Fama & French (CAPM)

Journal of Economic Perspectives—Volume 18, Number 3—Summer 2004 —Pages 25– 46
The Capital Asset Pricing Model:

Theory and Evidence
Eugene F. Fama and Kenneth R. French
T he capital asset pricing model (CAPM) of William Sharpe (1964) and John
Lintner (1965) marks the birth of asset pricing theory (resulting in a
Nobel Prize for Sharpe in 1990). Four decades later, the CAPM is still
widely used in applications, such as estimating the cost of capital for firms and
evaluating the performance of managed portfolios. It is the centerpiece of MBA
investment courses. Indeed, it is often the only asset pricing model taught in these
courses.1
The attraction of the CAPM is that it offers powerful and intuitively pleasing
predictions about how to measure risk and the relation between expected return
and risk. Unfortunately, the empirical record of the model is poor—poor enough
to invalidate the way it is used in applications. The CAPM’s empirical problems may
reflect theoretical failings, the result of many simplifying assumptions. But they may
also be caused by difficulties in implementing valid tests of the model. For example,
the CAPM says that the risk of a stock should be measured relative to a compre-
hensive “market portfolio” that in principle can include not just traded financial
assets, but also consumer durables, real estate and human capital. Even if we take
a narrow view of the model and limit its purview to traded financial assets, is it
1
Although every asset pricing model is a capital asset pricing model, the finance profession reserves the
acronym CAPM for the specific model of Sharpe (1964), Lintner (1965) and Black (1972) discussed
here. Thus, throughout the paper we refer to the Sharpe-Lintner-Black model as the CAPM.
y Eugene F. Fama is Robert R. McCormick Distinguished Service Professor of Finance,

Graduate School of Business, University of Chicago, Chicago, Illinois. Kenneth R. French is
Carl E. and Catherine M. Heidt Professor of Finance, Tuck School of Business, Dartmouth
College, Hanover, New Hampshire. Their e-mail addresses are 具eugene.fama@gsb.uchicago.
edu典 and 具kfrench@dartmouth.edu典, respectively.
26 Journal of Economic Perspectives
legitimate to limit further the market portfolio to U.S. common stocks (a typical
choice), or should the market be expanded to include bonds, and other financial
assets, perhaps around the world? In the end, we argue that whether the model’s
problems reflect weaknesses in the theory or in its empirical implementation, the
failure of the CAPM in empirical tests implies that most applications of the model
are invalid.
We begin by outlining the logic of the CAPM, focusing on its predictions about
risk and expected return. We then review the history of empirical work and what it
says about shortcomings of the CAPM that pose challenges to be explained by
alternative models.
The Logic of the CAPM
The CAPM builds on the model of portfolio choice developed by Harry

Markowitz (1959). In Markowitz’s model, an investor selects a portfolio at time
t ⫺ 1 that produces a stochastic return at t. The model assumes investors are risk
averse and, when choosing among portfolios, they care only about the mean and
variance of their one-period investment return. As a result, investors choose “mean-
variance-efficient” portfolios, in the sense that the portfolios 1) minimize the
variance of portfolio return, given expected return, and 2) maximize expected
return, given variance. Thus, the Markowitz approach is often called a “mean-
variance model.”
The portfolio model provides an algebraic condition on asset weights in mean-
variance-efficient portfolios. The CAPM turns this algebraic statement into a testable
prediction about the relation between risk and expected return by identifying a
portfolio that must be efficient if asset prices are to clear the market of all assets.
Sharpe (1964) and Lintner (1965) add two key assumptions to the Markowitz
model to identify a portfolio that must be mean-variance-efficient. The first assump-
tion is complete agreement: given market clearing asset prices at t ⫺ 1, investors agree
on the joint distribution of asset returns from t ⫺ 1 to t. And this distribution is the
true one—that is, it is the distribution from which the returns we use to test the
model are drawn. The second assumption is that there is borrowing and lending at a
risk-free rate, which is the same for all investors and does not depend on the amount
borrowed or lent.
Figure 1 describes portfolio opportunities and tells the CAPM story. The
horizontal axis shows portfolio risk, measured by the standard deviation of portfolio
return; the vertical axis shows expected return. The curve abc, which is called the
minimum variance frontier, traces combinations of expected return and risk for
portfolios of risky assets that minimize return variance at different levels of ex-
pected return. (These portfolios do not include risk-free borrowing and lending.)
The tradeoff between risk and expected return for minimum variance portfolios is
apparent. For example, an investor who wants a high expected return, perhaps at
point a, must accept high volatility. At point T, the investor can have an interme-
Eugene F. Fama and Kenneth R. French 27
Figure 1
Investment Opportunities
E(R )
Mean-variance- a
efficient frontier
with a riskless asset
Minimum variance
frontier for risky assets
T
b g
Rf
s(R )
diate expected return with lower volatility. If there is no risk-free borrowing or

lending, only portfolios above b along abc are mean-variance-efficient, since these
portfolios also maximize expected return, given their return variances.
Adding risk-free borrowing and lending turns the efficient set into a straight
line. Consider a portfolio that invests the proportion x of portfolio funds in a
risk-free security and 1 ⫺ x in some portfolio g. If all funds are invested in the
risk-free security—that is, they are loaned at the risk-free rate of interest—the result
is the point R f in Figure 1, a portfolio with zero variance and a risk-free rate of
return. Combinations of risk-free lending and positive investment in g plot on the
straight line between R f and g. Points to the right of g on the line represent
borrowing at the risk-free rate, with the proceeds from the borrowing used to
increase investment in portfolio g. In short, portfolios that combine risk-free
lending or borrowing with some risky portfolio g plot along a straight line from R f
through g in Figure 1.2
2
Formally, the return, expected return and standard deviation of return on portfolios of the risk-free
asset f and a risky portfolio g vary with x, the proportion of portfolio funds invested in f, as
R p ⫽ xR f ⫹ 共1 ⫺ x兲R g ,
E共R p 兲 ⫽ xR f ⫹ 共1 ⫺ x兲E共R g 兲,
␴ 共R p 兲 ⫽ 共1 ⫺ x兲 ␴ 共R g 兲, x ⱕ 1.0,
which together imply that the portfolios plot along the line from R f through g in Figure 1.
To obtain the mean-variance-efficient portfolios available with risk-free bor-

rowing and lending, one swings a line from R f in Figure 1 up and to the left as far
as possible, to the tangency portfolio T. We can then see that all efficient portfolios
are combinations of the risk-free asset (either risk-free borrowing or lending) and
a single risky tangency portfolio, T. This key result is Tobin’s (1958) “separation
theorem.”
The punch line of the CAPM is now straightforward. With complete agreement
about distributions of returns, all investors see the same opportunity set (Figure 1),
and they combine the same risky tangency portfolio T with risk-free lending or
borrowing. Since all investors hold the same portfolio T of risky assets, it must be
the value-weight market portfolio of risky assets. Specifically, each risky asset’s
weight in the tangency portfolio, which we now call M (for the “market”), must be
the total market value of all outstanding units of the asset divided by the total
market value of all risky assets. In addition, the risk-free rate must be set (along with
the prices of risky assets) to clear the market for risk-free borrowing and lending.
In short, the CAPM assumptions imply that the market portfolio M must be on
the minimum variance frontier if the asset market is to clear. This means that the
algebraic relation that holds for any minimum variance portfolio must hold for the
market portfolio. Specifically, if there are N risky assets,
共Minimum Variance Condition for M兲 E共Ri 兲 ⫽ E共RZM 兲
⫹ 关E共R M 兲 ⫺ E共R ZM 兲兴 ␤ iM , i ⫽ 1, . . . , N.
In this equation, E(R i ) is the expected return on asset i, and ␤ iM , the market beta
of asset i, is the covariance of its return with the market return divided by the
variance of the market return,
cov共Ri , RM 兲
共Market Beta兲 ␤iM ⫽ .
␴2 共RM 兲
The first term on the right-hand side of the minimum variance condition,
E(R ZM ), is the expected return on assets that have market betas equal to zero,
which means their returns are uncorrelated with the market return. The second
term is a risk premium—the market beta of asset i, ␤ iM , times the premium per
unit of beta, which is the expected market return, E(R M ), minus E(R ZM ).
Since the market beta of asset i is also the slope in the regression of its return
on the market return, a common (and correct) interpretation of beta is that it
measures the sensitivity of the asset’s return to variation in the market return. But
there is another interpretation of beta more in line with the spirit of the portfolio
model that underlies the CAPM. The risk of the market portfolio, as measured by
the variance of its return (the denominator of ␤ iM ), is a weighted average of the
covariance risks of the assets in M (the numerators of ␤ iM for different assets).
The Capital Asset Pricing Model: Theory and Evidence 29
Thus, ␤ iM is the covariance risk of asset i in M measured relative to the average

covariance risk of assets, which is just the variance of the market return.3 In
economic terms, ␤ iM is proportional to the risk each dollar invested in asset i
contributes to the market portfolio.
The last step in the development of the Sharpe-Lintner model is to use the
assumption of risk-free borrowing and lending to nail down E(R ZM ), the expected
return on zero-beta assets. A risky asset’s return is uncorrelated with the market
return—its beta is zero—when the average of the asset’s covariances with the
returns on other assets just offsets the variance of the asset’s return. Such a risky
asset is riskless in the market portfolio in the sense that it contributes nothing to the
variance of the market return.
When there is risk-free borrowing and lending, the expected return on assets
that are uncorrelated with the market return, E(R ZM ), must equal the risk-free rate,
R f . The relation between expected return and beta then becomes the familiar
Sharpe-Lintner CAPM equation,
共Sharpe-Lintner CAPM兲 E共Ri 兲 ⫽ Rf ⫹ 关E共RM 兲 ⫺ Rf 兲]␤iM , i ⫽ 1, . . . , N.
In words, the expected return on any asset i is the risk-free interest rate, R f , plus a
risk premium, which is the asset’s market beta, ␤ iM , times the premium per unit of
beta risk, E(R M ) ⫺ R f .
Unrestricted risk-free borrowing and lending is an unrealistic assumption.
Fischer Black (1972) develops a version of the CAPM without risk-free borrowing or
lending. He shows that the CAPM’s key result—that the market portfolio is mean-
variance-efficient— can be obtained by instead allowing unrestricted short sales of
risky assets. In brief, back in Figure 1, if there is no risk-free asset, investors select
portfolios from along the mean-variance-efficient frontier from a to b. Market
clearing prices imply that when one weights the efficient portfolios chosen by
investors by their (positive) shares of aggregate invested wealth, the resulting
portfolio is the market portfolio. The market portfolio is thus a portfolio of the
efficient portfolios chosen by investors. With unrestricted short selling of risky
assets, portfolios made up of efficient portfolios are themselves efficient. Thus, the
market portfolio is efficient, which means that the minimum variance condition for
M given above holds, and it is the expected return-risk relation of the Black CAPM.
The relations between expected return and market beta of the Black and
Sharpe-Lintner versions of the CAPM differ only in terms of what each says about
E(R ZM ), the expected return on assets uncorrelated with the market. The Black
version says only that E(R ZM ) must be less than the expected market return, so the
3
Formally, if x iM is the weight of asset i in the market portfolio, then the variance of the portfolio’s
return is
␴ 2共R M 兲 ⫽ Cov共R M , R M 兲 ⫽ Cov 冉冘

N
i⫽1
冊
x iM R i , R M ⫽ 冘
N
i⫽1
x iM Cov共R i , R M 兲.
premium for beta is positive. In contrast, in the Sharpe-Lintner version of the

model, E(R ZM ) must be the risk-free interest rate, R f , and the premium per unit of
beta risk is E(R M ) ⫺ R f .
The assumption that short selling is unrestricted is as unrealistic as unre-
stricted risk-free borrowing and lending. If there is no risk-free asset and short sales
of risky assets are not allowed, mean-variance investors still choose efficient
portfolios—points above b on the abc curve in Figure 1. But when there is no short
selling of risky assets and no risk-free asset, the algebra of portfolio efficiency says
that portfolios made up of efficient portfolios are not typically efficient. This means
that the market portfolio, which is a portfolio of the efficient portfolios chosen by
investors, is not typically efficient. And the CAPM relation between expected return
and market beta is lost. This does not rule out predictions about expected return
and betas with respect to other efficient portfolios—if theory can specify portfolios
that must be efficient if the market is to clear. But so far this has proven impossible.
In short, the familiar CAPM equation relating expected asset returns to their
market betas is just an application to the market portfolio of the relation between
expected return and portfolio beta that holds in any mean-variance-efficient port-
folio. The efficiency of the market portfolio is based on many unrealistic assump-
tions, including complete agreement and either unrestricted risk-free borrowing
and lending or unrestricted short selling of risky assets. But all interesting models
involve unrealistic simplifications, which is why they must be tested against data.
Early Empirical Tests
Tests of the CAPM are based on three implications of the relation between
expected return and market beta implied by the model. First, expected returns on
all assets are linearly related to their betas, and no other variable has marginal
explanatory power. Second, the beta premium is positive, meaning that the ex-
pected return on the market portfolio exceeds the expected return on assets whose
returns are uncorrelated with the market return. Third, in the Sharpe-Lintner
version of the model, assets uncorrelated with the market have expected returns
equal to the risk-free interest rate, and the beta premium is the expected market
return minus the risk-free rate. Most tests of these predictions use either cross-
section or time-series regressions. Both approaches date to early tests of the model.
Tests on Risk Premiums

