CAPM theory is the core of modern financial theory. As time went on, more and people began to invest in research, many contradictions have emerged, not least highly idealistic assumptions harsh implementation conditions. Different from CAPM, which only has a single factor market risk beta, The inclusion size premium book-to-market ratio this model can effectively explain stock results. By intro...

Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe fail to capture some crucial aspects due to the strong non-Gaussian character of Hedge Funds statistics. A possible way out to this problem while keeping the CA...

We report on small-scale experiments of simple, repeated asset markets in two risky securities and one riskfree security. As in large-scale experiments, steady convergence towards the CAPM is discovered, but the process is slower and convergence halts before reaching the actual equilibrium. There is evidence that subjects gradually move up in mean-variance space, in accordance with the CAPM. Ye...

The CAPM as the benchmark asset pricing model generally performs poorly in both developed and emerging markets. We investigate whether allowing the model parameters to vary improves the performance of the CAPM and the Fama-French model. Conditional asset pricing models scaled by conditional variables such as Trading Volume and Dividend Yield generally result in small pricing errors. However, a ...