نتایج جستجو برای: based asset pricing model and investors utility function
تعداد نتایج: 17713747 فیلتر نتایج به سال:
abstract: in the paper of black and scholes (1973) a closed form solution for the price of a european option is derived . as extension to the black and scholes model with constant volatility, option pricing model with time varying volatility have been suggested within the frame work of generalized autoregressive conditional heteroskedasticity (garch) . these processes can explain a number of em...
uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...
In this paper, we try to develop and modify the basic model of the consumption-based capital asset pricing model by adding the growth in real money balances rate as a risk factor in the household's utility function as (M-CCAPM). For this purpose, two forms of utility function with constant relative risk aversion (CRRA) preferences and recursive preferences have been used such that M1 and M2 are...
We study asset prices in an economy where investors derive direct utility not. Our model is influenced by prospect theory and by experimental evidence on how.We study asset prices in an economy where investors derive direct utility not. Of our model is influenced by prospect theory and by experimental evidence on.PROSPECT THEORY AND ASSET PRICES Authors: N. The point of this note is to explain ...
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...
this article investigates fluctuations in stocks prices at tehran stock exchange, assuming that investors' utility stems from fluctuations in value of stocks as well as consumption. thus, the two behavioral phenomena discussed in prospect theory, i. e. loss aversion and house money effect, were factored into consumption-based asset pricing model and investor's utility function, which ...
هدف اصلی پژوهش حاضر تبیین مقایسهای مدل قیمتگذاری دارایی سرمایهای مبتنی بر مصرف سنتی[i] و مدل قیمتگذاری دارایی سرمایهای مبتنی بر مصرف تعدیل شده با لحاظ ریسک نقدشوندگی در بازار سرمایه ایران است. جامعه آماری مورد مطالعه این پژوهش شرکتهای پذیرفته شده در بورس اوراق بهادار تهران در دوره زمانی 1388 تا 1396 است. با مقایسهای میان این دو نوع مدل قیمتگذاری با استفاده از مدل رگرسیونی دو مرحلهای فا...
Considerable attention has recently been given to general equilibrium models of the pricing of capital assets. Of these, perhaps the best known is the mean-variance formulation originally developed by Sharpe (1964) and Treynor (1961), and extended and clarified by Lintner (1965a; 1965b), Mossin (1966), Fama (1968a; 1968b), and Long (1972). In addition Treynor (1965), Sharpe (1966), and Jensen (...
In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...
Objective: The main objective of this research is to explain the accrual anomaly using accruals factor (CMA) and accrual-based factor-mimicking portfolios as well as checking whether accrual anomaly is risk-based or mispricing. According to rational frictionless asset pricing model, the ability of accruals to predict returns should come from the loadings on this accrual factor loading that pred...
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