The early cross-section regression tests focus on the Sharpe-Lintner model’s
predictions about the intercept and slope in the relation between expected return
and market beta. The approach is to regress a cross-section of average asset returns
on estimates of asset betas. The model predicts that the intercept in these regres-
sions is the risk-free interest rate, R f , and the coefficient on beta is the expected
return on the market in excess of the risk-free rate, E(R M ) ⫺ R f .
Two problems in these tests quickly became apparent. First, estimates of beta
for individual assets are imprecise, creating a measurement error problem when
they are used to explain average returns. Second, the regression residuals have
common sources of variation, such as industry effects in average returns. Positive
correlation in the residuals produces downward bias in the usual ordinary least
squares estimates of the standard errors of the cross-section regression slopes.
To improve the precision of estimated betas, researchers such as Blume
(1970), Friend and Blume (1970) and Black, Jensen and Scholes (1972) work with
portfolios, rather than individual securities. Since expected returns and market
betas combine in the same way in portfolios, if the CAPM explains security returns
it also explains portfolio returns.4 Estimates of beta for diversified portfolios are
more precise than estimates for individual securities. Thus, using portfolios in
cross-section regressions of average returns on betas reduces the critical errors in
variables problem. Grouping, however, shrinks the range of betas and reduces
statistical power. To mitigate this problem, researchers sort securities on beta when
forming portfolios; the first portfolio contains securities with the lowest betas, and
so on, up to the last portfolio with the highest beta assets. This sorting procedure
is now standard in empirical tests.
Fama and MacBeth (1973) propose a method for addressing the inference
problem caused by correlation of the residuals in cross-section regressions. Instead
of estimating a single cross-section regression of average monthly returns on betas,
they estimate month-by-month cross-section regressions of monthly returns on
betas. The times-series means of the monthly slopes and intercepts, along with the
standard errors of the means, are then used to test whether the average premium
for beta is positive and whether the average return on assets uncorrelated with the
market is equal to the average risk-free interest rate. In this approach, the standard
errors of the average intercept and slope are determined by the month-to-month
variation in the regression coefficients, which fully captures the effects of residual
correlation on variation in the regression coefficients, but sidesteps the problem of
actually estimating the correlations. The residual correlations are, in effect, cap-
tured via repeated sampling of the regression coefficients. This approach also
becomes standard in the literature.
Jensen (1968) was the first to note that the Sharpe-Lintner version of the
4
Formally, if x ip , i ⫽ 1, . . . , N, are the weights for assets in some portfolio p, the expected return and
market beta for the portfolio are related to the expected returns and betas of assets as
冘冘
N N
E共R p 兲 ⫽ x ip E共R i 兲, and ␤pM ⫽ xip ␤pM .

i⫽1 i⫽1
Thus, the CAPM relation between expected return and beta,
E共R i 兲 ⫽ E共R f 兲 ⫹ 关E共R M 兲 ⫺ E共R f 兲兴 ␤ iM ,
holds when asset i is a portfolio, as well as when i is an individual security.

relation between expected return and market beta also implies a time-series re-
gression test. The Sharpe-Lintner CAPM says that the expected value of an asset’s
excess return (the asset’s return minus the risk-free interest rate, R it ⫺ R ft ) is
completely explained by its expected CAPM risk premium (its beta times the
expected value of R Mt ⫺ R ft ). This implies that “Jensen’s alpha,” the intercept term
in the time-series regression,
共Time-Series Regression兲 Rit ⫺ Rft ⫽ ␣i ⫹ ␤iM 共RMt ⫺ Rft 兲 ⫹ ␧it ,
is zero for each asset.

The early tests firmly reject the Sharpe-Lintner version of the CAPM. There is
a positive relation between beta and average return, but it is too “flat.” Recall that,
in cross-section regressions, the Sharpe-Lintner model predicts that the intercept is
the risk-free rate and the coefficient on beta is the expected market return in excess
of the risk-free rate, E(R M ) ⫺ R f . The regressions consistently find that the
intercept is greater than the average risk-free rate (typically proxied as the return
on a one-month Treasury bill), and the coefficient on beta is less than the average
excess market return (proxied as the average return on a portfolio of U.S. common
stocks minus the Treasury bill rate). This is true in the early tests, such as Douglas
(1968), Black, Jensen and Scholes (1972), Miller and Scholes (1972), Blume and
Friend (1973) and Fama and MacBeth (1973), as well as in more recent cross-
section regression tests, like Fama and French (1992).
The evidence that the relation between beta and average return is too flat is
confirmed in time-series tests, such as Friend and Blume (1970), Black, Jensen and
Scholes (1972) and Stambaugh (1982). The intercepts in time-series regressions of
excess asset returns on the excess market return are positive for assets with low betas
and negative for assets with high betas.
Figure 2 provides an updated example of the evidence. In December of each
year, we estimate a preranking beta for every NYSE (1928 –2003), AMEX (1963–
2003) and NASDAQ (1972–2003) stock in the CRSP (Center for Research in
Security Prices of the University of Chicago) database, using two to five years (as
available) of prior monthly returns.5 We then form ten value-weight portfolios
based on these preranking betas and compute their returns for the next twelve
months. We repeat this process for each year from 1928 to 2003. The result is
912 monthly returns on ten beta-sorted portfolios. Figure 2 plots each portfolio’s
average return against its postranking beta, estimated by regressing its monthly
returns for 1928 –2003 on the return on the CRSP value-weight portfolio of U.S.
common stocks.
The Sharpe-Lintner CAPM predicts that the portfolios plot along a straight
5
To be included in the sample for year t, a security must have market equity data (price times shares
outstanding) for December of t ⫺ 1, and CRSP must classify it as ordinary common equity. Thus, we
exclude securities such as American Depository Receipts (ADRs) and Real Estate Investment Trusts
(REITs).
Figure 2
Average Annualized Monthly Return versus Beta for Value Weight Portfolios
Formed on Prior Beta, 1928 –2003
18
Average annualized monthly return (%)
16
14
12
10
Average returns
8 predicted by the
CAPM
6
0.5 0.7 0.9 1.1 1.3 1.5 1.7 1.9
line, with an intercept equal to the risk-free rate, R f , and a slope equal to the
expected excess return on the market, E(R M ) ⫺ R f . We use the average one-month
Treasury bill rate and the average excess CRSP market return for 1928 –2003 to
estimate the predicted line in Figure 2. Confirming earlier evidence, the relation
between beta and average return for the ten portfolios is much flatter than the
Sharpe-Lintner CAPM predicts. The returns on the low beta portfolios are too high,
and the returns on the high beta portfolios are too low. For example, the predicted
return on the portfolio with the lowest beta is 8.3 percent per year; the actual return
is 11.1 percent. The predicted return on the portfolio with the highest beta is
16.8 percent per year; the actual is 13.7 percent.
Although the observed premium per unit of beta is lower than the Sharpe-
Lintner model predicts, the relation between average return and beta in Figure 2
is roughly linear. This is consistent with the Black version of the CAPM, which
predicts only that the beta premium is positive. Even this less restrictive model,
however, eventually succumbs to the data.
Testing Whether Market Betas Explain Expected Returns

The Sharpe-Lintner and Black versions of the CAPM share the prediction that
the market portfolio is mean-variance-efficient. This implies that differences in
expected return across securities and portfolios are entirely explained by differ-
ences in market beta; other variables should add nothing to the explanation of
expected return. This prediction plays a prominent role in tests of the CAPM. In
the early work, the weapon of choice is cross-section regressions.
In the framework of Fama and MacBeth (1973), one simply adds predeter-
mined explanatory variables to the month-by-month cross-section regressions of
returns on beta. If all differences in expected return are explained by beta, the
average slopes on the additional variables should not be reliably different from
zero. Clearly, the trick in the cross-section regression approach is to choose specific
additional variables likely to expose any problems of the CAPM prediction that,
because the market portfolio is efficient, market betas suffice to explain expected
asset returns.
For example, in Fama and MacBeth (1973) the additional variables are
squared market betas (to test the prediction that the relation between expected
return and beta is linear) and residual variances from regressions of returns on the
market return (to test the prediction that market beta is the only measure of risk
needed to explain expected returns). These variables do not add to the explanation
of average returns provided by beta. Thus, the results of Fama and MacBeth (1973)
are consistent with the hypothesis that their market proxy—an equal-weight port-
folio of NYSE stocks—is on the minimum variance frontier.
The hypothesis that market betas completely explain expected returns can also
be tested using time-series regressions. In the time-series regression described
above (the excess return on asset i regressed on the excess market return), the
intercept is the difference between the asset’s average excess return and the excess
return predicted by the Sharpe-Lintner model, that is, beta times the average excess
market return. If the model holds, there is no way to group assets into portfolios
whose intercepts are reliably different from zero. For example, the intercepts for a
portfolio of stocks with high ratios of earnings to price and a portfolio of stocks with
low earning-price ratios should both be zero. Thus, to test the hypothesis that
market betas suffice to explain expected returns, one estimates the time-series
regression for a set of assets (or portfolios) and then jointly tests the vector of
regression intercepts against zero. The trick in this approach is to choose the
left-hand-side assets (or portfolios) in a way likely to expose any shortcoming of the
CAPM prediction that market betas suffice to explain expected asset returns.
In early applications, researchers use a variety of tests to determine whether
the intercepts in a set of time-series regressions are all zero. The tests have the same
asymptotic properties, but there is controversy about which has the best small
sample properties. Gibbons, Ross and Shanken (1989) settle the debate by provid-
ing an F-test on the intercepts that has exact small-sample properties. They also
show that the test has a simple economic interpretation. In effect, the test con-
structs a candidate for the tangency portfolio T in Figure 1 by optimally combining
the market proxy and the left-hand-side assets of the time-series regressions. The
estimator then tests whether the efficient set provided by the combination of this
tangency portfolio and the risk-free asset is reliably superior to the one obtained by
combining the risk-free asset with the market proxy alone. In other words, the
Gibbons, Ross and Shanken statistic tests whether the market proxy is the tangency
portfolio in the set of portfolios that can be constructed by combining the market
portfolio with the specific assets used as dependent variables in the time-series
regressions.
Enlightened by this insight of Gibbons, Ross and Shanken (1989), one can see
a similar interpretation of the cross-section regression test of whether market betas

