...-factor asset pricing models in addition to Capital Asset Pricing Model (CAPM) to examine the strength of BAB, sector-level BAB, stock-level BAB and long-only low-beta portfolios. Findings Both sector- and stock-level bets contribute to the return of the low-risk investing strategy, but the stock...

.... Hongbok Lee can be contacted at: H-lee@wiu.edu 07 05 2020 04 08 2020 12 08 2020 © Emerald Publishing Limited 2020 Emerald Publishing Limited Licensed re-use rights only Capital asset pricing model Capital budgeting Chaebol Cost of capital Risk factor Survey data...

.... Performance measurement Islam Portfolio investment Capital Asset Pricing Model Investment funds Autoregressive processes The last two decades have witnessed an increase in popularity of variety of socially responsible investments. The concept of ethical investment is appealing to a special...

...Mona Soufian; David McMillan; Stuart Horsburgh Purpose – The paper examines the conditional capital asset pricing model (CCAPM) of Jagannathan and Wang using the UK data and develops a data-driven measure of beta instability risk that is pertinent to the UK stock market. In contrast to the view...

...) for the pricing currency. β_iG  = beta of asset i's returns against the world market index. Thomas O'Brien can be contacted at: thomas.obrien@uconn.edu © Emerald Group Publishing Limited 2012 United States of America Capital asset pricing model Equity...

... and behavioural. As far as risk‐based explanations are concerned, momentum remains the most puzzling anomaly to explain using rational asset pricing models such as capital asset pricing model (CAPM). In the words of Fama and French (1996) , the main embarrassment of their three factor model is its “failure...

... procedure and the conditional approach. Findings The estimation of return and beta without differentiating positive and negative market excess returns produces a flat unconditional relationship between return and beta. However, when using the conditional capital asset pricing model (CAPM) and cross...

...Abu Taher Mollik; M. Khokan Bepari Purpose The purpose of this paper is to examine the nature and extent of instability of capital asset pricing model (CAPM) beta in a small emerging capital market. Design/methodology/approach Inter‐period as well as intra beta instability are examined. Inter...

.... 289 ‐ 314 . Lewellen , J. , Nagal , S. and Shanken , J. (2006), “ A skeptical appraisal of asset‐pricing tests ”, Working Paper No. 12360, National Bureau of Economic Research , Cambridge, MA . Liu , W. (2006), “ A liquidity augmented capital asset pricing model...

...Don U.A. Galagedera; Don U.A. Galagedera Purpose The main aspect of security analysis is its valuation through a relationship between the security return and the associated risk. The purpose of this paper is to review the traditional capital asset pricing model (CAPM) and its variants adopted...

...Hong‐Jen Lin; David C. VanderLinden Purpose The purpose of this paper is to ascertain whether religions parables are relevant to finance. Design/methodology/approach In the Gospel, one may find parallels to the capital asset pricing model in the context of the parables of the kingdom of God...

... Spain Fund management Capital asset pricing model This article is organized as follows. Section 2 describes the performance measure under the stochastic discount factor framework and presents the different discount factors that we use. Section 3 describes our database of mutual funds...

... that is assumed by the capital asset pricing model. © Emerald Group Publishing Limited 2004 Mutual fund Return Total risk Coefficient of variation Systematic risk Capital asset pricing model Volume 30 Number 10 2004 1 Performance Evaluation of the Bond Mutual Funds Operating in Greece by Dr...

...George P. Artikis The present article aims to test the suitability of a newly developed bond index to measure and analyze the risk undertaken by the bond mutual funds operating in the Greek financial market. In doing so, the capital asset pricing model is applied using as an approximation...

...G.P. Diacogiamnis; E.D. Tsiritakis; G.A. Manolas Outlines previous research on the capital asset pricing model and its extensions; and fluctuations in the Greek economy and capital market between 1980 and 1992. Develops a mathematical, multi‐factor, risk‐return model and applies it to Greek data...