In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model, which measures distance to default, and the timeless capital asset pricing model (CAPM) which measures additional ret...

Intellectual Capital (IC) has been proposed by Edvinsson and Malone (1997) as a technique for quantifying a company's intangible assets. A careful analysis can result in hundreds of variables, and extracting knowledge from these measurements can be difficult. We introduce a knowledge management technique called IC mapping that attempts to synthesize this data into a fitness landscape. Using the...

This article compares capital budgeting techniques employed in listed and unlisted companies in Brazil. We surveyed the Chief Financial Officers (CFOs) of 398 listed companies and 300 large unlisted companies, and based on 91 respondents, the results suggest that the CFOs of listed companies tend to use less simplistic methods more often, for example: NPV and CAPM, and that CFOs of unlisted com...

The existence theorem of Allingham (Econometrica 59:1169–1174, 1991) for the capital asset pricing model (CAPM) is generalized to the case where agents have heterogeneous expectations on the return distribution and the mean-variance utility functions are quasiconcave. This result is built upon new conditions which are distinct from and weaker than the conditions imposed on the CAPM in the liter...

Under the assumption of normally distributed returns, we analyze whether the Cumulative Prospect Theory of Tversky and Kahneman (1992) is consistent with the Capital Asset Pricing Model. We find that in every financial market equilibrium the Security Market Line Theorem holds. However, under the specific functional form suggested by Tversky and Kahneman (1992) financial market equilibria do not...

In the paper, we use three years of monthly data to compute loadings on the labor market tightness factor. We now evaluate robustness of our results to different beta estimation horizons. In Table IA.I, we estimate betas using 24, 48, or 60 months of data and otherwise do not modify our empirical methods. For all considered horizons, the differences in future performance of portfolios with low ...

This paper presents a test of multi-period asset pricing models using quarterly Philippine data. Using a consumption-based asset-pricing model, the study finds the rate of time preference to be 5.20 percent (on an annual basis). The estimated risk aversion coefficient of 0.043 seems to be on the low side when compared with estimates for other countries. Hansen's J-test finds favorable evidence ...

CAPM augmented with liquidity and size premium in the Croatian stock market Jelena Minović & Boško Živković To cite this article: Jelena Minović & Boško Živković (2014) CAPM augmented with liquidity and size premium in the Croatian stock market, Economic Research-Ekonomska Istraživanja, 27:1, 191-206, DOI: 10.1080/1331677X.2014.952107 To link to this article: http://dx.doi.org/10.1080/1331677X....