suffice to explain expected returns. In this case, the test is whether the additional
explanatory variables in a cross-section regression identify patterns in the returns
on the left-hand-side assets that are not explained by the assets’ market betas. This
amounts to testing whether the market proxy is on the minimum variance frontier
that can be constructed using the market proxy and the left-hand-side assets
included in the tests.
An important lesson from this discussion is that time-series and cross-section
regressions do not, strictly speaking, test the CAPM. What is literally tested is
whether a specific proxy for the market portfolio (typically a portfolio of U.S.
common stocks) is efficient in the set of portfolios that can be constructed from it
and the left-hand-side assets used in the test. One might conclude from this that the
CAPM has never been tested, and prospects for testing it are not good because
1) the set of left-hand-side assets does not include all marketable assets, and 2) data
for the true market portfolio of all assets are likely beyond reach (Roll, 1977; more
on this later). But this criticism can be leveled at tests of any economic model when
the tests are less than exhaustive or when they use proxies for the variables called
for by the model.
The bottom line from the early cross-section regression tests of the CAPM,
such as Fama and MacBeth (1973), and the early time-series regression tests, like
Gibbons (1982) and Stambaugh (1982), is that standard market proxies seem to be
on the minimum variance frontier. That is, the central predictions of the Black
version of the CAPM, that market betas suffice to explain expected returns and that
the risk premium for beta is positive, seem to hold. But the more specific prediction
of the Sharpe-Lintner CAPM that the premium per unit of beta is the expected
market return minus the risk-free interest rate is consistently rejected.
The success of the Black version of the CAPM in early tests produced a
consensus that the model is a good description of expected returns. These early
results, coupled with the model’s simplicity and intuitive appeal, pushed the CAPM
to the forefront of finance.
Recent Tests
Starting in the late 1970s, empirical work appears that challenges even the
Black version of the CAPM. Specifically, evidence mounts that much of the varia-
tion in expected return is unrelated to market beta.
The first blow is Basu’s (1977) evidence that when common stocks are sorted
on earnings-price ratios, future returns on high E/P stocks are higher than pre-
dicted by the CAPM. Banz (1981) documents a size effect: when stocks are sorted
on market capitalization (price times shares outstanding), average returns on small
stocks are higher than predicted by the CAPM. Bhandari (1988) finds that high
debt-equity ratios (book value of debt over the market value of equity, a measure of
leverage) are associated with returns that are too high relative to their market betas.
Finally, Statman (1980) and Rosenberg, Reid and Lanstein (1985) document that
stocks with high book-to-market equity ratios (B/M, the ratio of the book value of
a common stock to its market value) have high average returns that are not
captured by their betas.
There is a theme in the contradictions of the CAPM summarized above. Ratios
involving stock prices have information about expected returns missed by market
betas. On reflection, this is not surprising. A stock’s price depends not only on the
expected cash flows it will provide, but also on the expected returns that discount
expected cash flows back to the present. Thus, in principle, the cross-section of
prices has information about the cross-section of expected returns. (A high ex-
pected return implies a high discount rate and a low price.) The cross-section of
stock prices is, however, arbitrarily affected by differences in scale (or units). But
with a judicious choice of scaling variable X, the ratio X/P can reveal differences
in the cross-section of expected stock returns. Such ratios are thus prime candidates
to expose shortcomings of asset pricing models—in the case of the CAPM, short-
comings of the prediction that market betas suffice to explain expected returns
(Ball, 1978). The contradictions of the CAPM summarized above suggest that
earnings-price, debt-equity and book-to-market ratios indeed play this role.
Fama and French (1992) update and synthesize the evidence on the empirical
failures of the CAPM. Using the cross-section regression approach, they confirm
that size, earnings-price, debt-equity and book-to-market ratios add to the explana-
tion of expected stock returns provided by market beta. Fama and French (1996)
reach the same conclusion using the time-series regression approach applied to
portfolios of stocks sorted on price ratios. They also find that different price ratios
have much the same information about expected returns. This is not surprising
given that price is the common driving force in the price ratios, and the numerators
are just scaling variables used to extract the information in price about expected
returns.
Fama and French (1992) also confirm the evidence (Reinganum, 1981; Stam-
baugh, 1982; Lakonishok and Shapiro, 1986) that the relation between average
return and beta for common stocks is even flatter after the sample periods used in
the early empirical work on the CAPM. The estimate of the beta premium is,
however, clouded by statistical uncertainty (a large standard error). Kothari, Shan-
ken and Sloan (1995) try to resuscitate the Sharpe-Lintner CAPM by arguing that
the weak relation between average return and beta is just a chance result. But the
strong evidence that other variables capture variation in expected return missed by
beta makes this argument irrelevant. If betas do not suffice to explain expected
returns, the market portfolio is not efficient, and the CAPM is dead in its tracks.
Evidence on the size of the market premium can neither save the model nor further
doom it.
The synthesis of the evidence on the empirical problems of the CAPM pro-
vided by Fama and French (1992) serves as a catalyst, marking the point when it is
generally acknowledged that the CAPM has potentially fatal problems. Research
then turns to explanations.
One possibility is that the CAPM’s problems are spurious, the result of data
dredging—publication-hungry researchers scouring the data and unearthing con-
tradictions that occur in specific samples as a result of chance. A standard response
to this concern is to test for similar findings in other samples. Chan, Hamao and
Lakonishok (1991) find a strong relation between book-to-market equity (B/M)
and average return for Japanese stocks. Capaul, Rowley and Sharpe (1993) observe
a similar B/M effect in four European stock markets and in Japan. Fama and
French (1998) find that the price ratios that produce problems for the CAPM in
U.S. data show up in the same way in the stock returns of twelve non-U.S. major
markets, and they are present in emerging market returns. This evidence suggests
that the contradictions of the CAPM associated with price ratios are not sample
specific.
Explanations: Irrational Pricing or Risk
Among those who conclude that the empirical failures of the CAPM are fatal,
two stories emerge. On one side are the behavioralists. Their view is based on
evidence that stocks with high ratios of book value to market price are typically
firms that have fallen on bad times, while low B/M is associated with growth firms
(Lakonishok, Shleifer and Vishny, 1994; Fama and French, 1995). The behavior-
alists argue that sorting firms on book-to-market ratios exposes investor overreac-
tion to good and bad times. Investors overextrapolate past performance, resulting
in stock prices that are too high for growth (low B/M) firms and too low for
distressed (high B/M, so-called value) firms. When the overreaction is eventually
corrected, the result is high returns for value stocks and low returns for growth
stocks. Proponents of this view include DeBondt and Thaler (1987), Lakonishok,
Shleifer and Vishny (1994) and Haugen (1995).
The second story for explaining the empirical contradictions of the CAPM is
that they point to the need for a more complicated asset pricing model. The CAPM
is based on many unrealistic assumptions. For example, the assumption that
investors care only about the mean and variance of one-period portfolio returns is
extreme. It is reasonable that investors also care about how their portfolio return
covaries with labor income and future investment opportunities, so a portfolio’s
return variance misses important dimensions of risk. If so, market beta is not a
complete description of an asset’s risk, and we should not be surprised to find that
differences in expected return are not completely explained by differences in beta.
In this view, the search should turn to asset pricing models that do a better job
explaining average returns.
Merton’s (1973) intertemporal capital asset pricing model (ICAPM) is a
natural extension of the CAPM. The ICAPM begins with a different assumption
about investor objectives. In the CAPM, investors care only about the wealth their
portfolio produces at the end of the current period. In the ICAPM, investors are
concerned not only with their end-of-period payoff, but also with the opportunities
they will have to consume or invest the payoff. Thus, when choosing a portfolio at
time t ⫺ 1, ICAPM investors consider how their wealth at t might vary with future
state variables, including labor income, the prices of consumption goods and the
nature of portfolio opportunities at t, and expectations about the labor income,
consumption and investment opportunities to be available after t.
Like CAPM investors, ICAPM investors prefer high expected return and low
return variance. But ICAPM investors are also concerned with the covariances of
portfolio returns with state variables. As a result, optimal portfolios are “multifactor
efficient,” which means they have the largest possible expected returns, given their
return variances and the covariances of their returns with the relevant state
variables.
Fama (1996) shows that the ICAPM generalizes the logic of the CAPM. That is,
if there is risk-free borrowing and lending or if short sales of risky assets are allowed,
market clearing prices imply that the market portfolio is multifactor efficient.
Moreover, multifactor efficiency implies a relation between expected return and
beta risks, but it requires additional betas, along with a market beta, to explain
expected returns.
An ideal implementation of the ICAPM would specify the state variables that
affect expected returns. Fama and French (1993) take a more indirect approach,
perhaps more in the spirit of Ross’s (1976) arbitrage pricing theory. They argue
that though size and book-to-market equity are not themselves state variables, the
higher average returns on small stocks and high book-to-market stocks reflect
unidentified state variables that produce undiversifiable risks (covariances) in
returns that are not captured by the market return and are priced separately from
market betas. In support of this claim, they show that the returns on the stocks of
small firms covary more with one another than with returns on the stocks of large
firms, and returns on high book-to-market (value) stocks covary more with one
another than with returns on low book-to-market (growth) stocks. Fama and
French (1995) show that there are similar size and book-to-market patterns in the
covariation of fundamentals like earnings and sales.
Based on this evidence, Fama and French (1993, 1996) propose a three-factor
model for expected returns,
共Three-Factor Model兲 E共Rit 兲 ⫺ Rft ⫽ ␤iM 关E共RMt 兲 ⫺ Rft 兴
⫹ ␤ is E共SMB t 兲 ⫹ ␤ ih E共HML t 兲.
In this equation, SMB t (small minus big) is the difference between the returns on
diversified portfolios of small and big stocks, HML t (high minus low) is the
difference between the returns on diversified portfolios of high and low B/M
stocks, and the betas are slopes in the multiple regression of R it ⫺ R ft on R Mt ⫺ R ft ,
SMB t and HML t .
For perspective, the average value of the market premium R Mt ⫺ R ft for
1927–2003 is 8.3 percent per year, which is 3.5 standard errors from zero. The
average values of SMB t , and HML t are 3.6 percent and 5.0 percent per year, and
they are 2.1 and 3.1 standard errors from zero. All three premiums are volatile, with
annual standard deviations of 21.0 percent (R Mt ⫺ R ft ), 14.6 percent (SMB t ) and
14.2 percent (HML t ) per year. Although the average values of the premiums are
large, high volatility implies substantial uncertainty about the true expected
premiums.
One implication of the expected return equation of the three-factor model is
that the intercept ␣i in the time-series regression,
R it ⫺ R ft ⫽ ␣ i ⫹ ␤ iM 共R Mt ⫺ R ft 兲 ⫹ ␤ is SMB t ⫹ ␤ ih HML t ⫹ ␧ it ,
is zero for all assets i. Using this criterion, Fama and French (1993, 1996) find that
the model captures much of the variation in average return for portfolios formed
on size, book-to-market equity and other price ratios that cause problems for the
CAPM. Fama and French (1998) show that an international version of the model
performs better than an international CAPM in describing average returns on
portfolios formed on scaled price variables for stocks in 13 major markets.
The three-factor model is now widely used in empirical research that requires
a model of expected returns. Estimates of ␣i from the time-series regression above
are used to calibrate how rapidly stock prices respond to new information (for
example, Loughran and Ritter, 1995; Mitchell and Stafford, 2000). They are also
used to measure the special information of portfolio managers, for example, in
Carhart’s (1997) study of mutual fund performance. Among practitioners like
Ibbotson Associates, the model is offered as an alternative to the CAPM for
estimating the cost of equity capital.
From a theoretical perspective, the main shortcoming of the three-factor
model is its empirical motivation. The small-minus-big (SMB) and high-minus-low
(HML) explanatory returns are not motivated by predictions about state variables
of concern to investors. Instead they are brute force constructs meant to capture
the patterns uncovered by previous work on how average stock returns vary with size
and the book-to-market equity ratio.
But this concern is not fatal. The ICAPM does not require that the additional
portfolios used along with the market portfolio to explain expected returns
