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The evolution of capital asset pricing models

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  • Yi-Cheng Shih

    ()

  • Sheng-Syan Chen

    ()

  • Cheng-Few Lee

    ()

  • Po-Jung Chen

    ()

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    Abstract

    The capital asset pricing models (CAPM) has been the benchmark of asset pricing models and has been used to calculate asset returns and the cost of capital for more than four decades. Many researchers have tried to relax the original assumptions and generalize the static CAPM. We survey the important alternative theoretical models of capital asset pricing and provide a complete review of the evolution of asset pricing models. We also discuss the interrelationships among these models and suggest several possible directions for future research. Our results might be used as a guideline for future theoretical and empirical research in capital asset pricing. Copyright Springer Science+Business Media New York 2014

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    Bibliographic Info

    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 42 (2014)
    Issue (Month): 3 (April)
    Pages: 415-448

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    Handle: RePEc:kap:rqfnac:v:42:y:2014:i:3:p:415-448

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    Web page: http://springerlink.metapress.com/link.asp?id=102990

    Related research

    Keywords: CAPM; Asset pricing models; Modern capital market theory; G11; G12;

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    References

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    Cited by:
    1. Amélie Charles & Olivier Darné & Zakaria Moussa, 2014. "The sensitivity of Fama-French factors to economic uncertainty," Working Papers hal-01015702, HAL.

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