The Arbitrage Pricing Model: A Pedagogic Derivation and a Spreadsheet-Based Illustration by Clarence C. Y. Kwan

“…This paper derives, from a pedagogic perspective, the Arbitrage Pricing Model, which is an important asset pricing model in modern finance. The derivation is based on the idea that, if a self-financed investment has no risk exposures, the payoff from the investment can only be zero. …”
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Effect of Exchange Rate System on the Demand for and the Composition of International Reserves in Developing Countries by Asadollah Farzinvash, Soheila Biria

“…To this end, an Error Correction Model (ECM) approach is employed to estimate the empirical model and then a capital asset pricing model (CAMP) is used to determine the composition of the foreign exchange reserves. …”
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Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms by Fatema Alaali

“…Fama-French-Carhart's (1997) four-factor asset pricing model is augmented with the oil price risk factor to study the association of oil and stock prices of 25 firms over the period from January 1998 to December 2012. …”
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The Arbitrage Pricing Model: A Pedagogic Derivation and a Spreadsheet-Based Illustration by Clarence C. Y. Kwan

“…This paper derives, from a pedagogic perspective, the Arbitrage Pricing Model, which is an important asset pricing model in modern finance. The derivation is based on the idea that, if a self-financed investment has no risk exposures, the payoff from the investment can only be zero. …”
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Alternative costs of equity of coal mining companies taking into account a context of the Russian Invasion into Ukraine by Tereza Matasová, Marek Vochozka, Zuzana Rowland

“…The calculation of Capital Asset Pricing Model (CAMP) model was selected to deal with the issue of alternative costs of equity in the monitored period and multi-layer perceptron networks were selected for the prediction of development. …”
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FINANCIAL LIBERALIZATION AND THE RISK-RETURN RELATIONSHIP: EVIDENCE FROM BRAZIL by Susan Elkinawy, Mark Stater

“…Tests of stock returns in developed and emerging markets indicate that several factors beyond the market portfolio are priced, a finding inconsistent with the predictions of the standard capital asset pricing model. To investigate the implications of financial liberalization for the pricing of risk factors, we conduct asset pricing tests using firm-livdl data in Brazil before and after liberalization. …”
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CAPM verification using overnight and daytime returns by Dae Jin Kang, Soo-Hyun Kim

“…Purpose – The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual stock market returns. …”
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CAPITAL STRUCTURE IMPACT ON MARKET VALUE OF MERGING COMPANIES by V. S. Martynova

“…Here is a method of calculating a weighted average cost of capital based on the capital asset pricing model (CAPM) and restrictions connected with this model use. …”
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Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms by Fatema Alaali

“…Fama-French-Carhart's (1997) four-factor asset pricing model is augmented with the oil price risk factor to study the association of oil and stock prices of 25 firms over the period from January 1998 to December 2012. …”
Get full text

Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms by Fatema Alaali

“…Fama-French-Carhart's (1997) four-factor asset pricing model is augmented with the oil price risk factor to study the association of oil and stock prices of 25 firms over the period from January 1998 to December 2012. …”
Get full text

How to Test the Arbitrage Pricing Theory (APT) by Ghassem Mohsseni Demneh

“…As a response to critiques about the capital asset pricing model (CAPM), Ross (1976) proposed Arbitrage Pricing Theory (APT) as an alternative model with fewer assumptions, and use of multi risk factors affecting assets prices instead of one. …”
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Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms by Fatema Alaali

“…Fama-French-Carhart's (1997) four-factor asset pricing model is augmented with the oil price risk factor to study the association of oil and stock prices of 25 firms over the period from January 1998 to December 2012. …”
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Linkage of Management Decision to Shareholder's Value: EVA Concept by Panigrahi, Shrikant, Yuserrie, Zainuddin, Noor Azlinna, Azizan

“…To achieve the objective, portfolio theory, capital asset pricing model and modern financial theory providing evidence on the linkage between management decisions to shareholder’s value. …”
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Anomalies in Finance Stocks Market: Momentum Effect and Return Reversal by Kok, Sook ching, Qaiser Munir, Hooi, Hooi Lean

“…The market-adjusted returns cannot be explained based on the market risk factor of Capital Asset Pricing Model (CAPM). The findings indicate short-run inefficiency in the weak-form sense.…”
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Accrual Effect on Karachi Stock Exchange by Zaheer Abbas Awan, Muhammad Kashif, Muhammad Waseem Ur Rehman

“…Moreover, it implies the Capital Asset Pricing Model is a valid model to capture the effect of accruals. …”
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On pricing variance swaps in discretely-sampled with high volatility model by Youssef El-Khatib, Mariam Zuwaid AlShamsi, Jun Fan

“…In this paper, we investigate valuation of discretely-sampled variance swaps in a financial asset price model with increase in volatility. More precisely, we consider a stochastic differential equation model with an additional parameter which augments volatility. …”
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PREDICTING FINANCIAL DISTRESS IN MALAYSIA AND ITS EFFECT ON STOCK RETURNS by Ahmad Harith Ashrofie Hanafi, Rohani Md-Rus, Kamarun Nisham Taufil Mohd

“…This study used the logit model to find the probability of bankruptcy and also as a proxy for financial distress risk in the asset pricing model. From this study, financial distress risk was found to be insignificant in pricing stock returns in all tested models. …”
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Durability of Output and Expected Stock Returns by Gomes, Joao, Kogan, Leonid, Yogo, Motohiro

“…We explain these findings in a general equilibrium asset-pricing model with endogenous production.…”
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Valuation of Malaysian timber companies. by Tan, Ee Swee.

“…Valuation methods used such as the discounted cashflow, Capital Asset Pricing Model have limitations that need to be understood. …”
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Fama and French risk factors constructed from Russell/Nomura style indexes: evidence from Japanese monthly and daily data sets by Lau, W.Y.

“…This paper uses risk factors constructed from Russell/Nomura style indexes as proxies in an attempt to make the Fama and French three-factor asset pricing model more appealing. The performance of these benchmark factors is evaluated through a direct and simple generalized method of moments test using both daily and monthly data sets of the 33 Japanese industry indexes. …”
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