“mimic” the relevant state variables. In both the ICAPM and the arbitrage pricing
theory, it suffices that the additional portfolios are well diversified (in the termi-
nology of Fama, 1996, they are multifactor minimum variance) and that they are
sufficiently different from the market portfolio to capture covariation in returns
and variation in expected returns missed by the market portfolio. Thus, adding
diversified portfolios that capture covariation in returns and variation in average
returns left unexplained by the market is in the spirit of both the ICAPM and the
Ross’s arbitrage pricing theory.
The behavioralists are not impressed by the evidence for a risk-based expla-
nation of the failures of the CAPM. They typically concede that the three-factor
model captures covariation in returns missed by the market return and that it picks
up much of the size and value effects in average returns left unexplained by the
CAPM. But their view is that the average return premium associated with the
model’s book-to-market factor—which does the heavy lifting in the improvements
to the CAPM—is itself the result of investor overreaction that happens to be
correlated across firms in a way that just looks like a risk story. In short, in the
behavioral view, the market tries to set CAPM prices, and violations of the CAPM
are due to mispricing.
The conflict between the behavioral irrational pricing story and the rational
risk story for the empirical failures of the CAPM leaves us at a timeworn impasse.
Fama (1970) emphasizes that the hypothesis that prices properly reflect available
information must be tested in the context of a model of expected returns, like the
CAPM. Intuitively, to test whether prices are rational, one must take a stand on what
the market is trying to do in setting prices—that is, what is risk and what is the
relation between expected return and risk? When tests reject the CAPM, one
cannot say whether the problem is its assumption that prices are rational (the
behavioral view) or violations of other assumptions that are also necessary to
produce the CAPM (our position).
Fortunately, for some applications, the way one uses the three-factor model
does not depend on one’s view about whether its average return premiums are the
rational result of underlying state variable risks, the result of irrational investor
behavior or sample specific results of chance. For example, when measuring the
response of stock prices to new information or when evaluating the performance of
managed portfolios, one wants to account for known patterns in returns and
average returns for the period examined, whatever their source. Similarly, when
estimating the cost of equity capital, one might be unconcerned with whether
expected return premiums are rational or irrational since they are in either case
part of the opportunity cost of equity capital (Stein, 1996). But the cost of capital
is forward looking, so if the premiums are sample specific they are irrelevant.
The three-factor model is hardly a panacea. Its most serious problem is the
momentum effect of Jegadeesh and Titman (1993). Stocks that do well relative to
the market over the last three to twelve months tend to continue to do well for the
next few months, and stocks that do poorly continue to do poorly. This momentum
effect is distinct from the value effect captured by book-to-market equity and other
price ratios. Moreover, the momentum effect is left unexplained by the three-factor
model, as well as by the CAPM. Following Carhart (1997), one response is to add
a momentum factor (the difference between the returns on diversified portfolios of
short-term winners and losers) to the three-factor model. This step is again legiti-
mate in applications where the goal is to abstract from known patterns in average
returns to uncover information-specific or manager-specific effects. But since the
momentum effect is short-lived, it is largely irrelevant for estimates of the cost of
equity capital.
Another strand of research points to problems in both the three-factor model
and the CAPM. Frankel and Lee (1998), Dechow, Hutton and Sloan (1999),
Piotroski (2000) and others show that in portfolios formed on price ratios like
book-to-market equity, stocks with higher expected cash flows have higher average
returns that are not captured by the three-factor model or the CAPM. The authors
interpret their results as evidence that stock prices are irrational, in the sense that
they do not reflect available information about expected profitability.
In truth, however, one can’t tell whether the problem is bad pricing or a bad
asset pricing model. A stock’s price can always be expressed as the present value of
expected future cash flows discounted at the expected return on the stock (Camp-
bell and Shiller, 1989; Vuolteenaho, 2002). It follows that if two stocks have the
same price, the one with higher expected cash flows must have a higher expected
return. This holds true whether pricing is rational or irrational. Thus, when one
observes a positive relation between expected cash flows and expected returns that
is left unexplained by the CAPM or the three-factor model, one can’t tell whether
it is the result of irrational pricing or a misspecified asset pricing model.
The Market Proxy Problem
Roll (1977) argues that the CAPM has never been tested and probably never
will be. The problem is that the market portfolio at the heart of the model is
theoretically and empirically elusive. It is not theoretically clear which assets (for
example, human capital) can legitimately be excluded from the market portfolio,
and data availability substantially limits the assets that are included. As a result, tests
of the CAPM are forced to use proxies for the market portfolio, in effect testing
whether the proxies are on the minimum variance frontier. Roll argues that
because the tests use proxies, not the true market portfolio, we learn nothing about
the CAPM.
We are more pragmatic. The relation between expected return and market
beta of the CAPM is just the minimum variance condition that holds in any efficient
portfolio, applied to the market portfolio. Thus, if we can find a market proxy that
is on the minimum variance frontier, it can be used to describe differences in
expected returns, and we would be happy to use it for this purpose. The strong
rejections of the CAPM described above, however, say that researchers have not
uncovered a reasonable market proxy that is close to the minimum variance
frontier. If researchers are constrained to reasonable proxies, we doubt they
ever will.
Our pessimism is fueled by several empirical results. Stambaugh (1982) tests
the CAPM using a range of market portfolios that include, in addition to U.S.
common stocks, corporate and government bonds, preferred stocks, real estate and
other consumer durables. He finds that tests of the CAPM are not sensitive to
expanding the market proxy beyond common stocks, basically because the volatility
of expanded market returns is dominated by the volatility of stock returns.
One need not be convinced by Stambaugh’s (1982) results since his market
proxies are limited to U.S. assets. If international capital markets are open and asset
prices conform to an international version of the CAPM, the market portfolio
should include international assets. Fama and French (1998) find, however, that
betas for a global stock market portfolio cannot explain the high average returns
observed around the world on stocks with high book-to-market or high earnings-
price ratios.
A major problem for the CAPM is that portfolios formed by sorting stocks on
price ratios produce a wide range of average returns, but the average returns are
not positively related to market betas (Lakonishok, Shleifer and Vishny, 1994; Fama
and French, 1996, 1998). The problem is illustrated in Figure 3, which shows
average returns and betas (calculated with respect to the CRSP value-weight port-
folio of NYSE, AMEX and NASDAQ stocks) for July 1963 to December 2003 for ten
portfolios of U.S. stocks formed annually on sorted values of the book-to-market
equity ratio (B/M).6
Average returns on the B/M portfolios increase almost monotonically, from
10.1 percent per year for the lowest B/M group (portfolio 1) to an impressive
16.7 percent for the highest (portfolio 10). But the positive relation between beta
and average return predicted by the CAPM is notably absent. For example, the
portfolio with the lowest book-to-market ratio has the highest beta but the lowest
average return. The estimated beta for the portfolio with the highest book-to-
market ratio and the highest average return is only 0.98. With an average annual-
ized value of the riskfree interest rate, R f , of 5.8 percent and an average annualized
market premium, R M ⫺ R f , of 11.3 percent, the Sharpe-Lintner CAPM predicts an
average return of 11.8 percent for the lowest B/M portfolio and 11.2 percent for
the highest, far from the observed values, 10.1 and 16.7 percent. For the Sharpe-
Lintner model to “work” on these portfolios, their market betas must change
dramatically, from 1.09 to 0.78 for the lowest B/M portfolio and from 0.98 to 1.98
for the highest. We judge it unlikely that alternative proxies for the market
portfolio will produce betas and a market premium that can explain the average
returns on these portfolios.
It is always possible that researchers will redeem the CAPM by finding a
reasonable proxy for the market portfolio that is on the minimum variance frontier.
We emphasize, however, that this possibility cannot be used to justify the way the
CAPM is currently applied. The problem is that applications typically use the same
6
Stock return data are from CRSP, and book equity data are from Compustat and the Moody’s
Industrials, Transportation, Utilities and Financials manuals. Stocks are allocated to ten portfolios at the
end of June of each year t (1963 to 2003) using the ratio of book equity for the fiscal year ending in
calendar year t ⫺ 1, divided by market equity at the end of December of t ⫺ 1. Book equity is the book
value of stockholders’ equity, plus balance sheet deferred taxes and investment tax credit (if available),
minus the book value of preferred stock. Depending on availability, we use the redemption, liquidation
or par value (in that order) to estimate the book value of preferred stock. Stockholders’ equity is the
value reported by Moody’s or Compustat, if it is available. If not, we measure stockholders’ equity as the
book value of common equity plus the par value of preferred stock or the book value of assets minus
total liabilities (in that order). The portfolios for year t include NYSE (1963–2003), AMEX (1963–2003)
and NASDAQ (1972–2003) stocks with positive book equity in t ⫺ 1 and market equity (from CRSP) for
December of t ⫺ 1 and June of t. The portfolios exclude securities CRSP does not classify as ordinary
common equity. The breakpoints for year t use only securities that are on the NYSE in June of year t.
Figure 3
Average Annualized Monthly Return versus Beta for Value Weight Portfolios
Formed on B/M, 1963–2003
17
Average annualized monthly return (%)
10 (highest B/M)
16
15 9
8
14 7
6
13
Average returns 5 3
12 4 2
predicted by
11 the CAPM
10 1 (lowest B/M)
9
0.7 0.8 0.9 1 1.1 1.2
market proxies, like the value-weight portfolio of U.S. stocks, that lead to rejections
of the model in empirical tests. The contradictions of the CAPM observed when
such proxies are used in tests of the model show up as bad estimates of expected
returns in applications; for example, estimates of the cost of equity capital that are
too low (relative to historical average returns) for small stocks and for stocks with
high book-to-market equity ratios. In short, if a market proxy does not work in tests
of the CAPM, it does not work in applications.
Conclusions
The version of the CAPM developed by Sharpe (1964) and Lintner (1965) has
never been an empirical success. In the early empirical work, the Black (1972)
version of the model, which can accommodate a flatter tradeoff of average return
for market beta, has some success. But in the late 1970s, research begins to uncover
variables like size, various price ratios and momentum that add to the explanation
of average returns provided by beta. The problems are serious enough to invalidate
most applications of the CAPM.
For example, finance textbooks often recommend using the Sharpe-Lintner
CAPM risk-return relation to estimate the cost of equity capital. The prescription is
to estimate a stock’s market beta and combine it with the risk-free interest rate and
the average market risk premium to produce an estimate of the cost of equity. The
typical market portfolio in these exercises includes just U.S. common stocks. But
empirical work, old and new, tells us that the relation between beta and average
return is flatter than predicted by the Sharpe-Lintner version of the CAPM. As a
result, CAPM estimates of the cost of equity for high beta stocks are too high
(relative to historical average returns) and estimates for low beta stocks are too low
(Friend and Blume, 1970). Similarly, if the high average returns on value stocks
(with high book-to-market ratios) imply high expected returns, CAPM cost of
equity estimates for such stocks are too low.7
The CAPM is also often used to measure the performance of mutual funds and
other managed portfolios. The approach, dating to Jensen (1968), is to estimate
the CAPM time-series regression for a portfolio and use the intercept (Jensen’s
alpha) to measure abnormal performance. The problem is that, because of the
empirical failings of the CAPM, even passively managed stock portfolios produce
abnormal returns if their investment strategies involve tilts toward CAPM problems
(Elton, Gruber, Das and Hlavka, 1993). For example, funds that concentrate on low
beta stocks, small stocks or value stocks will tend to produce positive abnormal
returns relative to the predictions of the Sharpe-Lintner CAPM, even when the
fund managers have no special talent for picking winners.
The CAPM, like Markowitz’s (1952, 1959) portfolio model on which it is built,
is nevertheless a theoretical tour de force. We continue to teach the CAPM as an
introduction to the fundamental concepts of portfolio theory and asset pricing, to
be built on by more complicated models like Merton’s (1973) ICAPM. But we also
warn students that despite its seductive simplicity, the CAPM’s empirical problems
probably invalidate its use in applications.
y We gratefully acknowledge the comments of John Cochrane, George Constantinides, Richard

