We find that although the conditional covariances of returns with consumption exhibit negative variation across size, they do not vary across the book-to-market ratio. Thus, C-CAPM can capture the size effect, but not the value effect. The fit is, however, improved by allowing the ...
This in return leads to a reduction in liquidity of the risky asset, thus conveying a negative ‘signal’ to an outsider who may not be aware of the experimental setting. Another insight of this study stems from the recent spike in commodity prices, attributed to manipulation by financially ...
Why might negative convexity be a problem to an investor? Give an example of when convexity might occur in an investment or mortgage. Why is the measure payback and book rate of return used in capital budgeting? Why do we assume a log...
Explain how the asset market approach can be used to forecast spot exchange rates. How does the asset market approach differ from the BOP approach to forecasting? Explain capital asset pricing model (CAPM). What are its assumptions? 1. Discuss three...
aWe could now construct a counterexample to the CAPM just by adding to the example given above a riskless asset with a sufficiently low rate of return. 我们可能现在修建反例对CAPM通过增加到在riskless财产之上的举例子与一充足地低率回归。[translate] ...
carbon-dioxide refrig carbon-fiber monocoqu carbon-graphite carbon-negative carbonate age carbonate buildup carbonate decompositi carbonate diagenesis carbonate water produ carbonation of concre carbonatite carbonchromium carbondioxidoice carbonemissionreducti carbonia-iglesias carbonic snow carbonisation of woo...
and if risky assets can also only be shorted with penalty, then the efficient frontier has two linear segments and the CAPM will, in general, fail 如果riskless财产可以仅短缺,但以更高的“惩罚”率,并且,如果危险财产可能只也短缺以惩罚,然后高效率的边境有二线性段和CAPM意志,总之出故障 [translate]...
The health industry has always used natural products as a rich, promising, and alternative source of drugs that are used in the health system. Propolis, a natural resinous product known for centuries...
(2014) show that the cross-sectional variance (CSV) of returns is a consistent estimator of the aggregate idiosyncratic variance, as implied by the CAPM or the Fama–French models, whether equally-weighted or capitalization-weighted measures of idiosyncratic variance are used. Besides, Pal and ...
As such, for an empirical regularity to be a state variable and therefore be considered a risk factor in the context of Merton's (1973) ICAPM model, the empirical regularity should be correlated with information about fundamental risk in the economy that affects the investment opportunity set. ...