In this paper we propose a new approach to estimating the systematic risk (the beta of an asset) in a capital asset pricing model (CAPM). The proposed method is based on a wavelet multiscaling approach that decomposes a given time series on a scale-by-scale basis. At each scale, the wavelet variance of the market return and the wavelet covariance between the market return and a portfolio are ca...

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 main criterion in investment decisions is to maximize the investors utility. Traditional capital asset pricing models cannot be used when asset returns do not follow a normal distribution. For this reason, we use capital asset pricing model with independent and identically asymmetric power distributed (CAPM-IIAPD) and capital asset pricing model with asymmetric independent and identically a...

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...

Keywords: Capital asset pricing model (Capm) Capital asset pricing theory Finance theory Hedonic pricing Portfolio theory Residential rental real estate investment (RRREI) Security market line Systematic/unsystematic risk

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...

Adrian and Franzoni (2005) suggest that beta of a stock is determined by the factor loading of its unobservable long-run beta. The fundamental idea behind this model is that investors engage in a learning process of estimating this long-run beta. In this paper, a variation of this model is tested. Instead of estimating long-run beta, investors try to learn about factor loading. Given the long-r...

We explore theoretically and experimentally the general equilibrium price and allocation implications of delegated portfolio management when the investor-manager relationship is non-exclusive. Investors transfer their securities allocations to managers, managers trade in a competitive marketplace to achieve new allocations, and payo↵s are distributed back to investors after subtraction of a por...

We consider a financial market in which two securities are traded: a stock and an index. Their prices are assumed to satisfy the Black–Scholes model. Besides assuming that the index is a tradable security, we also assume that it is efficient, in the following sense: we do not expect a prespecified self-financing trading strategy whose wealth is almost surely nonnegative at all times to outperfo...