Leftwich, Andrei Shleifer, René Stulz and Timothy Taylor.
7
The problems are compounded by the large standard errors of estimates of the market premium and
of betas for individual stocks, which probably suffice to make CAPM estimates of the cost of equity rather
meaningless, even if the CAPM holds (Fama and French, 1997; Pastor and Stambaugh, 1999). For
example, using the U.S. Treasury bill rate as the risk-free interest rate and the CRSP value-weight
portfolio of publicly traded U.S. common stocks, the average value of the equity premium R Mt ⫺ R ft for
1927–2003 is 8.3 percent per year, with a standard error of 2.4 percent. The two standard error range
thus runs from 3.5 percent to 13.1 percent, which is sufficient to make most projects appear either
profitable or unprofitable. This problem is, however, hardly special to the CAPM. For example, expected
returns in all versions of Merton’s (1973) ICAPM include a market beta and the expected market
premium. Also, as noted earlier the expected values of the size and book-to-market premiums in the
Fama-French three-factor model are also estimated with substantial error.
References
Ball, Ray. 1978. “Anomalies in Relationships Ann Arbor, Michigan: University Microfilms,
Between Securities’ Yields and Yield-Surrogates.” Inc.
Journal of Financial Economics. 6:2, pp. 103–26. Elton, Edwin J., Martin J. Gruber, Sanjiv Das
Banz, Rolf W. 1981. “The Relationship Be- and Matt Hlavka. 1993. “Efficiency with Costly
tween Return and Market Value of Common Information: A Reinterpretation of Evidence
Stocks.” Journal of Financial Economics. 9:1, from Managed Portfolios.” Review of Financial
pp. 3–18. Studies. 6:1, pp. 1–22.
Basu, Sanjay. 1977. “Investment Performance Fama, Eugene F. 1970. “Efficient Capital Mar-
of Common Stocks in Relation to Their Price- kets: A Review of Theory and Empirical Work.”
Earnings Ratios: A Test of the Efficient Market Journal of Finance. 25:2, pp. 383– 417.
Hypothesis.” Journal of Finance. 12:3, pp. 129 –56. Fama, Eugene F. 1996. “Multifactor Portfolio
Bhandari, Laxmi Chand. 1988. “Debt/Equity Efficiency and Multifactor Asset Pricing.” Journal
Ratio and Expected Common Stock Returns: of Financial and Quantitative Analysis. 31:4,
Empirical Evidence.” Journal of Finance. 43:2, pp. 441– 65.
pp. 507–28. Fama, Eugene F. and Kenneth R. French.
Black, Fischer. 1972. “Capital Market Equilib- 1992. “The Cross-Section of Expected Stock Re-
rium with Restricted Borrowing.” Journal of Busi- turns.” Journal of Finance. 47:2, pp. 427– 65.
ness. 45:3, pp. 444 –54. Fama, Eugene F. and Kenneth R. French.
Black, Fischer, Michael C. Jensen and Myron 1993. “Common Risk Factors in the Returns on
Scholes. 1972. “The Capital Asset Pricing Model: Stocks and Bonds.” Journal of Financial Economics.
Some Empirical Tests,” in Studies in the Theory of 33:1, pp. 3–56.
Capital Markets. Michael C. Jensen, ed. New York: Fama, Eugene F. and Kenneth R. French.
Praeger, pp. 79 –121. 1995. “Size and Book-to-Market Factors in Earn-
Blume, Marshall. 1970. “Portfolio Theory: A ings and Returns.” Journal of Finance. 50:1,
Step Towards its Practical Application.” Journal of pp. 131–55.
Business. 43:2, pp. 152–74. Fama, Eugene F. and Kenneth R. French.
Blume, Marshall and Irwin Friend. 1973. “A 1996. “Multifactor Explanations of Asset Pricing
New Look at the Capital Asset Pricing Model.” Anomalies.” Journal of Finance. 51:1, pp. 55– 84.
Journal of Finance. 28:1, pp. 19 –33. Fama, Eugene F. and Kenneth R. French.
Campbell, John Y. and Robert J. Shiller. 1989. 1997. “Industry Costs of Equity.” Journal of Finan-
“The Dividend-Price Ratio and Expectations of cial Economics. 43:2 pp. 153–93.
Future Dividends and Discount Factors.” Review Fama, Eugene F. and Kenneth R. French.
of Financial Studies. 1:3, pp. 195–228. 1998. “Value Versus Growth: The International
Capaul, Carlo, Ian Rowley and William F. Evidence.” Journal of Finance. 53:6, pp. 1975–999.
Sharpe. 1993. “International Value and Growth Fama, Eugene F. and James D. MacBeth. 1973.
Stock Returns.” Financial Analysts Journal. “Risk, Return, and Equilibrium: Empirical
January/February, 49, pp. 27–36. Tests.” Journal of Political Economy. 81:3,
Carhart, Mark M. 1997. “On Persistence in pp. 607–36.
Mutual Fund Performance.” Journal of Finance. Frankel, Richard and Charles M.C. Lee. 1998.
52:1, pp. 57– 82. “Accounting Valuation, Market Expectation,
Chan, Louis K.C., Yasushi Hamao and Josef and Cross-Sectional Stock Returns.” Journal of
Lakonishok. 1991. “Fundamentals and Stock Re- Accounting and Economics. 25:3 pp. 283–319.
turns in Japan.” Journal of Finance. 46:5, Friend, Irwin and Marshall Blume. 1970.
pp. 1739 –789. “Measurement of Portfolio Performance under
DeBondt, Werner F. M. and Richard H. Tha- Uncertainty.” American Economic Review. 60:4,
ler. 1987. “Further Evidence on Investor Over- pp. 607–36.
reaction and Stock Market Seasonality.” Journal Gibbons, Michael R. 1982. “Multivariate Tests
of Finance. 42:3, pp. 557– 81. of Financial Models: A New Approach.” Journal
Dechow, Patricia M., Amy P. Hutton and Rich- of Financial Economics. 10:1, pp. 3–27.
ard G. Sloan. 1999. “An Empirical Assessment of Gibbons, Michael R., Stephen A. Ross and Jay
the Residual Income Valuation Model.” Journal Shanken. 1989. “A Test of the Efficiency of a
of Accounting and Economics. 26:1, pp. 1–34. Given Portfolio.” Econometrica. 57:5, pp. 1121–
Douglas, George W. 1968. Risk in the Equity 152.
Markets: An Empirical Appraisal of Market Efficiency. Haugen, Robert. 1995. The New Finance: The
Case against Efficient Markets. Englewood Cliffs, Price Performance.” Journal of Business. 73:3,
N.J.: Prentice Hall. pp. 287–329.
Jegadeesh, Narasimhan and Sheridan Titman. Pastor, Lubos and Robert F. Stambaugh.
1993. “Returns to Buying Winners and Selling 1999. “Costs of Equity Capital and Model Mis-
Losers: Implications for Stock Market Effi- pricing.” Journal of Finance. 54:1, pp. 67–121.
ciency.” Journal of Finance. 48:1, pp. 65–91. Piotroski, Joseph D. 2000. “Value Investing:
Jensen, Michael C. 1968. “The Performance of The Use of Historical Financial Statement Infor-
Mutual Funds in the Period 1945–1964.” Journal mation to Separate Winners from Losers.” Jour-
of Finance. 23:2, pp. 389 – 416. nal of Accounting Research. 38:Supplement,
Kothari, S. P., Jay Shanken and Richard G. pp. 1–51.
Sloan. 1995. “Another Look at the Cross-Section Reinganum, Marc R. 1981. “A New Empirical
of Expected Stock Returns.” Journal of Finance. Perspective on the CAPM.” Journal of Financial
50:1, pp. 185–224. and Quantitative Analysis. 16:4, pp. 439 – 62.
Lakonishok, Josef and Alan C. Shapiro. 1986. Roll, Richard. 1977. “A Critique of the Asset
Systemaitc Risk, Total Risk, and Size as Determi- Pricing Theory’s Tests’ Part I: On Past and Po-
nants of Stock Market Returns.“ Journal of Bank- tential Testability of the Theory.” Journal of Fi-
ing and Finance. 10:1, pp. 115–32. nancial Economics. 4:2, pp. 129 –76.
Lakonishok, Josef, Andrei Shleifer and Rob- Rosenberg, Barr, Kenneth Reid and Ronald
ert W. Vishny. 1994. “Contrarian Investment, Lanstein. 1985. “Persuasive Evidence of Market
Extrapolation, and Risk.” Journal of Finance. 49:5, Inefficiency.” Journal of Portfolio Management.
pp. 1541–578. Spring, 11, pp. 9 –17.
Lintner, John. 1965. “The Valuation of Risk Ross, Stephen A. 1976. “The Arbitrage Theory
Assets and the Selection of Risky Investments in of Capital Asset Pricing.” Journal of Economic The-
Stock Portfolios and Capital Budgets.” Review of ory. 13:3, pp. 341– 60.
Economics and Statistics. 47:1, pp. 13–37. Sharpe, William F. 1964. “Capital Asset Prices:
Loughran, Tim and Jay. R. Ritter. 1995. “The A Theory of Market Equilibrium under Condi-
New Issues Puzzle.” Journal of Finance. 50:1, tions of Risk.” Journal of Finance. 19:3, pp. 425–
pp. 23–51. 42.
Markowitz, Harry. 1952. “Portfolio Selection.” Stambaugh, Robert F. 1982. “On The Exclu-
Journal of Finance. 7:1, pp. 77–99. sion of Assets from Tests of the Two-Parameter
Markowitz, Harry. 1959. Portfolio Selection: Effi- Model: A Sensitivity Analysis.” Journal of Financial
cient Diversification of Investments. Cowles Founda- Economics. 10:3, pp. 237– 68.
tion Monograph No. 16. New York: John Wiley & Stattman, Dennis. 1980. “Book Values and
Sons, Inc. Stock Returns.” The Chicago MBA: A Journal of
Merton, Robert C. 1973. “An Intertemporal Selected Papers. 4, pp. 25– 45.
Capital Asset Pricing Model.” Econometrica. 41:5, Stein, Jeremy. 1996. “Rational Capital Budget-
pp. 867– 87. ing in an Irrational World.” Journal of Business.
Miller, Merton and Myron Scholes. 1972. 69:4, pp. 429 –55.
“Rates of Return in Relation to Risk: A Reexam- Tobin, James. 1958. “Liquidity Preference as
ination of Some Recent Findings,” in Studies in Behavior Toward Risk.” Review of Economic Stud-
the Theory of Capital Markets. Michael C. Jensen, ies. 25:2, pp. 65– 86.
ed. New York: Praeger, pp. 47–78. Vuolteenaho, Tuomo. 2002. “What Drives
Mitchell, Mark L. and Erik Stafford. 2000. Firm Level Stock Returns?” Journal of Finance.
“Managerial Decisions and Long-Term Stock 57:1, pp. 233– 64.
This article has been cited by:
1. Christoph Merkle, Christoph J. Sextroh. 2021. Value and momentum from investors’ perspective:
Evidence from professionals’ risk-ratings. Journal of Empirical Finance 62, 159-178. [Crossref]
2. Shaoping Wang, Lu Yu, Qing Zhao. 2021. Do factor models explain stock returns when prices behave
explosively? Evidence from China. Pacific-Basin Finance Journal 67, 101535. [Crossref]
3. Jian Zhang, Jie Li. 2021. Factorized estimation of high‐dimensional nonparametric covariance models.
Scandinavian Journal of Statistics 36. . [Crossref]
4. Emanuel Kohlscheen, Előd Takáts. 2021. What can commercial property performance reveal about
bank valuations?. Journal of International Money and Finance 113, 102350. [Crossref]
5. Yiannis Karavias, Stella Spilioti, Elias Tzavalis. 2021. Investor sentiment effects on share price
deviations from their intrinsic values based on accounting fundamentals. Review of Quantitative Finance
and Accounting 56:4, 1593-1621. [Crossref]
6. Sergei Yu. BOGATYREV. 2021. Looking into bubbles in financial markets and the emotional side
of corporate forecast completion through modeling in the structured query language of financial
databases. Finance and Credit 27:4, 833-850. [Crossref]
7. Jessie Y. Zhu, Wally Smieliauskas. 2021. Evidence on the Economic Consequences of Marriage
Equality and LGBT Human Rights. Journal of Business Ethics 5. . [Crossref]
8. Muhammad Imran, Mengyun Wu, Linrong Zhang, Yun Zhao, Noor Jehan, Hee Cheol Moon. 2021.
Market Premium and Macroeconomic Factors as Determinants of Industry Premium: Evidence from
Emerging Economies. Complexity 2021, 1-11. [Crossref]
9. Vu Tuan Chu, Trang Hanh Lam Pham. 2021. Zero leverage and product market competition. SN
Business & Economics 1:4. . [Crossref]
10. Levan Efremidze, Darrol J. Stanley, Clemens Kownatzki. 2021. Entropy trading strategies reveal
inefficiencies in Japanese stock market. International Review of Economics & Finance 45. . [Crossref]
11. Sergei Yu. BOGATYREV. 2021. The sentiment analysis method in finance: The psychological-
financial index. Finance and Credit 27:3, 561-584. [Crossref]
12. Joel M. Vanden. 2021. Equilibrium asset pricing and the cross section of expected returns. Annals of
Finance 54. . [Crossref]
13. Ade Imam Muslim, Doddy Setiawan. 2021. Information Asymmetry, Ownership Structure and Cost
of Equity Capital: The Formation for Open Innovation. Journal of Open Innovation: Technology,
Market, and Complexity 7:1, 48. [Crossref]
14. Kam Fong Chan, Terry Marsh. 2021. Asset prices, midterm elections, and political uncertainty.
Journal of Financial Economics 83. . [Crossref]
15. Catalin Dragomirescu-Gaina, Dionisis Philippas, Mike G. Tsionas. 2021. Trading off accuracy for
speed: Hedge funds' decision-making under uncertainty. International Review of Financial Analysis
127, 101728. [Crossref]
16. Karl-Heinz Tödter, Gerhard Ziebarth. 2021. Lifetime Cost of Living and Effective Prices: Theory
and Evidence for Germany. Jahrbücher für Nationalökonomie und Statistik 241:1, 29-69. [Crossref]
17. Nadia Anjum, Suresh Kumar Oad Rajput. 2021. Forecasting Islamic equity indices alpha. International
Journal of Islamic and Middle Eastern Finance and Management 14:1, 183-203. [Crossref]
18. Xiang Lin, Martin Thomas Falk. 2021. Nordic stock market performance of the travel and leisure
industry during the first wave of Covid-19 pandemic. Tourism Economics 454, 135481662199093.
[Crossref]
19. Ze Zhang, Zilai Tang. 2021. Examination and Interpretation of the Quantitative Validity in China’s
Corporate-based Urban Network Analysis. Chinese Geographical Science 31:1, 41-53. [Crossref]
20. Brittany Tarufelli, Brian Snyder, David Dismukes. 2021. The Potential Impact of the U.S. Carbon
Capture and Storage Tax Credit Expansion on the Economic Feasibility of Industrial Carbon Capture
and Storage. Energy Policy 149, 112064. [Crossref]
21. Elena Shakina, Iuliia Naidenova, Angel Barajas. 2021. Shadow prices for intangible resources. Journal
of Intellectual Capital ahead-of-print:ahead-of-print. . [Crossref]
22. Alfonso A. Rojo-Ramírez. 2021. Rendimiento mínimo del inversor-propietario. El caso de la empresa
pyme familiar. Small Business International Review 5:1, e287. [Crossref]
23. Marcel Aloy, Floris Laly, Sébastien Laurent, Christelle Lecourt. Modeling Time-Varying Conditional
