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The CAPM Is Wanted, Dead or Alive

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As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Why Those Guys Won the Economics Nobels
    by Justin Fox in HBR Blog Network on 2014-04-02 19:00:40

Citations

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Cited by:

  1. Polk, Christopher & Lou, Dong & Huang, Shiyang, 2016. "The Booms and Busts of Beta Arbitrage," CEPR Discussion Papers 11531, C.E.P.R. Discussion Papers.
  2. Pablo De Andrés‐Alonso & Valentín Azofra‐Palenzuela & Gabriel De La Fuente‐Herrero, 2006. "The Real Options Component of Firm Market Value: The Case of the Technological Corporation," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(1‐2), pages 203-219, January.
  3. David J. Moore & David McMillan, 2016. "A look at the actual cost of capital of US firms," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1233628-123, December.
  4. Maurizio Zollo, 2009. "Superstitious Learning with Rare Strategic Decisions: Theory and Evidence from Corporate Acquisitions," Organization Science, INFORMS, vol. 20(5), pages 894-908, October.
  5. Wisniewski, Tomasz Piotr & Yekini, Liafisu Sina, 2014. "Predicting Stock Market Returns Based on the Content of Annual Report Narrative: A New Anomaly," MPRA Paper 58107, University Library of Munich, Germany.
  6. Low, Cheekiat & Nayak, Subhankar, 2009. "The non-relevance of the elusive holy grail of asset pricing tests: The "true" market portfolio does not alter CAPM validity conclusions," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(4), pages 1460-1475, November.
  7. J. Ernstberger & H. Haupt & O. Vogler, 2011. "The role of sorting portfolios in asset-pricing models," Applied Financial Economics, Taylor & Francis Journals, vol. 21(18), pages 1381-1396.
  8. Pasaribu, Rowland Bismark Fernando, 2010. "Pemilihan Model Asset Pricing [Asset pricing model selection: Indonesian Stock Exchange]," MPRA Paper 36978, University Library of Munich, Germany.
  9. Antonios K. Alexandridis & Mohammad S. Hasan, 2020. "Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 518-546, October.
  10. L'Her, Jean-Francois & Masmoudi, Tarek & Suret, Jean-Marc, 2004. "Evidence to support the four-factor pricing model from the Canadian stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(4), pages 313-328, October.
  11. Hasnie, Syed Sharjeel Ahmad & Collazzo, Pablo & Hassan, M. Kabir, 2022. "Risk assessment of equity-based conventional and islamic stock portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 363-378.
  12. Randolph Sloof & Mirjam van Praag, 2008. "The Degradation of Distorted Performance Measures," Tinbergen Institute Discussion Papers 08-072/3, Tinbergen Institute.
  13. Chang, Chiao-Yi, 2011. "The relationship between the 52-week high of an individual stock and stock market index level: Evidence from Taiwan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 14-27, February.
  14. Martin Wallmeier, 2000. "Determinanten erwarteter Renditen am deutschen Aktienmarkt — Eine empirische Untersuchung anhand ausgewählter Kennzahlen," Schmalenbach Journal of Business Research, Springer, vol. 52(1), pages 27-57, February.
  15. Hancock, G.D., 2005. "A text book treatment of calculating returns on non-traditional portfolios," Review of Financial Economics, Elsevier, vol. 14(2), pages 173-186.
  16. Cheng Wee Tan & Dogan Tirtiroglu & Ercan Tirtiroglu, 2013. "Reits' Growth Options and Asset Pricing Dynamics across Time," Koç University-TUSIAD Economic Research Forum Working Papers 1303, Koc University-TUSIAD Economic Research Forum.
  17. Buchanan, Bonnie G. & Cao, Cathy Xuying & Wang, Shuhui, 2021. "Corporate social responsibility and inside debt: The long game," International Review of Financial Analysis, Elsevier, vol. 78(C).
  18. Roman Mestre, 2021. "A wavelet approach of investing behaviors and their effects on risk exposures," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-37, December.
  19. Tang, Gordon Y. N. & Shum, Wai C., 2003. "The conditional relationship between beta and returns: recent evidence from international stock markets," International Business Review, Elsevier, vol. 12(1), pages 109-126, February.
  20. repec:dau:papers:123456789/4169 is not listed on IDEAS
  21. Piet Sercu & Martina Vandebroek & Tom Vinaimont, 2008. "Thin-Trading Effects in Beta: Bias "v." Estimation Error," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(9-10), pages 1196-1219.
  22. Ahmed, Rizwan & ullah, Subhan & Hudson, Robert & Gregoriou, Andros, 2023. "The implications of liquidity ratios: Evidence from Pakistan stock exchange limited," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 235-243.
