Author : Robert Ferguson
Publisher :
Page : 18 pages
File Size : 43,83 MB
Release : 2017
Category :
ISBN :
Perhaps the most frequently used estimator of the Capital Asset Pricing Model beta in finance is the Ordinary Least Squares estimate, obtained by regressing excess security return against excess market return, with an intercept. This paper shows that the Ordinary Least Squares estimator is inappropriate because it ignores the structure imposed by the Capital Asset Pricing Model on the parameters of the multivariate density of security returns.
Author : Köseo?lu, Sinem Derindere
Publisher : IGI Global
Page : 324 pages
File Size : 38,92 MB
Release : 2019-11-29
Category : Business & Economics
ISBN : 1799810887
Defining the value of an entire company can be challenging, especially for large, highly competitive business markets. While the main goal for many companies is to increase their market value, understanding the advanced techniques and determining the best course of action to maximize profits can puzzle both academic and business professionals alike. Valuation Challenges and Solutions in Contemporary Businesses provides emerging research exploring theoretical and practical aspects of income-based, market-based, and asset-based valuation approaches and applications within the financial sciences. Featuring coverage on a broad range of topics such as growth rate, diverse business, and market value, this book is ideally designed for financial officers, business professionals, company managers, CEOs, corporate professionals, academicians, researchers, and students seeking current research on the challenging aspects of firm valuation and an assortment of possible solution-driven concepts.
Author : Eric E. Fisher
Publisher : Createspace Independent Publishing Platform
Page : 40 pages
File Size : 21,89 MB
Release : 2017-05-14
Category :
ISBN : 9781545164242
Previous attempts to test the CAPM using average realized returns as estimates of expected returns were not very successful nor are they likely to be. Even if the CAPM is true, any evidence of beta/return linearity that might exist in the historical record is obscured or obliterated when the average market return is near or even modestly above zero. On the other hand, estimating expected returns using average realized returns further out in the tails of the return distribution (in down markets, for example) provides evidence that strongly supports the CAPM. Using 24 years of daily return data for 90 high capitalization stocks the estimation technique developed in the paper results in expected returns that are highly correlated with beta, not just over the full 24 years, but over twelve 2-year sub-periods as well. Moreover, in a Monte Carlo experiment it is demonstrated that this alternative estimation technique delivers estimates that are closer to "true" expected returns than those resulting from the usual practice of estimating expected returns as average realizations. The robust relationship between beta and expected returns leaves little room for the so-called return anomalies to play much of a role in explaining expected returns. In particular, the statistical significance of the four non-market (i.e., non-beta) return factors of the Fama/French five factor model nearly slips away entirely. In addition, with this new approach to estimating expected returns there are many fewer tangency portfolio short positions than other researchers have documented.
Author : Bruno S. Frey
Publisher : Springer
Page : 168 pages
File Size : 24,42 MB
Release : 2017-03-08
Category : Business & Economics
ISBN : 3319474588
Reporting on cutting-edge advances in economics, this book presents a selection of commentaries that reveal the weaknesses of several core economics concepts. Economics is a vigorous and progressive science, which does not lose its force when particular parts of its theory are empirically invalidated; instead, they contribute to the accumulation of knowledge. By discussing problematic theoretical assumptions and drawing on the latest empirical research, the authors question specific hypotheses and reject major economic ideas from the “Coase Theorem” to “Say’s Law” and “Bayesianism.” Many of these ideas remain prominent among politicians, economists and the general public. Yet, in the light of the financial crisis, they have lost both their relevance and supporting empirical evidence. This fascinating and thought-provoking collection of 71 short essays written by respected economists and social scientists from all over the world will appeal to anyone interested in scientific progress and the further development of economics.
Author : William F. Sharpe
Publisher : McGraw-Hill Companies
Page : 0 pages
File Size : 48,1 MB
Release : 2000
Category : Capital
ISBN : 9780071353205
"Thirty years ago, Portfolio Theory and Capital Markets laid the groundwork for today's investment standards, from modern portfolio theory to derivatives, pricing and investment, equity index funds, and more. By providing invaluable insights into the Capital Asset Pricing Model (CAPM) and introducing such innovations as the Sharpe Ratio, Dr. William Sharpe established himself as one of the most influential financial minds of the twentieth century. Now, in Portfolio Theory and Capital Markets, The Original Edition, complete with a new foreword written by Dr. Sharpe, McGraw-Hill reintroduces this essential book - and places its lessons in a meaningful context for modern investors throughout the world."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
Author : Jonathon Berk
Publisher : Pearson Higher Education AU
Page : 769 pages
File Size : 23,56 MB
Release : 2013-12-02
Category : Business & Economics
ISBN : 1442564644
Core concepts. Contemporary ideas. Outstanding, innovative resources. To succeed in your business studies, you will need to master core finance concepts and learn to identify and solve many business problems. Learning to apply financial metrics and value creation as inputs to decision making is a critical skill in any kind of organisation. Fundamentals of Corporate Finance shows you how to do just that. Berk presents the fundamentals of business finance using the Valuation Principle as a clear, unifying framework. Throughout the text, its many applications use familiar Australian examples and makes consistent use of real-world data. This Australian adaptation of the highly successful US text Fundamentals of Corporate Finance features a high-calibre author team of respected academics. The second edition builds on the strengths of the first edition, and incorporates updated figures, tables and facts to reflect key developments in the field of finance. For corporate finance or financial management students, at undergraduate or post-graduate level.
