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The Capital Asset Pricing Model and the Investment Horizon

Citations

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  1. Gabriel A. Hawawini, 1980. "The Intertemporal Cross Price Behavior of Common Stocks: Evidence and Implications," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(2), pages 153-167, June.
  2. George G. Kaufman, 1980. "Duration, Planning Period, And Tests Of The Capital Asset Pricing Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 1-9, March.
  3. Chenglu Jin & Thomas Conlon & John Cotter, 2023. "Co-Skewness across Return Horizons," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1483-1518.
  4. Brailsford, Timothy J. & Josev, Thomas, 1997. "The impact of the return interval on the estimation of systematic risk," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 357-376, July.
  5. Francine Roure & Alain Butery, 1982. "Droite de marché des titres et performances des sociétés holdings pures françaises," Revue Économique, Programme National Persée, vol. 33(3), pages 497-540.
  6. Kathleen Walsh, 2015. "The investment horizon and asset pricing models," Australian Journal of Management, Australian School of Business, vol. 40(2), pages 277-294, May.
  7. Perron, Pierre & Chun, Sungju & Vodounou, Cosme, 2013. "Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 42-62.
  8. Laimutė Urbšienė & Andrius Bugajevas & Marekas Pipiras, 2016. "The Impact Of Investment Horizon On The Return And Risk Of Investments In Securities In Lithuania," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 7(2).
  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. McNevin, Bruce D. & Nix, Joan, 2018. "The beta heuristic from a time/frequency perspective: A wavelet analysis of the market risk of sectors," Economic Modelling, Elsevier, vol. 68(C), pages 570-585.
  11. Jozef Barunik & Josef Kurka, 2021. "Risks of heterogeneously persistent higher moments," Papers 2104.04264, arXiv.org, revised Mar 2024.
  12. Levy, Haim & Schwarz, Gideon, 1997. "Correlation and the time interval over which the variables are measured," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 341-350.
  13. Ramazan Genay & Faruk Seļuk & Brandon Whitcher, 2003. "Systematic risk and timescales," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 108-116.
  14. R Jea & C-T Su & J-L Lin, 2005. "Time aggregation effect on the correlation coefficient: added-systematically sampled framework," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 56(11), pages 1303-1309, November.
  15. Bera, Anil Kumar & Uyar, Umut & Kangalli Uyar, Sinem Guler, 2020. "Analysis of the five-factor asset pricing model with wavelet multiscaling approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 414-423.
  16. Haim Levy & Ilan Guttman & Isabel Tkatch, 2001. "Regression, Correlation, and the Time Interval: Additive-Multiplicative Framework," Management Science, INFORMS, vol. 47(8), pages 1150-1159, August.
  17. Albert Corhay & Alireza Tourani Rad, 1993. "Return Interval, Firm Size And Systematic Risk On The Dutch Stock Market," Review of Financial Economics, John Wiley & Sons, vol. 2(2), pages 19-28, March.
  18. Lewellen, Jonathan & Nagel, Stefan, 2006. "The conditional CAPM does not explain asset-pricing anomalies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 289-314, November.
  19. Bessembinder, Hendrik & Cooper, Michael J. & Zhang, Feng, 2023. "Mutual fund performance at long horizons," Journal of Financial Economics, Elsevier, vol. 147(1), pages 132-158.
  20. Aitken, Michael & Almeida, Niall & deB. Harris, Frederick H. & McInish, Thomas H., 2007. "Liquidity supply in electronic markets," Journal of Financial Markets, Elsevier, vol. 10(2), pages 144-168, May.
  21. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem, 2022. "A fuzzy multifactor asset pricing model," Annals of Operations Research, Springer, vol. 313(2), pages 1221-1241, June.
  22. Semenov, Andrei, 2021. "Measuring the stock's factor beta and identifying risk factors under market inefficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 635-649.
  23. Moshe Levy, 2012. "On the Spurious Correlation Between Sample Betas and Mean Returns," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(4), pages 341-360, September.
  24. Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Shapiro, A.F. & Terraza, M., 2014. "CAPM with fuzzy returns and hypothesis testing," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 40-57.
  25. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Arnold F. Shapiro & Michel Terraza, 2012. "Capital asset pricing model with fuzzy returns and hypothesis testing," Working Papers 12-33, LAMETA, Universtiy of Montpellier, revised Sep 2012.
  26. Chun-Hao Chang & Brice Dupoyet & Arun Prakash, 2008. "Effect of intervalling and skewness on portfolio selection in developed and developing markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(21), pages 1697-1707.
