نتایج جستجو برای: lintner model

تعداد نتایج: 2104306  

پایان نامه :دانشگاه آزاد اسلامی - دانشگاه آزاد اسلامی واحد گرمسار - پژوهشکده علوم انسانی و اجتماعی 1391

abstract the present study was conducted to investigate the effect of using model essays on the development of writing proficiency of iranian pre-intermediate efl learners. to fulfill the purpose of the study, 55 pre- intermediate learners of parsa language institute were chosen by means of administering proficiency test. based on the results of the pretest, two matched groups, one as the expe...

2012
Rajnish Mehra

A major research initiative in finance focuses on the determinants of the cross-sectional and time series properties of asset returns. With that objective in mind, asset pricing models have been developed, starting with the capital asset pricing models of Sharpe (1964), Lintner (1965), andMossin (1966). Consumption-based asset pricing models use marginal rates of substitution to determine the r...

2002
Christian S. Pedersen Soosung Hwang

By formulating a nested test of the asymmetric response model of Bawa, Brown, and Klein (1981), the mean-lower partial moment CAPM (LPMCAPM) of Bawa and Lindenberg (1977) and the mean-variance CAPM of Sharpe (1963, 1964), Lintner (1965) and Mossin (1969), this paper investigates the relative merits of symmetric and asymmetric risk measures using UK equity data for di®erently sized companies and...

2009
Hassan Naqvi

One of the most important developments of modern finance is the Capital Asset Pricing Model (CAPM) of Sharpe, Lintner and Mossin. Although the model has been the subject of several academic papers, it is still exposed to theoretical and empirical criticisms. The CAPM is based on Markowitz’s (1959) mean variance analysis. Markowitz demonstrated that rational investors would hold assets, which of...

Journal: :Journal of risk and financial management 2021

Smart beta exchange-traded funds (SB ETFs) have caught the attention of investors due to their supposed ability offer a better risk–return trade-off than traditionally structured passive indices. Yet, research covering performance SB ETFs benchmarked traditional cap-weighted market indices remains relatively scarce. There is lack empirical evidence enforcing this phenomenon. Extending work Glus...

2000
RAYMOND KAN KEVIN Q. WANG

The conditional CAPM and the nonlinear APT are two important extensions of the Sharpe-Lintner constant beta CAPM. Bansal, Hsieh, and Viswanathan (1993), and Ghysels (1998) suggest that the nonlinear APT is empirically more successful than the conditional CAPM. Using a flexible nonparametric version of the conditional CAPM, we get the opposite result: the conditional CAPM does a substantially be...

2002
Michael J. Brennan Ashley W. Wang Yihong Xia

A simple valuation model with time varying investment opportunities is developed and estimated. The model assumes that the investment opportunity set is completely described by the real interest rate and the maximum Sharpe ratio, which follow correlated Ornstein-Uhlenbeck processes. The model parameters and time series of the state variables are estimated using US Treasury bond yields and expec...

Journal: :Genetics 1936
H Smith-Stocking

HE unusual behavior of the chromosomes in Sciara has been studied T in considerable detail both cytologically and genetically. Although the main facts regarding the distribution and behavior of the chromosomes (as revealed by cytological examination) , have been known for some time, the genetic data have been incomplete because of the paucity of mutant characters with which to follow the histor...

Journal: :World Journal Of Advanced Research and Reviews 2022

Traditional finance is constructed on four principles which are portfolio of Markowitz, the arbitrage Miller and Modigliani, capital asset pricing model Sharpe, Lintner Black option-pricing Black, Scholes, Merton, These conclude that market efficient competent. Patrons traditional recommend individual behavior frequently reflect rationality. EMH Samuelson also explains people behave rationally,...

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