Betas. A Comparison of Methods with Application for REITs 229-264. [Crossref]
24. Mario Situm. 2021. Determination of expected cost of equity with the CAPM: Theoretical extension
using the law of error propagation. Managerial and Decision Economics 42:1, 77-84. [Crossref]
25. Olivier Dessaint, Jacques Olivier, Clemens A Otto, David Thesmar. 2021. CAPM-Based Company
(Mis)valuations. The Review of Financial Studies 34:1, 1-66. [Crossref]
26. Jhumur Sengupta. Application of Econometrics in Business Research 137-159. [Crossref]
27. Maurizio Montone, Remco C.J. Zwinkels. 2021. Risk, return, and sentiment in a virtual asset market.
SSRN Electronic Journal 25. . [Crossref]
28. James W. Kolari, Wei Liu, Jianhua Z. Huang. Capital Asset Pricing Models 25-52. [Crossref]
29. James W. Kolari, Wei Liu, Jianhua Z. Huang. Cross-Sectional Tests of the ZCAPM 159-195.
[Crossref]
30. James W. Kolari, Wei Liu, Jianhua Z. Huang. Synopsis of Asset Pricing and the ZCAPM 261-285.
[Crossref]
31. Jamshid Karimov, Faruk Balli, Hatice Ozer‐Balli, Anne Bruin. 2020. Firm‐level political risk and
Shari’ah compliance: equity capital cost and payouts policy. Accounting & Finance 57. . [Crossref]
32. Rai Imtiaz Hussain, Shahid Bashir, Shahbaz Hussain. 2020. Financial Sustainability and Corporate
Social Responsibility Under Mediating Effect of Operational Self-Sustainability. Frontiers in
Psychology 11. . [Crossref]
33. MICHAEL UNGEHEUER, MARTIN WEBER. 2020. The Perception of Dependence, Investment
Decisions, and Stock Prices. The Journal of Finance 85. . [Crossref]
34. Fabio B. Gaertner, Asad Kausar, Logan B. Steele. 2020. Negative accounting earnings and gross
domestic product. Review of Accounting Studies 25:4, 1382-1409. [Crossref]
35. Augustin Landier, David Thesmar. 2020. Earnings Expectations during the COVID-19 Crisis*. The
Review of Asset Pricing Studies 10:4, 598-617. [Crossref]
36. Terrence Hendershott, Dmitry Livdan, Dominik Rösch. 2020. Asset pricing: A tale of night and day.
Journal of Financial Economics 138:3, 635-662. [Crossref]
37. Matthew Wang, Yi-Hong Lin, Ilya Mikhelson. 2020. Regime-Switching Factor Investing with
Hidden Markov Models. Journal of Risk and Financial Management 13:12, 311. [Crossref]
38. Yuan Hu, Abootaleb Shirvani, W. Brent Lindquist, Frank J. Fabozzi, Svetlozar T. Rachev. 2020.
Option Pricing Incorporating Factor Dynamics in Complete Markets. Journal of Risk and Financial
Management 13:12, 321. [Crossref]
39. Steven D. Silver, Marko Raseta, Alina Bazarova. 2020. Dynamics of Phase Transitions in Expectations
for Financial Markets: An Agent-Based, Multicomponent Model. Journal of Behavioral Finance 55,
1-15. [Crossref]
40. Gregory Price, Warren Whatley. 2020. Did profitable slave trading enable the expansion of empire?:
The Asiento de Negros, the South Sea Company and the financial revolution in Great Britain.
Cliometrica 102. . [Crossref]
41. Balázs Csillag, Gábor Neszveda. 2020. A gazdasági várakozások hatása a tőzsdei momentumstratégiára.
Közgazdasági Szemle 67:11, 1093-1111. [Crossref]
42. Ganggang Guo, Yulei Rao, Feida Zhu, Fang Xu. 2020. Innovative deep matching algorithm for stock
portfolio selection using deep stock profiles. PLOS ONE 15:11, e0241573. [Crossref]
43. Abhijeet Ghadge, Sarat Kumar Jena, Sachin Kamble, Dheeraj Misra, Manoj Kumar Tiwari. 2020.
Impact of financial risk on supply chains: a manufacturer-supplier relational perspective. International
Journal of Production Research 12, 1-16. [Crossref]
44. Chariton Chalvatzis, Dimitrios Hristu-Varsakelis. 2020. High-performance stock index trading via
neural networks and trees. Applied Soft Computing 96, 106567. [Crossref]
45. Jonas Puck, Igor Filatotchev. 2020. Finance and the multinational company: Building bridges between
finance and global strategy research. Global Strategy Journal 10:4, 655-675. [Crossref]
46. Chinh Duc Pham, Le Tan Phuoc. 2020. An augmented capital asset pricing model using new
macroeconomic determinants. Heliyon 6:10, e05185. [Crossref]
47. Gerson de Souza Raimundo Júnior, Rafael Baptista Palazzi, Ricardo de Souza Tavares, Marcelo Cabus
Klotzle. 2020. Market Stress and Herding: A New Approach to the Cryptocurrency Market. Journal
of Behavioral Finance 33, 1-15. [Crossref]
48. Lin Chen, Junbo Wang, Chunchi Wu, Hongquan Zhu. Divergent Opinion, Trading Information,
and Stock Price Co-movements 1-21. [Crossref]
49. Ali Boloorforoosh, Peter Christoffersen, Mathieu Fournier, Christian Gouriéroux. 2020. Beta Risk
in the Cross-Section of Equities. The Review of Financial Studies 33:9, 4318-4366. [Crossref]
50. Michael Curran, Adnan Velic. 2020. The CAPM, National Stock Market Betas, and Macroeconomic
Covariates: a Global Analysis. Open Economies Review 31:4, 787-820. [Crossref]
51. Jamshid Karimov, Faruk Balli, Hatice Ozer Balli, Anne de Bruin. 2020. Shari'ah compliance
requirements and the cost of equity capital. Pacific-Basin Finance Journal 62, 101349. [Crossref]
52. Vanita Tripathi, Priti Aggarwal. 2020. Is value premium sector-specific? Evidence from India.
Managerial Finance 46:12, 1605-1628. [Crossref]
53. Abdul Qoyum, Rizqi Umar Al Hashfi, Alyta Shabrina Zusryn, Hadri Kusuma, Ibnu Qizam. 2020.
Does an Islamic-SRI portfolio really matter? Empirical application of valuation models in Indonesia.
Borsa Istanbul Review . [Crossref]
54. Tong Zhang. Stock Picking Strategy Based on Exploration of Chip Distribution Indicators 276-282.
[Crossref]
55. Lerzan Aksoy, Sabine Benoit, Shreekant G. Joag, Jay Kandampully, Timothy Lee Keiningham, An
L. Yan. 2020. Enterprise feedback management (EFM): what lies beyond the hype?. Journal of Service
Management 32:1, 53-69. [Crossref]
56. Patricia Sepúlveda Orejuela, María Dolores Guerrero-Baena, José A. Gómez-Limón. 2020.
Desempeño económico-financiero de los distintos modelos empresariales en el sector del aceite de
oliva en España. Revista de Estudios Empresariales. Segunda Época :1, 227-248. [Crossref]
57. Chinh Duc Pham, Le Tan Phuoc. 2020. Is estimating the Capital Asset Pricing Model using monthly
and short-horizon data a good choice?. Heliyon 6:7, e04339. [Crossref]
58. Yingyi Hu, Tiao Zhao, Lin Zhang. 2020. Noise trading, institutional trading, and opinion divergence:
Evidence on intraday data in the Chinese stock market. International Review of Economics & Finance
68, 74-89. [Crossref]
59. Myrthe van Dieijen, Abhishek Borah, Gerard J. Tellis, Philip Hans Franses. 2020. Big Data Analysis
of Volatility Spillovers of Brands across Social Media and Stock Markets. Industrial Marketing
Management 88, 465-484. [Crossref]
60. A. S. Shaghikyan, H. N. Hayrapetyan. 2020. Equity Crowdfunding in the Eurasian Economic Union
(EAEU). Finance: Theory and Practice 24:3, 45-59. [Crossref]
61. Seong Mi Bae, Hyoung‐Tae An, Jong Dae Kim. 2020. Mediators Linking Information Quality and
the Cost of Equity Capital*. Asia-Pacific Journal of Financial Studies 49:3, 410-437. [Crossref]
62. Naji Massad, Jørgen Vitting Andersen. 2020. Defining an intrinsic “stickiness” parameter of stock
price returns. Physica A: Statistical Mechanics and its Applications 547, 124464. [Crossref]
63. Faruk Balli, Md Iftekhar Hasan Chowdhury, Anne de Bruin. 2020. Transition to Islamic equities:
Systematic risk and Shari'ah compliance. Global Finance Journal 100552. [Crossref]
64. Antonio Salvi, Filippo Vitolla, Nicola Raimo, Michele Rubino, Felice Petruzzella. 2020. Does
intellectual capital disclosure affect the cost of equity capital? An empirical analysis in the integrated
reporting context. Journal of Intellectual Capital 21:6, 985-1007. [Crossref]
65. Nisa Vinodkumar, Hadeel Khalid AlJasser. 2020. Financial evaluation of Tadawul All Share Index
(TASI) listed stocks using Capital Asset Pricing Model. Investment Management and Financial
Innovations 17:2, 69-75. [Crossref]
66. Thorsten Hens, Fatemeh Naebi. 2020. Behavioural heterogeneity in the capital asset pricing model
with an application to the low-beta anomaly. Applied Economics Letters 1, 1-7. [Crossref]
67. Jie Qin. 2020. Regret-based capital asset pricing model. Journal of Banking & Finance 114, 105784.
[Crossref]
68. 2020. The Quantified Analysis of Causes of Market Risk Fluctuations in the Group of Construction,
Real Estate and Construction Material Companies in Vietnam During and After the Global Crisis
2007-2011. WSEAS TRANSACTIONS ON ENVIRONMENT AND DEVELOPMENT 16. .
[Crossref]
69. Saad Faysal, Mahdi Salehi, Mahdi Moradi. 2020. The impact of ownership structure on the cost of
equity in emerging markets. Management Research Review 43:10, 1221-1239. [Crossref]
70. Saejoon Kim, Soong Kim. 2020. Index tracking through deep latent representation learning.
Quantitative Finance 20:4, 639-652. [Crossref]
71. Benjamin Pfister, Manfred Schwaiger, Tobias Morath. 2020. Corporate reputation and the future
cost of equity. Business Research 13:1, 343-384. [Crossref]
72. Panagiotis Anastasiadis, Efthimios Katsaros, Anastasios-Taxiarchis Koutsioukis, Athanasios Pandazis.
2020. Performance-Risk Nexus of Global Low-Rated ETFs During the QE-Tapering Period. Studies
in Business and Economics 15:1, 194-211. [Crossref]
73. Yehui Wang, Jianxu Liu, Yuxuan Tang, Songsak Sriboonchitta. 2020. Housing Risk and Its Influence
on House Price: An Expected Utility Approach. Mathematical Problems in Engineering 2020, 1-16.
[Crossref]
74. Anastasia Simmet, Winfried Pohlmeier. 2020. The CAPM with Measurement Error: ‘There’s life in
the old dog yet!’. Jahrbücher für Nationalökonomie und Statistik 240:4, 417-453. [Crossref]
75. O. E. Medvedeva, A. I. Artemenkov. 2020. THEORETICAL BASES OF ECONOMIC
MEASUREMENT OF VALUE IN THE CONDITIONS OF GLOBAL TECHNOLOGICAL
SHIFTS AND CRISES. NEWEST METHODOLOGICAL BASE (PART 2). Vestnik Universiteta
:1, 114-120. [Crossref]
76. Semra Bank, Evrim Erdogan Yazar, Ugur Sivri. 2020. The portfolios with strong brand value: More
returns? Lower risk?. Borsa Istanbul Review 20:1, 64-79. [Crossref]
77. Damian Shaw-Williams, Connie Susilawati. 2020. A techno-economic evaluation of Virtual Net
Metering for the Australian community housing sector. Applied Energy 261, 114271. [Crossref]
78. Prince Worzie. 2020. FACTORS AFFECTING INVESTMENT DECISIONS AMONG LISTED
FIRMS IN THE NAIROBI SECURITIES EXCHANGE. International Journal of Engineering
Technologies and Management Research 7:2, 124-142. [Crossref]
79. Mehmet Levent ERDAŞ. 2020. Belirli Kısıtlar Altında Doğrusal Programlamaya Dayalı Bir Portföy
Optimizasyonu Modelinin Geliştirilmesi: Borsa İstanbul 30 Endeksi Üzerine Bir Uygulama. TESAM
Akademi Dergisi 115-141. [Crossref]
80. Fenghua Wen, Nan Wu, Xu Gong. 2020. China's carbon emissions trading and stock returns. Energy
Economics 86, 104627. [Crossref]
81. Le Tan Phuoc, Chinh Duc Pham. 2020. The systematic risk estimation models: A different
perspective. Heliyon 6:2, e03371. [Crossref]
82. Filippo Vitolla, Antonio Salvi, Nicola Raimo, Felice Petruzzella, Michele Rubino. 2020. The impact
on the cost of equity capital in the effects of integrated reporting quality. Business Strategy and the
Environment 29:2, 519-529. [Crossref]
83. Shea D. Chen, Andrew E. B. Lim. 2020. A Generalized Black–Litterman Model. Operations Research
. [Crossref]
84. Oussama Tilfani, Paulo Ferreira, My Youssef El Boukfaoui. 2020. Multiscale optimal portfolios using
CAPM fractal regression: estimation for emerging stock markets. Post-Communist Economies 32:1,
77-112. [Crossref]
85. Andres F. Cantillo. 2020. Production commitments and the financial foundations of specialized
economies. Journal of Post Keynesian Economics 43:1, 90-111. [Crossref]
86. Tarana Azimova. Challenges in Estimation of Beta 79-98. [Crossref]
87. Luis Javier Sanchez-Barrios, Benedicto Kulwizira Lukanima, Natalia Hernandez-Vargas, Luis Ricardo
Almanza Herazo. Estimating the CAPM Beta for Public and Private Firms 99-125. [Crossref]
88. Stefan Behringer. Die Entwicklung der angelsächsischen Unternehmensbewertung –
kapitalmarktorientierter Ansatz 79-102. [Crossref]
89. Tolulope Latunde, Lukman Shina Akinola, Damilola Deborah Dare. 2020. Analysis of capital asset
pricing model on Deutsche bank energy commodity. Green Finance 2:1, 20-34. [Crossref]
90. Sandra Andraszewicz. Stock Markets, Market Crashes, and Market Bubbles 205-231. [Crossref]
91. Hasan A Fallahgoul, Vincentius Franstianto. 2020. Towards Explaining Deep Learning: Significance
Tests for Multi-Layer Perceptrons. SSRN Electronic Journal . [Crossref]
92. Augustin Landier, David Thesmar. 2020. Earnings Expectations in the COVID Crisis. SSRN
Electronic Journal . [Crossref]
93. 2020. Wavelet-based systematic risk estimation: application on GCC stock markets: the Saudi Arabia
case. Quantitative Finance and Economics 4:4, 542-595. [Crossref]
94. Duane W Rockerbie, Stephen T. Easton. Contract Options for Buyers and Sellers of Talent 53-67.
[Crossref]
95. Petri Jylha, Michael Ungeheuer. 2020. Growth Expectations out of WACC. SSRN Electronic Journal
. [Crossref]
96. Emanuel Kohlscheen, Előd Takáts. 2020. What Can Commercial Property Performance Reveal about
Bank Valuations?. SSRN Electronic Journal . [Crossref]
97. Anne M. Tucker, Yusen Xia, Susan Smelcer. 2020. It Ain’t Just What Funds Disclose (It's The Way
That They Do It). SSRN Electronic Journal 35. . [Crossref]
98. Nguyen Huu Anh, Nguyen La Soa, Ha Hong Hanh. 2020. Environmental accounting practices and
cost of capital of enterprises in Vietnam. Cogent Economics & Finance 8:1, 1790964. [Crossref]
