The purpose of this study was to examine the expected returns of Carhart model compared to the capital asset pricing model and the implicit capital cost model based on cash and capital returns of growth and value stocks. The statistical population consisted of the companies listed in Tehran Stock Exchange and the time domain is between 2007 and 2016. By choosing Cochran sampling, 126 companies ...

The online version of A Behavioral Approach to Asset Pricing by Hersh Shefrin. Part III: Developing Behavioral Asset Pricing Models.A unified behavioral approach to asset pricing requires a general definition of sentiment. Objective pdf and the individual investors subjective pdf. ÂœA mathematical-economist-turned-behavioral-economist, Hersh Shefrin challenges and delights the reader by applyin...

explanation relation between risk and return and capital asset pricing are concepts which is appointed as dominator and major paradigms in capital markets. so far as after offering capm by sharp & lintner, this model has been revised and criticized frequently. in this paper another version of capm has been tested versus traditional capm in tehran stock exchange. this version of capm measures se...

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The existence of mean-variance efficient positive portfolios – portfolios with no negative weights – is a key requirement for equilibrium in the Capital Asset Pricing Model (CAPM). Brennan and Lo (2010) define an “impossible frontier” as a frontier on which all portfolios have at least one negative weight. They prove that for randomly drawn covariance matrices the probability of obtaining an im...

Article history: Received 3 August 2014 Received in revised form 27 September 2014 Accepted 24 October 2014 Available online 3 November 2014

Survey evidence suggests that many investors form beliefs about future stock market returns by extrapolating past returns. Such beliefs are hard to reconcile with existing models of the aggregate stock market. We study a consumption-based asset pricing model in which some investors form beliefs about future price changes in the stock market by extrapolating past price changes, while other inves...

The choice of model of normal returns in event studies has been widely discussed in the literature. While researchers frequently continue to use an array of alternatives, there is currently some tendency to favour cruder but simpler meanor marketadjusted returns models. This paper presents a general-to-specific model selection framework for testing the data admissibility of the principal models...

The need for understanding the propagation mechanisms behind the recent financial crises lead the increased interest for works associated with systemic risks. In this framework, network-based methods have been used to infer from data the linkages between institutions (or companies. Part of the literature postulates that systemic risk is strictly related (if not equal) to systematic risk. In thi...

We study properties of structured financial products optimizing a utility functional of a customer. The conventional method may have the disadvantage that the a priori restriction to a certain number of assets could make it impossible to find the optimal portfolio. So instead of optimizing the distribution of given assets, we impose only the price constraint as given by the CAPM and optimize th...