Lending structure and 3-factor CAPM risk exposures: the case of Malaysia by Aisyah Abdul Rahman, Mansor H. Ibrahim, Ahamed Kameel Mydin Meera

“…This study addresses the linkages between lending structure and bank risk exposures via the Capital Asset Pricing Model (CAPM). Based on the 3-factor CAPM, five risk measures are examined; namely, the market, interest rate, exchange rate, total and unsystematic risk exposure. …”
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Bank risk exposures in the East Asian Region by Alireza Tamadonnejad, Aisyah Abdul-Rahman, Mariani Abdul-Majid, Mansor Jusoh

“…The Z-risk index and a three-factor Capital Asset Pricing Model (CAPM) are adopted to estimate the probability of insolvency, systematic bank risks and unsystematic bank risks. …”
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Turkish currency crisis – Spillover effects on European banks by Ofer Arbaa, Eva Varon

“…We find a statistically significant two-day cumulative abnormal return of −2.0% for the European banks, excluding banks of Turkey, using the Fama-French five-factor asset pricing model. We identify more severe stock responses in banks that have a recent increase in leverage or a decrease in liquidity or profitability. …”
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Integrasi Pasaran-Pasaran Saham di Rantau APEC: Satu Kajian Empirikal by Hooy Chee Wooi

“…Penemuan utama kajian ini ialah: Pertama, faktor-faktor blok perdagangan didapati signifikan dan mempertingkatkan kuasa penjelasan Model Sebut Harga Aset Modal Antarabangsa (International Capital Asset Pricing Model), ICAPM; Kedua, dengan menggunakan APEC sebagai platform, artikel ini menunjukkan bahawa pasaran-pasaran bagi Negara membangun didapati lebih sensitif dengan pasaran dunia; Ketiga, sebut harga bagi blok-blok perdagangan yang lain didapati tidak mempunyai pengaruh yang kuat. …”
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The Impacts of Sales of Shares Kept Ready for Sales Through Capital Increase in Going Public on Equity Returns by Arif SEZGİN, Sinan AYTEKİN

“…As the event window, 5 days before and after the event day (-/+5) were examined. The Capital Asset Pricing Model (CAPM) was used to calculate the expected returns of the equities. …”

Entropy-based financial asset pricing: Evidence from Pakistan. by Sheng Wang, Sher Ali Khan, Mubbasher Munir, Reda Alhajj, Yousaf Ali Khan

“…It has higher explanatory power than capital asset price model (CAPM) beta. The comparison of Entropy and CAPM beta provide in depth analysis about the explanatory power of the model that in turn help investor to make right investment decisions that minimizes risk. …”
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Does Beta Explain Global Equity Market Volatility – Some Empirical Evidence by Radosław Kurach

“…In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging markets) between July 1996 and June 2011 and adopting the US investor’s perspective. …”
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Discounting rules for risky assets by Myers, Stewart C., Ruback, Richard S.

“…The rule assumes that the asset risk can be measured by a single index (e.g., beta), but makes no other assumptions about specific form of the asset pricing model. The rule works for all equilibrium theories of debt and taxes. …”
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Can gold hedge the risk of fear sentiments? by Chi-Wei Su, Yiru Liu, Tsangyao Chang, Muhammad Umar

“…The result supports the inter-temporal capital asset pricing model, which demonstrates that the increase in fear sentiments can promote the rise in gold prices. …”
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Studing the relationship between unsystematic risk fluctuations and noise trading by Yahya Hassas Yeganeh, Hojjat Sattari

“…For this study, we use the random variance of the capital asset pricing model-disrupted unit as a measure of unsystematic risk fluctuations and for measuring noise trading We used a comparison of  company market value with industry companies the average market value. …”
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Teste do capm condicional dos retornos de carteiras dos mercados brasileiro, argentino e chileno, comparando-os com o mercado norte-americano by Elmo Tambosi Filho, Fabio Gallo Garcia, Joshua Onome Imoniana, Luiz Maurício Franco Moreiras

“…Nas últimas décadas, o modelo Capital Asset Pricing Model (CAPM) tem despertado grande interesse por parte da comunidade científica. …”
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Relevância de Prêmio por Risco País no Custo de Capital das Empresas by Antonio Zoratto Sanvicente

“…A common practice in business valuation and the determination of fair rates of return by regulatory agencies is to use the capital asset pricing model (CAPM) with the ad hoc addition of a country risk premium. …”
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TAU METHOD FOR PRICING AMERICAN OPTIONS UNDER COMPLEX MODELS by Samaneh Bani Asadi, Azim Rivaz

“…This kind of problems arise naturally in pricing (finite-maturity) American options, which is applies to a wide variety of asset price models including the constant elasticity of variance (CEV), hyper-exponential jump-diffusion (HEJD) and the finite moment log stable (FMLS) models. …”
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MEAN-VaR. PORTOFOLIO OPTIMIZATION UNDER CAPM WITH LAGGED, NON CONSTANT VOLATILTY AND THE LONG MEMORY EFFECT by Sukono, Sukono, Subanar, Subanar, Rosadi, Dedi

“…In this paper, we discus the method of portfolio optimiz.ation based on the mean and the Value-at-Risk (VaR) under the Capital Asset Pricing Model (CAPM) framework with lagged, non-constant volatility and the long memory effect. …”
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The Gibbons, Ross, and Shanken Test for Portfolio Efficiency: A Note Based on Its Trigonometric Properties by Pankaj Agrrawal

“…Tests devised to measure portfolio efficiency are crucial to the theoretical issues related to CAPM (Capital Asset Pricing Model) testing and have applications for the fund manager who seeks to rank portfolio performance. …”
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En la frontera de media-desviación estándar by Eneas A. Caldiño

“…Esta medida esta relacionada con modelos de valuación de activos que suponen que los precios de los activos pueden ser representados por un factor estocástico de descuento, como el CAPM (Capital Asset Pricing Model) y el APT (Arbitrage Pricing Theory). …”
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THE ASSESSMENT OF CORPORATE BONDS ON THE BASIS OF THE WEIGHTED AVERAGE by Victor V. Prokhorov

“…This procedure uses in the calculation of cumulative barrier interest rate, sectoral weighted average interest rate and the interest ratedetermined on the basis of the model CAPM (Capital Asset Pricing Model). The results, which enable to speak about the possibility of applying the proposed methodology for assessing the market interest rate of a public corporate bond issuein the Russian conditions. …”
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Analisis Portofolio Optimum Saham Syariah Dengan Model Black Litterman by Arum Virgina Dewi Kusuma Ratri

“…Model ini merupakan model yang mengkombinasikan antara return ekuilibrium yang diperoleh melalui Capital Asset Pricing Model (CAPM) dengan pandangan/views investor tentang return suatu aset. …”
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Stock Returns and Cash Flows: A New Asset Pricing Approach by Sonia Di TOMASO, Denis Marco MONTAGNA, Antonio AMENDOLA

“…This study is focused on a non-conventional profitability measure, at least in terms of assets pricing models, where dividends or profits are widely used. …”
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Lobbying as a hedge on political risk : when size matters by Jaffard, Pierre(Pierre Jacques)

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