A famous model in nancial theory is the Capital Asset Pricing Model (CAPM). In this paper we propose a two state CAPM in which we assume that excess returns for the market and for a particular security are bivariate normally distributed. The parameters of the distribution are determined by the state of an unobserved stationary Markov chain. Two states represent two business regimes that are cha...

This article investigates international stock market integration in largest (based on nominal GDP and purchasing power parity GDP) four developed namely USA, EMU, Japan and UK and two Asian emerging namely China and India international stock markets over the period June 1994 to June 2009. To model stock market integration we estimate a dynamic version of international capital asset pricing mode...

The notion of Net Present Value (NPV) is thought to formally translate the notion of economic profit, where the discount rate is the cost of capital. The latter is the expected rate of return of an equivalent-risk alternative that the investor might undertake and is often found by making recourse to the Capital Asset Pricing Model. This paper shows that the notions of disequilibrium NPV and eco...

OBJECTIVE To describe the characteristics relating to the provenance of statements, patients and to evaluate the spatiotemporal evolution of carbon monoxide poisoning reported to Poison Control Center and Pharmacovigilance of Morocco (CAPM). METHODS This is a retrospective study over a period of 18 years from 1991 to 2008, for all cases of poisoning by carbon monoxide reported to CAPM. RESU...

The Monetary Control Act of 1980 requires the Federal Reserve System to provide payment services to depository institutions through the twelve Federal Reserve Banks at prices that fully reflect the costs a private‐sector provider would incur, including a cost of equity capital (COE). Although Fama and French (1997) conclude that COE estimates are “woefully” and “unavoidably” im...

A significant problem in modern finance theory is how to price assets whose payoffs are outside the span of marketed assets. In practice, prices of assets are often assigned by using the Capital Asset Pricing Model. If the market portfolio is efficient, the price obtained this way is equal to the price of an asset whose payoff, viewed as a vector in a Hilbert space of random variables, is proje...

This paper focuses on inconsistencies arising from the use of NPV and CAPM for capital budgeting. It shows that (i) CAPM capital budgeting decision-making based on disequilibrium NPV is deductively inferred by the Capital Asset Pricing Model, (ii) the use of the disequilibrium NPV is widespread in finance both as a decision rule and as a valuation tool, (iii) the disequilibrium NPV does not gua...

It is known that the Capital Asset Pricing Model (CAPM) provides an expression which relates the expected return of an asset to its systematic risk. In a decision making problem involving financial data however, we have to take in account the uncertainty given by the imprecision and the incompleteness of the information. Uncertainty in the data may be treated by considering, rather than a singl...