99. Stefan Anchev, Nicha Lapanan. 2020. Investor Base Size and Stock Return Anomalies. SSRN
100. Majeed Simaan. 2020. Working with CRSP/COMPUSTAT in R: Reproducible Empirical Asset
Pricing. SSRN Electronic Journal 1. . [Crossref]
101. Kam Fong Chan, Terry Marsh. 2020. Asset Pricing around Earnings Announcement Days. SSRN
102. Phuong Duong, Jinghui Liu, Ian Eddie. 2020. New financial regulatory philosophy: A paradigm shift
in securities market supervision. Corporate Ownership and Control 17:4, 8-17. [Crossref]
103. Marília Cordeiro Pinheiro, André Luiz Marques Serrano. 2019. Analysis of the impact of Fies on
the stock returns from the higher education sector. Revista Contabilidade & Finanças 30:81, 368-380.
[Crossref]
104. Tomislav Gelo, Željko Vrban, Dalibor Pudić. 2019. Allowed Revenue of Network System Operators
in the Croatian Energy Sector and Interest Rate Changes on the Croatian Capital Market. Zagreb
International Review of Economics and Business 22:s2, 73-91. [Crossref]
105. Wei Kang Loo. 2019. Predictability of HK-REITs returns using artificial neural network. Journal of
Property Investment & Finance 38:4, 291-307. [Crossref]
106. Saurabh Gupta, Saumitra N. Bhaduri. 2019. Skin in the game – investor behavior in asset pricing, the
Indian context. Review of Behavioral Finance 11:4, 373-392. [Crossref]
107. Liping Liu. 2019. The reducibility of matrix sweeping operations: A computational issue in linear
belief functions. International Journal of Approximate Reasoning 114, 226-247. [Crossref]
108. Babak Jafarizadeh, Reidar B. Bratvold. 2019. Exploration economics: taking opportunities and the
risk of double-counting risk. Mineral Economics 32:3, 323-335. [Crossref]
109. Sabine Elmiger. 2019. CAPM-anomalies: quantitative puzzles. Economic Theory 68:3, 643-667.
[Crossref]
110. Levan Efremidze, Darrol J. Stanley, Abraham Park, Nikolai Wasilewski. 2019. Empirical
implementation of entropy risk factor model: A test on Chilean peso. Physica A: Statistical Mechanics
and its Applications 532, 121836. [Crossref]
111. Joanne Hamet, Frantz Maurer. 2019. Valeur intrinsèque et valeur temps de la recherche en sciences
de gestion. Revue Française de Gestion 45:284, 103-123. [Crossref]
112. Marc Schaffer. 2019. The role of competition, innovation, and regulation on financial intermediary
risk. Managerial Finance ahead-of-print:ahead-of-print. . [Crossref]
113. Tzu-Lun Huang. 2019. Is the Fama and French five-factor model robust in the Chinese stock market?.
Asia Pacific Management Review 24:3, 278-289. [Crossref]
114. Natalia Bailey, George Kapetanios, M. Hashem Pesaran. 2019. Exponent of Cross-sectional
Dependence for Residuals. Sankhya B 81:S1, 46-102. [Crossref]
115. Yang, Nguyen. 2019. Skewness Preference and Asset Pricing: Evidence from the Japanese Stock
Market. Journal of Risk and Financial Management 12:3, 149. [Crossref]
116. Nesrin Özkan. 2019. q-Faktör Modelinin Borsa İstanbul’da Geçerliliğinin Test Edilmesi. Eskişehir
Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi 14:2, 441-456. [Crossref]
117. Anwar Hasan Abdullah Othman, Syed Musa Alhabshi, Razali Haron. 2019. The effect of symmetric
and asymmetric information on volatility structure of crypto-currency markets. Journal of Financial
Economic Policy 11:3, 432-450. [Crossref]
118. Shaun Cox, James Britten. 2019. The Fama-French five-factor model: Evidence from the
Johannesburg Stock Exchange. Investment Analysts Journal 48:3, 240-261. [Crossref]
119. Richard A. Michelfelder, Pauline Ahern, Dylan D'Ascendis. 2019. Decoupling impact and public
utility conservation investment. Energy Policy 130, 311-319. [Crossref]
120. Shijun Wang, Baocheng Zhu, Lintao Ma, Yuan Qi. A Riemannian Primal-dual Algorithm Based on
Proximal Operator and its Application in Metric Learning 1-8. [Crossref]
121. Johan Knif, James W. Kolari, Gregory Koutmos, Seppo Pynnönen. 2019. Measuring the relative return
contribution of risk factors. Journal of Asset Management 20:4, 263-272. [Crossref]
122. Jana Šimáková, Daniel Stavárek, Tomáš Pražák, Marie Ligocká. 2019. Macroeconomic factors and
stock prices in the food and drink industry. British Food Journal 121:7, 1627-1641. [Crossref]
123. Ricardo Méndez Romero, Hernán Rocha Pavés. 2019. ANÁLISIS DE LOS FONDOS DE
PENSIONES EN CHILE: PERIODO 2011-2018. Multidisciplinary Business Review 12:1, 1-9.
[Crossref]
124. Thomas Gramespacher, Armin Bänziger. 2019. The Bias in Two-Pass Regression Tests of Asset-
Pricing Models in Presence of Idiosyncratic Errors with Cross-Sectional Dependence. Review of Pacific
Basin Financial Markets and Policies 22:02, 1950012. [Crossref]
125. Muhammad Adnan Arshad, Saira Munir, Bashir Ahmad, Muhammad Waseem. 2019. Do factors
matter for predicting high-risk stock returns? Comparison of single-, three- and five-factor CAPM.
International Journal of Financial Engineering 06:02, 1950015. [Crossref]
126. Qianwei Ying, Tahir Yousaf, Qurat ul Ain, Yasmeen Akhtar, Muhammad Shahid Rasheed. 2019. Stock
Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis.
Journal of Risk and Financial Management 12:2, 97. [Crossref]
127. Glen Lehman, Chris Mortensen. 2019. Finance, Nature and Ontology. Topoi 28. . [Crossref]
128. Semra Bank, Evrim Erdogan Yazar, Ugur Sivri. 2019. Can social media marketing lead to abnormal
portfolio returns?. European Research on Management and Business Economics 25:2, 54-62. [Crossref]
129. Defeng Yang, Zhanqing Wang, Fangmin Lu. 2019. The Influence of Corporate Governance
and Operating Characteristics on Corporate Environmental Investment: Evidence from China.
Sustainability 11:10, 2737. [Crossref]
130. Roberto Savona, Cesare Orsini. 2019. Taking the right course navigating the ERC universe. Journal
of Asset Management 20:3, 157-174. [Crossref]
131. Salman Ahmed Shaikh, Mohd Adib Ismail, Abdul Ghafar Ismail, Shahida Shahimi, Muhammad
Hakimi Mohd. Shafiai. 2019. Cross section of stock returns on Shari’ah -compliant stocks: evidence
from Pakistan. International Journal of Islamic and Middle Eastern Finance and Management 12:2,
282-302. [Crossref]
132. Nilanjana Chakraborty, Mohammed M Elgammal, David McMillan. 2019. Rational functions: an
alternative approach to asset pricing. Applied Economics 51:20, 2091-2119. [Crossref]
133. Khaled Elkhal. 2019. Business uncertainty and financial leverage: should the firm double up on risk?.
134. Malik Shahzad Shabbir, Iftikhar Muhammad. 2019. The dynamic impact of foreign portfolio
investment on stock prices in Pakistan. Transnational Corporations Review 11:2, 166-178. [Crossref]
135. Nordine Abidi, Burcu Hacibedel, Mwanza Nkusu. 2019. Frontier and Emerging Markets: A
Perspective from Portfolio Flows and Financial Integration. Journal of Banking and Financial Economics
1/2019:11, 19-45. [Crossref]
136. Benjamin R. Auer, Tobias Hiller. 2019. Can cooperative game theory solve the low-risk puzzle?.
International Journal of Finance & Economics 24:2, 884-889. [Crossref]
137. Sergio Bravo. 2019. The Corporate Life Cycle and the Cost of Equity. Journal of Business Valuation
and Economic Loss Analysis 14:1. . [Crossref]
138. Marisa Basten, Antonio Sánchez Serrano. 2019. European banks after the global financial crisis: a new
landscape. Journal of Banking Regulation 20:1, 51-73. [Crossref]
139. Moting Su, Zongyi Zhang, Ye Zhu, Donglan Zha. 2019. Data-Driven Natural Gas Spot Price
Forecasting with Least Squares Regression Boosting Algorithm. Energies 12:6, 1094. [Crossref]
140. Yang Ning, Liu Chun Wah, Luo Erdan. 2019. Stock price prediction based on error correction model
and Granger causality test. Cluster Computing 22:S2, 4849-4858. [Crossref]
141. Henry Leung, Jeffrey Tse, P. Joakim Westerholm. 2019. CEO traders and corporate acquisitions.
Journal of Corporate Finance 54, 107-127. [Crossref]
142. José Roberto Ferreira Savoia, José Roberto Securato, Daniel Reed Bergmann, Fabiana Lopes da
Silva. 2019. Comparing results of the implied cost of capital and capital asset pricing models for
infrastructure firms in Brazil. Utilities Policy 56, 149-158. [Crossref]
143. Jaromír Antoch, Jan Hanousek, Marie Hušková, Jiří Trešl. 2019. Detection of Changes in Panel Data:
Change in Fama-French Model Parameters for Selected European Stocks During the Financial Crisis.
Politická ekonomie 67:1, 3-19. [Crossref]
144. Mukail Aremu Akinde, Eriki Peter, Ochei Ailemen Ikpefan. 2019. Growth versus value investing:
a case of Nigerian Stock Market. Investment Management and Financial Innovations 16:1, 30-45.
[Crossref]
145. Lanh Tran. How Annualized Wavelet Trading “Beats” the Market 124-137. [Crossref]
146. Dorota Witkowska. Is the Three-Factor Better Than Single-Factor Capital Asset Pricing Model?
Case of Polish Capital Market 225-238. [Crossref]
147. Susann Ihlau, Hendrik Duscha. Grundlagen der Unternehmensbewertung 17-115. [Crossref]
148. Manfred Gilli, Dietmar Maringer, Enrico Schumann. Optimization problems in finance 219-228.
[Crossref]
149. . Bibliography 599-608. [Crossref]
150. Babak Mahdavi-Damghani. 2019. Data-Driven Models & Mathematical Finance: Opposition or
Apposition?. SSRN Electronic Journal . [Crossref]
151. Sassan Zaker. 2019. How Wealth Management Lost Clients in Translation. SSRN Electronic Journal
. [Crossref]
152. Alessandro Vercelli. The Emergence of Modern Financial Economics 61-91. [Crossref]
153. Jakob Thomä, Michael Hayne, Nikolaus Hagedorn, Clare Murray, Rebecca Grattage. 2019. The
alignment of global equity and corporate bonds markets with the Paris Agreement. Journal of Applied
Accounting Research 20:4, 439. [Crossref]
154. Michael Hasler, Charles Martineau. 2019. Does the CAPM Predict Returns?. SSRN Electronic Journal
. [Crossref]
155. Michael Hasler, Charles Martineau. 2019. The CAPM Holds. SSRN Electronic Journal . [Crossref]
156. Anh Phong Nguyen, Hoang Anh Nguyen, Thi Hong Minh Ho, Phu Thanh Ngo, David McMillan.
2019. Risk and returns of different foreign ownership portfolios: Evidence from Vietnam stock market.
Cogent Economics & Finance 7:1, 1589412. [Crossref]
157. Michael Thicke. 2018. Market epistemology. Synthese 195:12, 5571-5594. [Crossref]
158. Sabri Boubaker, Taher Hamza, Javier Vidal-García. 2018. Financial distress and equity returns: A
leverage-augmented three-factor model. Research in International Business and Finance 46, 1-15.
[Crossref]
159. Madhavi Latha Challa, Venkataramanaiah Malepati, Siva Nageswara Rao Kolusu. 2018. Forecasting
risk using auto regressive integrated moving average approach: an evidence from S&P BSE Sensex.
Financial Innovation 4:1. . [Crossref]
160. Patrick O’Sullivan. 2018. The Capital Asset Pricing Model and the Efficient Markets Hypothesis:
The Compelling Fairy Tale of Contemporary Financial Economics. International Journal of Political
Economy 47:3-4, 225-252. [Crossref]
161. Keshav Sahadev, Michael Ward, Chris Muller. 2018. The impact of reference-day risk on beta
estimation and a proposed solution. Investment Analysts Journal 47:4, 327-342. [Crossref]
162. JONGSEOK LIM. 2018. A Study on the Estimation of the Cost of Equity Capital and Performance for
Listed Logistics Service Providers based on CAPM. Korean Journal of Logistics 26:3, 17-32. [Crossref]
163. Fang Zhang, Hong Fang, Xu Wang. 2018. Impact of Carbon Prices on Corporate Value: The Case
of China’s Thermal Listed Enterprises. Sustainability 10:9, 3328. [Crossref]
164. Marta Olivia Rovedder de Oliveira, Aline Armanini Stefanan, Mauri Leodir Lobler. 2018. Brand
equity, risk and return in Latin America. Journal of Product & Brand Management 27:5, 557-572.
[Crossref]
165. Stelios Bekiros, Nikolaos Loukeris, Iordanis Eleftheriadis, Gazi Uddin. 2018. Revisiting the three
factor model in light of circular behavioural simultaneities. Review of Behavioral Finance 10:3, 210-230.
[Crossref]
166. John L. Glascock, Ran Lu-Andrews. 2018. The Asymmetric Conditional Beta-Return Relations of
REITs. The Journal of Real Estate Finance and Economics 57:2, 231-245. [Crossref]
167. I. Ferguson. 2018. Discount rates for corporate forest valuations. Australian Forestry 81:3, 142-147.
[Crossref]
168. Alfonso A. Rojo Ramírez, Maria J. Martínez Romero. 2018. Required and obtained equity returns in
privately held businesses: the impact of family nature—evidence before and after the global economic
crisis. Review of Managerial Science 12:3, 771-801. [Crossref]
169. Matevž Skočir, Igor Lončarski. 2018. Multi-factor asset pricing models: Factor construction choices
and the revisit of pricing factors. Journal of International Financial Markets, Institutions and Money
55, 65-80. [Crossref]
170. Serge Darolles, Christian Francq, Sébastien Laurent. 2018. Asymptotics of Cholesky GARCH models
and time-varying conditional betas. Journal of Econometrics 204:2, 223-247. [Crossref]
171. Tomer Shushi. 2018. Stein’s lemma for truncated elliptical random vectors. Statistics & Probability
Letters 137, 297-303. [Crossref]
172. Masato Sasaki, Anas Laamrani, Mitsuo Yamashiro. 2018. An interactive genetic algorithm for
portfolio optimization considering the decision maker’s preference. Journal of Information and
Optimization Sciences 39:4, 989-1008. [Crossref]
173. Lucas Bretschger, Filippo Lechthaler. 2018. Stock performance and economic growth: lessons
from the Japanese case. Macroeconomics and Finance in Emerging Market Economies 11:2, 195-217.
[Crossref]
174. Geeta Lakshmi. 2018. Gekko and black swans: Finance theory in UK undergraduate curricula. Critical
Perspectives on Accounting 52, 35-47. [Crossref]
