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Milo? Ðakovic,Jelena Andra?ic,Danica Cicmil
Pág. 183 - 197
One of the basic types of portfolio valuation as well as valuation of individual company shares is the CAPM (Capital Asset Pricing) model, which uses a well-known measure of systemic risk in its analysis, which is beta. The CAPM model in its analysis use...
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Nsama Musawa,Sumbye Kapena,Chanda Shikaputo
AbstractBackground: The Fama and French five-factor model (FF5M) is one of the stock valuation model that is on the cutting edge of finance research. Results from the empirical tests from various stock markets were the FFM5 has been tested since its laun...
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Morotola Pholohane, Oluseye Ajuwon, Nicolene Wesson
Pág. 59 - 93
This study explored the price reactions of shares moving in and out of Johannesburg Stock Exchange (JSE) Top 40 Index by applying three models to calculate the abnormal returns of the stocks; namely: the market model, the Capital Asset Pricing Model (CAP...
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Muhammad Zeeshan,Jiabin Han,Alam Rehman,Kashif Saleem,Raza Ullah Shah,Amir Ishaque,Naveed Farooq,Arif Hussain
Pág. 151 - 157
Mutual Funds enable small investors to enjoy the benefits of the capital market instruments with small amount using the expertise of professional managers. This study examines the risk adjusted performance, timing and selection abilities of conventional ...
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Yetti Afrida Indra
Pág. 233 - 240
CAPM is a balance model that can determine the risks and returns that investors will gain. Under the CAPM, the level of risk and the appropriate rate of return has a positive and linear relationship. The measure of risk that is an indicator affecting sto...
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Songul KAKILLI ACARAVCI,Ali ACARAVCI,Yunus KARAOMER
Pág. 187 - 191
The Real Estate Investment Trusts (REITs) have an important role in the development of the real estate sector. For investors, the REITs are financial institution that offer service such as professional portfolio management, risk reduced through diversifi...
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Jerome Duncan, Seth C. Anderson, Sherrell Price, Cassandra Thomas
This case illustrates how the Gordon Growth Model is employed to estimate the value of a firm?s stock. The model determines the value of stock based on dividends, growth rate, and the cost of capital. The Capital Asset Pricing Model (CAPM) is emplo...
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André Ricardo de Pinho Ronzani, Osvaldo Candido and Wilfredo Fernando Leiva Maldonado
In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables. Indeed, the model proposed by Adrian and Franzoni (2009) is adapted to assess th...
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Maria del Mar Miralles-Quiros,Jose Luis Miralles-Quiros,Luis Miguel Valente-Gonçalves
Pág. 414 - 435
Market efficiency implies stock prices fully reflect all publicly available information instantaneously and, thus, no investment strategies can systematically earn abnormal returns. However, market efficiency per se is not testable. In order to analyze w...
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William Aparecido Maciel da Silva,João Antônio de Souza Trindade,Leonardo de Rezende Costa Nagib,Donizete Reina
Pág. 299 - 313
Utilizado amplamente no mercado financeiro e na academia o (Capital asset pricing model, proposto por Sharpe (1964) sempre foi alvo de discussões e se tornou fonte de estudos. Esta pesquisa tem como objetivo identificar se o CAPM serve como benchmark par...
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