  23. Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi, 2012. "CAPM for estimating the cost of equity capital: Interpreting the empirical evidence," Journal of Financial Economics, Elsevier, vol. 103(1), pages 204-220.
  24. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
  25. Allen, D. E. & Cleary, F., 1998. "Determinants of the cross-section of stock returns in the Malaysian stock market," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 253-275.
  26. Min Bai & Samir Harith, 2023. "Measuring SMEs Risk – Evidence from Malaysia," SN Business & Economics, Springer, vol. 3(7), pages 1-32, July.
  27. Bao, Te & Diks, Cees & Li, Hao, 2018. "A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction," Economic Modelling, Elsevier, vol. 68(C), pages 611-621.
  28. G. Caldarelli & M. Piccioni & E. Sciubba, 2000. "A Numerical Study on the Evolution of Portfolio Rules: Is CAPM Fit for Nasdaq?," Papers cond-mat/0009437, arXiv.org.
  29. Brooks, Chris & Godfrey, Chris & Hillenbrand, Carola & Money, Kevin, 2016. "Do investors care about corporate taxes?," Journal of Corporate Finance, Elsevier, vol. 38(C), pages 218-248.
  30. Wei Liu & James W. Kolari, 2022. "Multifactor Market Indexes," JRFM, MDPI, vol. 15(4), pages 1-26, March.
  31. Ling T. He, 2002. "Excess Returns of Industrial Stocks and the Real Estate Factor," Southern Economic Journal, John Wiley & Sons, vol. 68(3), pages 632-645, January.
  32. G.D. Hancock, 2005. "A text book treatment of calculating returns on non‐traditional portfolios," Review of Financial Economics, John Wiley & Sons, vol. 14(2), pages 173-186.
  33. Nawazish Mirza, 2008. "Size and value premium in Karachi stock exchange," CREB Working papers 1-2008, Centre for Research in Economics and Business, The Lahore School of Economics, revised 2008.
  34. AKEL Veli & CISSE Boubacar Amadou, 2023. "Test Of Arbitrage Pricing Theory On Stock Indices: An Empirical Study On Bist100," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 75(1), pages 7-18, April.
  35. Coudert, Virginie & Gex, Mathieu, 2008. "Does risk aversion drive financial crises? Testing the predictive power of empirical indicators," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 167-184, March.
  36. Kaplanski, Guy, 2004. "Traditional beta, downside risk beta and market risk premiums," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(5), pages 636-653, December.
  37. Eli Amir & Shai Levi & Tsafrir Livne, 2018. "Do firms underreport information on cyber-attacks? Evidence from capital markets," Review of Accounting Studies, Springer, vol. 23(3), pages 1177-1206, September.
  38. Basher, Syed A. & Sadorsky, Perry, 2006. "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, vol. 17(2), pages 224-251, December.
  39. Maurizio Zollo & Jeffrey J. Reuer, 2010. "Experience Spillovers Across Corporate Development Activities," Organization Science, INFORMS, vol. 21(6), pages 1195-1212, December.
  40. Erie Febrian & Aldrin Herwany, 2010. "The Performance Of Asset Pricing Models Before, During, And After An Emerging Market Financial Crisis: Evidence From Indonesia," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(1), pages 85-97.
  41. Tang, Gordon Y. N. & Shum, Wai Cheong, 2003. "The relationships between unsystematic risk, skewness and stock returns during up and down markets," International Business Review, Elsevier, vol. 12(5), pages 523-541, October.
  42. Ballestero, E. & Gunther, M. & Pla-Santamaria, D. & Stummer, C., 2007. "Portfolio selection under strict uncertainty: A multi-criteria methodology and its application to the Frankfurt and Vienna Stock Exchanges," European Journal of Operational Research, Elsevier, vol. 181(3), pages 1476-1487, September.
  43. Chris Godfrey & Chris Brooks, 2015. "The Negative Credit Risk Premium Puzzle: A Limits to Arbitrage Story," ICMA Centre Discussion Papers in Finance icma-dp2015-07, Henley Business School, University of Reading.
  44. De Moor, Lieven & Sercu, Piet & Vanpée, Rosanne, 2010. "The plausibility of risk estimates and implied costs to international equity investments," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 623-644, September.
  45. Piet Sercu & Martina Vandebroek & Tom Vinaimont, 2008. "Thin‐Trading Effects in Beta: Bias v. Estimation Error," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(9‐10), pages 1196-1219, November.
