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....

This paper stresses the importance of assessing the risk-return trade-off faced by environmental industries in financial markets. One of the most widely-used theoretical models in finance is the conditional CAPM, which describes the conditional risk-return tradeoff in financial markets, whereby both the conditional mean return and conditional beta risk are allowed to vary over time. This paper ...

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...

Academic studies show that technical trading rules would have earned substantial excess returns over long periods in foreign exchange markets. However, the approach to risk adjustment has typically been rather cursory. We examine ability of a wide range models: CAPM, quadratic downside Carhart’s 4-factor model, C-CAPM, an extended C-CAPM with durable consumption, Lustig-Verdelhan (LV) carry-tra...

We demonstrate that in a CAPM economy Walras Law and the Tobin Separation Property characterize market demand on nite sets of prices. Consequently, for any number n there exist CAPM economies which have at least n equilibria and hence have n di erent beta pricing formulas. It is shown that the lower bound on the number of equilibria, n, is robust to pertubations of endowments.

the main objective of this article is to present a comparative study of capital assets pricing models (capm) with extrapolating capital assets pricing models (x-capm) of companies admitted in tehran exchange market which is accomplished for the first time by investigators of this research in iran. accordingly, the statistical population under study of this research includes all companies admitt...

The main objective of this article is to present a comparative study of capital assets pricing models (CAPM) with extrapolating capital assets pricing models (X-CAPM) of companies admitted in Tehran Exchange Market which is accomplished for the first time by investigators of this research in Iran. Accordingly, the statistical population under study of this research includes all companies admitt...