  27. Brennan, M.J. & Taylor, Alex P., 2023. "Expected returns and risk in the stock market," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 276-300.
  28. Eunhee Lee & Chang Kim & In-Moo Kim, 2015. "Equity premium over different investment horizons," Empirical Economics, Springer, vol. 48(3), pages 1169-1187, May.
  29. Aasif Shah & Arif Tali & Qaiser Farooq, 2018. "Beta through the prism of wavelets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-17, December.
  30. Xinyuan Tao & Chunchi Wu, 2021. "Rating labels and style investing: Evidence from Moody's rating recalibration," Financial Management, Financial Management Association International, vol. 50(4), pages 1047-1084, December.
  31. Schäffner, Daniel, 2007. "Bestimmung des Ausgangsniveaus der Kosten und des kalkulatorischen Eigenkapitalzinssatzes für eine Anreizregulierung des Energiesektors," WIK Discussion Papers 293, WIK Wissenschaftliches Institut für Infrastruktur und Kommunikationsdienste GmbH.
  32. Naval K. Modani & Philip L. Cooley & Rodney L. Roenfeldt, 1983. "Stability Of Market Risk Surrogates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(1), pages 33-40, March.
  33. Francis In & Sangbae Kim, 2012. "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, January.
  34. Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2005. "Multiscale systematic risk," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 55-70, February.
  35. Mamadou-Diéne Diop & Jules Sadefo Kamdem, 2023. "Multiscale Agricultural Commodities Forecasting Using Wavelet-SARIMA Process," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(1), pages 1-40, March.
  36. Ziemowit Bednarek & Oleksandr Firsov & Pratish Patel, 2017. "A strong case to calculate the Treynor ratio using log-returns," Journal of Asset Management, Palgrave Macmillan, vol. 18(4), pages 317-325, July.
  37. Christopher M. Adam, 1980. "Some Estimation Effects of Selecting Economic Policy Horizons for Macroeconomic Models," The Economic Record, The Economic Society of Australia, vol. 56(155), pages 374-377, December.
  38. Juliana Malagon & David Moreno & Rosa Rodr�guez, 2015. "Time horizon trading and the idiosyncratic risk puzzle," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 327-343, February.
  39. Edna Schechtman & Amit Shelef, 2018. "Correlation and the time interval over which the variables are measured – A non-parametric approach," PLOS ONE, Public Library of Science, vol. 13(11), pages 1-9, November.
  40. Shapira, Zur & Venezia, Itzhak, 2001. "Patterns of behavior of professionally managed and independent investors," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1573-1587, August.
  41. Jea, Rong & Lin, Jin-Lung & Su, Chao-Ton, 2005. "Correlation and the time interval in multiple regression models," European Journal of Operational Research, Elsevier, vol. 162(2), pages 433-441, April.
  42. Pagano, Michael S. & Schwartz, Robert A., 2003. "A closing call's impact on market quality at Euronext Paris," Journal of Financial Economics, Elsevier, vol. 68(3), pages 439-484, June.
  43. Basso, Antonella & Funari, Stefania, 2001. "A data envelopment analysis approach to measure the mutual fund performance," European Journal of Operational Research, Elsevier, vol. 135(3), pages 477-492, December.
  44. Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
  45. Shlomo Yitzhaki & Peter Lambert, 2014. "Is higher variance necessarily bad for investment?," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 855-860, November.
  46. Yi-Cheng Shih & Sheng-Syan Chen & Cheng-Few Lee & Po-Jung Chen, 2014. "The evolution of capital asset pricing models," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 415-448, April.
  47. Chaudhury, M. M. & Lee, C. F., 1997. "Functional form of stock return model: Some international evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(1), pages 151-183.
  48. Erwin M. Saniga & Thomas H. McInish & Bruce K. Gouldey, 1981. "The Effect Of Differencing Interval Length On Beta," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(2), pages 129-135, June.
  49. Levy, Haim & Simaan, Yusif, 2016. "More possessions, more worry," European Journal of Operational Research, Elsevier, vol. 255(3), pages 893-902.
  50. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," The Journal of Business, University of Chicago Press, vol. 68(3), pages 309-349, July.
  51. Haim Levy, 2010. "The CAPM is Alive and Well: A Review and Synthesis," European Financial Management, European Financial Management Association, vol. 16(1), pages 43-71, January.
  52. Gregory, Alan & Hua, Shan & Tharyan, Rajesh, 2018. "In search of beta," The British Accounting Review, Elsevier, vol. 50(4), pages 425-441.
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