  46. Nusret Cakici & Isil Erol & Dogan Tirtiroglu, 2014. "Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 48(3), pages 415-440, April.
  47. Juasrikul, Sakdipon & Sahaym, Arvin & Yim, Hyunsoon (Sean) & Liu, Richie L., 2018. "Do cross-border alliances with MNEs from developed economies create firm value for MNEs from emerging economies?," Journal of Business Research, Elsevier, vol. 93(C), pages 98-110.
  48. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
  49. Antoinette Schoar & Kelvin Yeung & Luo Zuo, 2020. "The Effect of Managers on Systematic Risk," NBER Working Papers 27487, National Bureau of Economic Research, Inc.
  50. Galatis Nikolaos & Nitsi Ekaterini & Theloura Chrysoula, 2020. "Investigating Financial Performance of Low-and High-Rated ETFs During the QE-Tapering," HOLISTICA – Journal of Business and Public Administration, Sciendo, vol. 11(1), pages 107-123, April.
  51. Tobias Quill, 2020. "Valuation Techniques Under Construction—About the Dissemination of the CAPM in German Judicial Valuation," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 72(2), pages 299-341, April.
  52. Christian Walkshäusl & Sebastian Lobe, 2014. "The Alternative Three†Factor Model: An Alternative beyond US Markets?," European Financial Management, European Financial Management Association, vol. 20(1), pages 33-70, January.
  53. Hillier, David & Marshall, Andrew, 2002. "Insider trading, tax-loss selling, and the turn-of-the-year effect," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 73-84.
  54. Nickel, Manuel Núñez & Rodriguez, Manuel Cano, 2002. "A review of research on the negative accounting relationship between risk and return: Bowman's paradox," Omega, Elsevier, vol. 30(1), pages 1-18, February.
  55. Karam KIM & Doojin RYU, 2020. "Predictive ability of investor sentiment for the stock market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 33-46, December.
  56. Periklis Gogas & Theofilos Papadimitriou & Dimitrios Karagkiozis, 2018. "The Fama 3 and Fama 5 factor models under a machine learning framework," Working Paper series 18-05, Rimini Centre for Economic Analysis.
  57. Joel M. Vanden, 2021. "Equilibrium asset pricing and the cross section of expected returns," Annals of Finance, Springer, vol. 17(2), pages 153-186, June.
  58. Izatov, Asset, 2014. "Testing the Effect of the Conflict in Georgia in 2008 on Energy Market," MPRA Paper 70787, University Library of Munich, Germany.
  59. Fletcher, Jonathan, 1997. "An examination of the cross-sectional relationship of beta and return: UK evidence," Journal of Economics and Business, Elsevier, vol. 49(3), pages 211-221.
  60. J. David Cummins, 2000. "Allocation of Capital in the Insurance Industry," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 3(1), pages 7-27, March.
  61. Louis, Rodolphe & Roncalli, Thierry, 2012. "On the market portfolio for multi-asset classes," MPRA Paper 39087, University Library of Munich, Germany.
  62. Christian Bach, 2011. "Conservatism in Corporate Valuation," CREATES Research Papers 2011-32, Department of Economics and Business Economics, Aarhus University.
  63. Dorsman, André & Gounopoulos, Dimitrios, 2013. "European Sovereign Debt Crisis and the performance of Dutch IPOs," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 308-319.
  64. Robert D. Coleman, 2006. "Asset Pricing Simultaneities: Phases and Patterns," Annals of Economics and Finance, Society for AEF, vol. 7(1), pages 49-76, May.
  65. Lou, Dong & Polk, Christopher & Huang, Shiyang, 2014. "The booms and busts of beta arbitrage," LSE Research Online Documents on Economics 119019, London School of Economics and Political Science, LSE Library.
  66. Shiyi Chen & Wolfgang Härdle & Rouslan Moro, 2006. "Estimation of Default Probabilities with Support Vector Machines," SFB 649 Discussion Papers SFB649DP2006-077, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  67. repec:dau:papers:123456789/2167 is not listed on IDEAS
  68. Rocciolo, Francesco & Gheno, Andrea & Brooks, Chris, 2022. "Explaining abnormal returns in stock markets: An alpha-neutral version of the CAPM," International Review of Financial Analysis, Elsevier, vol. 82(C).
  69. Katarzyna Gwozdz, 2015. "Assessing The Non-Financial Investment Profitability With Variable Discount Rate," Oeconomia Copernicana, Institute of Economic Research, vol. 6(4), pages 123-138, December.
  70. Charles S. Tapiero, 2015. "A financial CCAPM and economic inequalities," Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 521-534, March.
