Oluseye Ajuwon, Nicolene Wesson
Pág. 59 - 93
This study explored the price reactions of shares moving in and out of Johannesburg Stock Exchange (JSE) Top 40 Index by applying three models to calculate the abnormal returns of the stocks; namely: the market model, the Capital Asset Pricing Model (CAP...
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Muhammad Zeeshan,Jiabin Han,Alam Rehman,Kashif Saleem,Raza Ullah Shah,Amir Ishaque,Naveed Farooq,Arif Hussain
Pág. 151 - 157
Mutual Funds enable small investors to enjoy the benefits of the capital market instruments with small amount using the expertise of professional managers. This study examines the risk adjusted performance, timing and selection abilities of conventional ...
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Mamadou Cisse, Mamadou Konte, Mohamed Toure and Smael Afolabi Assani
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Yetti Afrida Indra
Pág. 233 - 240
CAPM is a balance model that can determine the risks and returns that investors will gain. Under the CAPM, the level of risk and the appropriate rate of return has a positive and linear relationship. The measure of risk that is an indicator affecting sto...
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Christian Jonnatan Jacobsen Soto Herrera,Fernanda Finotti Cordeiro Perobelli
Pág. 285 - 335
This article empirically test the lower partial moments models, Sortino, Upside Potential Ratio, Omega and Kappa, comparing them with the traditional CAPM, for listed shares of Ibovespa and Dow Jones index. These two classes of models are distinguished i...
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