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This paper extends the standard Black's zero-beta CAPM with homogeneous beliefs to the case with heterogeneous beliefs in terms of risk aversion coefficients, expected payoffs, and variance/covariance matrices of the payoffs of risky assets among heterogeneous agents within the mean-variance framework...
zero-beta CAPMmarket volatilityThis work utilizes zero-beta CAPM to derive an alternative form dubbed the ZCAPM. The ZCAPM posits that asset prices are a function of market risk composed of two components: average market returns and cross-sectional market volatility. Market risk associated with ...
Multivariate tests of the zero-beta CAPM. Journal of Financial Economics 14, 327-348.Shanken, J. (1985) Multivariate test of the zero-beta CAPM. Journal of Financial Economics 14: pp. 327-348Shanken, J (1985), "Multivariate Tests of the Zero-Beta CAPM", Journal of Financial Economics ...
In its early years, as discussed in the last chapter, the CAPM came under question. Empirical tests of the market model found that the relationship between CAPM beta and U.S. stock returns was weaker than expected. Relaxing some of the assumptions of the CAPM, Black ( 1972 ) proposed the...
Alternative tests of the zero-beta CAPM. The Journal of Financial Research, v. 23, n. 4, p. 469-493, 2000.Chou, P. "Alternative Tests of the Zero-Beta CAPM." The Journal of Financial Research 23, (2000),469-493.CHOU, Pin-Huang. Alternative tests of the zero-beta CAPM. The ...
A new CAPM dubbed the ZCAPM was recently proposed by Kolari, Liu, and Huang (KLH) (A new model of capital asset prices: Theory and evidence. Palgrave Macmillan, Cham, 2021). In theirbook, the authors derived the ZCAPM as a special case of the more general zero-beta CAPMofBlack (J ...
A likelihood ratio test of the zero-beta CAPM in Australian equity returns, Accounting and Fi- nance, 31, 88-95.Faff, R, (1991), A likelihood ratio test of the zero-beta CAPM in Australian equity returns, Accounting and Finance 31, November, 88–95....