  71. Faff, Robert W. & Brailsford, Timothy J., 1999. "Oil price risk and the Australian stock market," Journal of Energy Finance & Development, Elsevier, vol. 4(1), pages 69-87, June.
  72. Pope, Robin & Selten, Reinhard & Kaiser, Johannes & von Hagen, Jürgen, 2006. "The Underlying Cause of Unpredictability in Exchange Rates and Good Models of Exchange Rate Regime Selection: Field and Laboratory Evidence," Bonn Econ Discussion Papers 27/2006, University of Bonn, Bonn Graduate School of Economics (BGSE).
  73. Munk, Claus, 2015. "Financial Asset Pricing Theory," OUP Catalogue, Oxford University Press, number 9780198716457, Decembrie.
  74. Dar-Hsin Chen & Chun-Da Chen & Su-Chen Wu, 2014. "VaR and the cross-section of expected stock returns: an emerging market evidence," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 15(3), pages 441-459, June.
  75. Marcio Genovevo da Costa & Nils Donner, 2016. "Cointegration between Equity- and Agricultural Markets: Implications for Portfolio Diversification," Journal of Management and Sustainability, Canadian Center of Science and Education, vol. 6(1), pages 24-44, March.
  76. Kolari, James W. & Huang, Jianhua Z. & Butt, Hilal Anwar & Liao, Huiling, 2022. "International tests of the ZCAPM asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  77. Erie Febrian & Aldrin Herwany, 2009. "The Performance Of Asset Pricing Models Before, During, And After Financial Crisis In Emerging Market: Evidence From Indonesia," Working Papers in Business, Management and Finance 200902, Department of Management and Business, Padjadjaran University, revised Feb 2009.
  78. Debarati Basu & Deepak Chawla, 2010. "An Empirical Test of CAPM—The Case of Indian Stock Market," Global Business Review, International Management Institute, vol. 11(2), pages 209-220, June.
  79. He, Zhen & O’Connor, Fergal & Thijssen, Jacco, 2022. "Identifying proxies for risk-free assets: Evidence from the zero-beta capital asset pricing model," Research in International Business and Finance, Elsevier, vol. 63(C).
  80. Walkshäusl, Christian, 2014. "The MAX effect: European evidence," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 1-10.
  81. Roman Mestre, 2019. "Time-Frequency Multi-Betas Model-An Application with Gold and Oil -," Cahiers de recherche 19-05, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
  82. Elshahat, A. & Parhizgari, Ali & Hong, Liang, 2012. "The information content of the Banking Regulatory Agencies and the Depository Credit Intermediation Institutions," Journal of Economics and Business, Elsevier, vol. 64(1), pages 90-104.
  83. Brandt, Michael W. & Kang, Qiang, 2004. "On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach," Journal of Financial Economics, Elsevier, vol. 72(2), pages 217-257, May.
  84. Ahmad, Fawad & Oriani, Raffaele, 2022. "Investor attention, information acquisition, and value premium: A mispricing perspective," International Review of Financial Analysis, Elsevier, vol. 79(C).
  85. Babak Jafarizadeh & Reidar B. Bratvold, 2019. "Exploration economics: taking opportunities and the risk of double-counting risk," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 32(3), pages 323-335, November.
  86. Dong, Liang & Dai, Yiqing & Haque, Tariq & Kot, Hung Wan & Yamada, Takeshi, 2022. "Coskewness and reversal of momentum returns: The US and international evidence," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 241-264.
  87. Tang, Gordon Y. N. & Shum, Wai Cheong, 2004. "The risk-return relations in the Singapore stock market," Pacific-Basin Finance Journal, Elsevier, vol. 12(2), pages 179-195, April.
  88. George Leledakis & Ian Davidson & George Karathanassis, 2003. "Cross-sectional estimation of stock returns in small markets: The case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 13(6), pages 413-426.
  89. Jingbin He & Xinru Ma, 2021. "Extreme Temperatures and Firm-Level Stock Returns," IJERPH, MDPI, vol. 18(4), pages 1-22, February.
  90. Barnabas Timar, 2021. "How Does the Market Price Responsible and Sustainable Investments?," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 20(2), pages 117-147.
  91. A. Balakrishnan & Nirakar Barik, 2021. "Do select macroeconomic factors drive momentum returns?," Future Business Journal, Springer, vol. 7(1), pages 1-12, December.
  92. James W. Kolari & Jianhua Z. Huang & Wei Liu & Huiling Liao, 2022. "Further Tests of the ZCAPM Asset Pricing Model," JRFM, MDPI, vol. 15(3), pages 1-23, March.
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