Author : Howard Marks
Publisher : Columbia University Press
Page : 196 pages
File Size : 40,42 MB
Release : 2011-05-01
Category : Business & Economics
ISBN : 0231527098
"This is that rarity, a useful book."--Warren Buffett Howard Marks, the chairman and cofounder of Oaktree Capital Management, is renowned for his insightful assessments of market opportunity and risk. After four decades spent ascending to the top of the investment management profession, he is today sought out by the world's leading value investors, and his client memos brim with insightful commentary and a time-tested, fundamental philosophy. Now for the first time, all readers can benefit from Marks's wisdom, concentrated into a single volume that speaks to both the amateur and seasoned investor. Informed by a lifetime of experience and study, The Most Important Thing explains the keys to successful investment and the pitfalls that can destroy capital or ruin a career. Utilizing passages from his memos to illustrate his ideas, Marks teaches by example, detailing the development of an investment philosophy that fully acknowledges the complexities of investing and the perils of the financial world. Brilliantly applying insight to today's volatile markets, Marks offers a volume that is part memoir, part creed, with a number of broad takeaways. Marks expounds on such concepts as "second-level thinking," the price/value relationship, patient opportunism, and defensive investing. Frankly and honestly assessing his own decisions--and occasional missteps--he provides valuable lessons for critical thinking, risk assessment, and investment strategy. Encouraging investors to be "contrarian," Marks wisely judges market cycles and achieves returns through aggressive yet measured action. Which element is the most essential? Successful investing requires thoughtful attention to many separate aspects, and each of Marks's subjects proves to be the most important thing.
Author : Tom Berglund
Publisher :
Page : pages
File Size : 18,30 MB
Release : 1998
Category :
ISBN :
This paper advocates two ways to make more efficient use of available information in reducing the bias of the risk premium estimate in two-pass tests of the CAPM. First, explicit modeling of the time-variability of betas can improve the accuracy of the beta forecasts. Second, the cross-sectional information available can be exploited more efficiently using individual stocks instead of portfolios provided that noisy beta predictions are given a smaller weight than more accurate ones. This paper proposes an adjustment of the cross-sectional regressions of excess returns against betas to give larger weights to more reliable beta forecasts. A significant positive relationship between returns and the beta forecast is obtained when the proposed approach is applied to data from the Helsinki Stock Exchange, while the traditional Fama-MacBeth (1973) approach as such finds no relationship at all.
Author : Puneet Handa
Publisher :
Page : 52 pages
File Size : 12,10 MB
Release : 1987
Category : Capital assets pricing model
ISBN :
Author : Glenn Shafer
Publisher : John Wiley & Sons
Page : 480 pages
File Size : 37,6 MB
Release : 2019-03-21
Category : Business & Economics
ISBN : 1118547934
Game-theoretic probability and finance come of age Glenn Shafer and Vladimir Vovk’s Probability and Finance, published in 2001, showed that perfect-information games can be used to define mathematical probability. Based on fifteen years of further research, Game-Theoretic Foundations for Probability and Finance presents a mature view of the foundational role game theory can play. Its account of probability theory opens the way to new methods of prediction and testing and makes many statistical methods more transparent and widely usable. Its contributions to finance theory include purely game-theoretic accounts of Ito’s stochastic calculus, the capital asset pricing model, the equity premium, and portfolio theory. Game-Theoretic Foundations for Probability and Finance is a book of research. It is also a teaching resource. Each chapter is supplemented with carefully designed exercises and notes relating the new theory to its historical context. Praise from early readers “Ever since Kolmogorov's Grundbegriffe, the standard mathematical treatment of probability theory has been measure-theoretic. In this ground-breaking work, Shafer and Vovk give a game-theoretic foundation instead. While being just as rigorous, the game-theoretic approach allows for vast and useful generalizations of classical measure-theoretic results, while also giving rise to new, radical ideas for prediction, statistics and mathematical finance without stochastic assumptions. The authors set out their theory in great detail, resulting in what is definitely one of the most important books on the foundations of probability to have appeared in the last few decades.” – Peter Grünwald, CWI and University of Leiden “Shafer and Vovk have thoroughly re-written their 2001 book on the game-theoretic foundations for probability and for finance. They have included an account of the tremendous growth that has occurred since, in the game-theoretic and pathwise approaches to stochastic analysis and in their applications to continuous-time finance. This new book will undoubtedly spur a better understanding of the foundations of these very important fields, and we should all be grateful to its authors.” – Ioannis Karatzas, Columbia University