175. Christophe Schinckus. 2018. Pataphysics of finance: An essay of visual epistemology. Critical
Perspectives on Accounting 52, 57-68. [Crossref]
176. C. Janse van Rensburg, J.D. Krige. 2018. Paying the High Price of Active Management: A New Look
at Unit Trust Fees. Studies in Economics and Econometrics 42:1, 23-40. [Crossref]
177. Milica Radović, Snežana Radukić, Vladimir Njegomir. 2018. The Application of the Markowitz’s
Model in Efficient Portfolio Forming on the Capital Market in the Republic of Serbia. Economic
Themes 56:1, 17-34. [Crossref]
178. Huu T. Huynh, Yi Su, Gunnar Lucko, Richard C. Thompson. Beta Index and Complexity in
Schedule Performance Measurement 471-480. [Crossref]
179. Pablo Koch-Medina, Jan Wenzelburger. 2018. Equilibria in the CAPM with non-tradeable
endowments. Journal of Mathematical Economics 75, 93-107. [Crossref]
180. Jae Wook Song, Bonggyun Ko, Woojin Chang. 2018. Analyzing systemic risk using non-linear
marginal expected shortfall and its minimum spanning tree. Physica A: Statistical Mechanics and its
Applications 491, 289-304. [Crossref]
181. Harold L. Vogel. Rationality Rules 219-269. [Crossref]
182. Toan Luu Duc Huynh, Sang Phu Nguyen, Duy Duong. Pricing Assets with Higher Co-moments
and Value-at-Risk by Quantile Regression Approach: Evidence from Vietnam Stock Market 953-986.
[Crossref]
183. Stefan Behringer. Kennzahlen im Konzerncontrolling 89-133. [Crossref]
184. Fengmin Xu, Meihua Wang, Yu-Hong Dai, Dachuan Xu. 2018. A sparse enhanced indexation model
with chance and cardinality constraints. Journal of Global Optimization 70:1, 5-25. [Crossref]
185. Massimo Guidolin, Manuela Pedio. Multivariate GARCH and Conditional Correlation Models
229-266. [Crossref]
186. Bruce D. McNevin, Joan Nix. 2018. The beta heuristic from a time/frequency perspective: A wavelet
analysis of the market risk of sectors. Economic Modelling 68, 570-585. [Crossref]
187. Muhammad Hafidz Anuwar, Maheran Mohd Jaffar. The standardized credit rating grade for
Malaysian listed companies in Bursa Malaysia 020060. [Crossref]
188. Ross Kingwell, Quenten Thomas, David Feldman, Imma Farré, Brad Plunkett. 2018. Traditional farm
expansion versus joint venture remote partnerships. Australian Journal of Agricultural and Resource
Economics 62:1, 21-44. [Crossref]
189. Wei Liu, James W. Kolari, Seppo Pynnonen. 2018. CAPM Beta Lives for Expected Returns. SSRN
190. Deng-Ta Chen. 2018. : CAPM (Security Prices in Mean-Variance Equilibrium: A Further Study on
CAPM). SSRN Electronic Journal . [Crossref]
Equality and LGBT Human Rights. SSRN Electronic Journal . [Crossref]
192. Alex R. Horenstein. 2018. Leverage and Performance Metrics in Asset Pricing. SSRN Electronic
Journal . [Crossref]
193. Kesh Sahadev, Mike Ward, Chris Muller. 2018. A Volume-Weighted-Average-Price (VWAP) Method
for Estimating Beta in the Context of Reference-Day Risk. SSRN Electronic Journal . [Crossref]
194. Malcolm McLelland. 2018. CAPM Failure in Private Equity Valuation and the Alternative APT
Method. SSRN Electronic Journal . [Crossref]
195. Malcolm McLelland. 2018. International Cost of Capital Estimation: The No-Arbitrage Method.
SSRN Electronic Journal . [Crossref]
196. Wei Liu, James W. Kolari, Jianhua Huang. 2018. Return Dispersion and the Cross-Section of Stock
Returns. SSRN Electronic Journal . [Crossref]
197. Zhichuan Frank Li, Dylan Minor, Jun Wang, Chong Yu. 2018. A Learning Curve of the Market:
Chasing Alpha of Socially Responsible Firms. SSRN Electronic Journal . [Crossref]
198. Natalia Bailey, George Kapetanios, M. Hashem Pesaran. 2018. Exponent of Cross-Sectional
Dependence for Residuals. SSRN Electronic Journal . [Crossref]
199. Weihao Han. 2018. Persistence and Performance of Chinese Mutual Funds. SSRN Electronic Journal
. [Crossref]
200. Lisa R. Goldberg, Alex Papanicolaou, Alexander Shkolnik. 2018. Better Betas. SSRN Electronic
201. Terrence Hendershott, Dmitry Livdan, Dominik RRsch. 2018. Asset Pricing: A Tale of Night and
Day. SSRN Electronic Journal . [Crossref]
202. Ben Matthies. 2018. Biases in the Perception of Covariance. SSRN Electronic Journal . [Crossref]
203. Fred Sporta. 2018. The Distressing Effect of Non-Performing Assets to Asset Quality for Commercial
Banks in Kenya. INTERNATIONAL JOURNAL OF INNOVATION AND ECONOMIC
DEVELOPMENT 3:6, 71-83. [Crossref]
204. Gonul Colak, Dimitrios Gounopoulos, Panagiotis Loukopoulos, Georgios Loukopoulos. 2018. Local
Policy Risk and IPO Performance. SSRN Electronic Journal . [Crossref]
205. Todd D. Gerarden, Richard G. Newell, Robert N. Stavins. 2017. Assessing the Energy-Efficiency
Gap. Journal of Economic Literature 55:4, 1486-1525. [Abstract] [View PDF article] [PDF with links]
206. Serdar Neslihanoglu, Vasilios Sogiakas, John H. McColl, Duncan Lee. 2017. Nonlinearities in the
CAPM: Evidence from Developed and Emerging Markets. Journal of Forecasting 36:8, 867-897.
[Crossref]
207. Bogdan Negrea, Mihai Toma. 2017. Dynamic CAPM under ambiguity—An experimental approach.
Journal of Behavioral and Experimental Finance 16, 22-32. [Crossref]
208. José María Díez-Esteban, Conrado Diego García-Gómez, Félix Javier López-Iturriaga, Marcos
Santamaría-Mariscal. 2017. Corporate risk-taking, returns and the nature of major shareholders:
Evidence from prospect theory. Research in International Business and Finance 42, 900-911. [Crossref]
209. Yinqiao Li, Renée Spigt, Laurens Swinkels. 2017. The impact of FinTech start-ups on incumbent
retail banks’ share prices. Financial Innovation 3:1. . [Crossref]
210. Diego Broz, Gastón Milanesi, Daniel Alejandro Rossit, Diego Gabriel Rossit, Fernando Tohmé. 2017.
Forest management decision making based on a real options approach: An application to a case in
northeastern Argentina. Forestry Studies 67:1, 97-108. [Crossref]
211. Hung-Chi Li, Syouching Lai, James A. Conover, Frederick Wu, Bin Li. Stock Returns and Financial
Distress Risk: Evidence from the Asian-Pacific Markets 123-158. [Crossref]
212. Marc K. Chan, Simon Kwok. 2017. Risk-sharing, market imperfections, asset prices: Evidence from
China’s stock market liberalization. Journal of Banking & Finance 84, 166-187. [Crossref]
213. Turan G. Bali, Robert F. Engle, Yi Tang. 2017. Dynamic Conditional Beta Is Alive and Well in the
Cross Section of Daily Stock Returns. Management Science 63:11, 3760-3779. [Crossref]
214. Márcio André Veras Machado, Robert Faff, Suelle Cariele de Souza e Silva. 2017. Applicability of
Investment and Profitability Effects in Asset Pricing Models. Revista de Administração Contemporânea
21:6, 851-874. [Crossref]
215. David G. Carmichael. 2017. Adjustments within discount rates to cater for uncertainty—Guidelines.
The Engineering Economist 62:4, 322-335. [Crossref]
216. Gastón Silverio Milanesi. 2017. Valuación de empresas: enfoque integral para mercados emergentes e
inflacionarios. Estudios Gerenciales 33:145, 377-390. [Crossref]
217. Júlio Lobão, Cristiano Pereira. 2017. Psychological barriers in stock market indices: Evidence from
four southern European countries. Cuadernos de Economía 40:114, 268-278. [Crossref]
218. Ikrame Ben Slimane, Makram Bellalah, Hatem Rjiba. 2017. Time-varying beta during the 2008
financial crisis – evidence from North America and Western Europe. The Journal of Risk Finance 18:4,
398-431. [Crossref]
219. Karen Paul. 2017. The effect of business cycle, market return and momentum on financial performance
of socially responsible investing mutual funds. Social Responsibility Journal 13:3, 513-528. [Crossref]
220. Sara Aghakhani, Reda Alhajj, Jon Rokne, Philip Chang. An Effective LmRMR for Financial Variable
Selection and its Applications 535-543. [Crossref]
221. Daniel Botero Guzman, Jhon Alexis Díaz Contreras. 2017. Análisis de la relación rentabilidad-riesgo
en el mercado accionario internacional para un mundo parcialmente integrado. Ensayos de Economía
27:51, 109-124. [Crossref]
222. Jill A. Brown, Anne Anderson, Jesus M. Salas, Andrew J. Ward. 2017. Do Investors Care About
Director Tenure? Insights from Executive Cognition and Social Capital Theories. Organization Science
28:3, 471-494. [Crossref]
223. Abel Rodríguez, Ziwei Wang, Athanasios Kottas. 2017. Assessing systematic risk in the S&P500 index
between 2000 and 2011: A Bayesian nonparametric approach. The Annals of Applied Statistics 11:2. .
[Crossref]
224. Chandana Shahi, Sherrill Shaffer. 2017. CAPM and the changing distribution of historical returns.
Applied Economics Letters 24:9, 639-642. [Crossref]
225. Kwanglim Seo, Ellen Eun Kyoo Kim, Amit Sharma. 2017. Examining the determinants of long-term
debt in the US restaurant industry. International Journal of Contemporary Hospitality Management
29:5, 1501-1520. [Crossref]
226. Joseph Nyangon, John Byrne, Job Taminiau. 2017. An assessment of price convergence between
natural gas and solar photovoltaic in the U.S. electricity market. Wiley Interdisciplinary Reviews: Energy
and Environment 6:3, e238. [Crossref]
227. Kevin E. Dow, Marcia Weidenmier Watson, Vincent J. Shea. 2017. Riding the waves of technology
through the decades: The relation between industry-level information technology intensity and the
cost of equity capital. International Journal of Accounting Information Systems 25, 18-28. [Crossref]
228. Xiao-Ping Steven Zhang, Fang Wang. 2017. Signal Processing for Finance, Economics, and
Marketing: Concepts, framework, and big data applications. IEEE Signal Processing Magazine 34:3,
14-35. [Crossref]
229. Federico Etro, Elena Stepanova. 2017. Art Auctions and Art Investment in the Golden Age of British
Painting. Scottish Journal of Political Economy 64:2, 191-225. [Crossref]
230. Devi Lusyana, Mohamed Sherif. 2017. Shariah -compliant investments and stock returns: evidence
from the Indonesian stock market. Journal of Islamic Accounting and Business Research 8:2, 143-160.
[Crossref]
231. Vance Lesseig, Janet D. Payne. 2017. The precision of asset beta estimates. International Journal of
232. Guillaume Coqueret. 2017. Empirical properties of a heterogeneous agent model in large dimensions.
Journal of Economic Dynamics and Control 77, 180-201. [Crossref]
233. Zarah Puspitaningtyas. 2017. Estimating systematic risk for the best investment decisions on
manufacturing company in Indonesia. Investment Management and Financial Innovations 14:1, 46-54.
[Crossref]
234. Vijay Gondhalekar, Kevin Lehnert. Financial Performance and the Competitive Effects of Corporate
Social Responsibility 1-21. [Crossref]
235. Danielle Claire Sanderson, Steven Devaney. 2017. Occupier satisfaction and its impact on investment
returns from UK commercial real estate. Journal of Property Investment & Finance 35:2, 135-159.
[Crossref]
236. Ching-Ping Wang, Hung-Hsi Huang, Jin-Sheng Hu. 2017. Reverse-Engineering and Real Options–
Adjusted CAPM in the Taiwan Stock Market. Emerging Markets Finance and Trade 53:3, 670-687.
[Crossref]
237. Supriya Maheshwari, Raj Singh Dhankar. 2017. Momentum anomaly: evidence from the Indian stock
market. Journal of Advances in Management Research 14:1, 3-22. [Crossref]
238. Bin Mei. 2017. Investment returns of US commercial timberland: insights into index construction
methods and results. Canadian Journal of Forest Research 47:2, 226-233. [Crossref]
239. Shaista Arshad. Investigating the Integration 85-118. [Crossref]
240. Raquel J. Fonseca. Capital Asset Pricing Model—A Structured Robust Approach 385-392. [Crossref]
241. Efundem Agboraw, Aled Jones. Finance and Natural Resource Constraints 41-91. [Crossref]
242. Imad A. Moosa, Vikash Ramiah. The Rise and Fall of Neoclassical Finance 1-25. [Crossref]
243. Mª José Martínez Romero, Alfonso A. Rojo Ramírez. 2017. Socioemotional wealth’s implications in
the calculus of the minimum rate of return required by family businesses’ owners. Review of Managerial
Science 11:1, 95-118. [Crossref]
245. Numan Ülkü. 2017. Monday effect in Fama–French’s RMW factor. Economics Letters 150, 44-47.
[Crossref]
246. Richard C. Thompson, Yi Su, Gunnar Lucko. 2017. Measuring Project Performance Inspired by
Stock Index. Procedia Engineering 196, 706-713. [Crossref]
247. Ricardo G. Barcelona. Doing the Managerial Flexibility Maths 455-472. [Crossref]
248. Arun Muralidhar, Robert Savickas, Tzu-Jui Mao. 2017. Asset Pricing Anomalies: Two Hedge Factors
with Negative Risk Premia Embedded in Portfolios!. SSRN Electronic Journal . [Crossref]
249. Pablo Fernandez. 2017. Finanzas y Economma Financiera (Finance and Financial Economics). SSRN
250. Pablo Fernandez. 2017. Finance and Financial Economics: A Debate About Common Sense and
Illogical Models. SSRN Electronic Journal . [Crossref]
251. Kulab Jamar. 2017. Property Funds and REITs in Thailand: A CAPM Investigation. SSRN Electronic
252. Ming Li Chew, Sahil Puri. 2017. Using Natural Language Processing Techniques for Stock Return
Predictions. SSRN Electronic Journal . [Crossref]
253. Gevorg Hunanyan. 2017. The Systematic Risk of Short-Sale Restrictions. SSRN Electronic Journal
. [Crossref]
254. Mike Ward, Chris Muller, Pravin Semnarayan. 2017. Negative Investment Returns in a Developing
Market Context. SSRN Electronic Journal . [Crossref]
255. Eben Otuteye. 2017. Re-Evaluating the Value of Modern Portfolio Theory and Asset Pricing Models
Based on Behavioral Insights from Benjamin Graham's Value Investing Paradigm. SSRN Electronic
256. Min Deng. 2017. Death of the Capital Asset Pricing Model. SSRN Electronic Journal . [Crossref]
257. Eben Otuteye, Mohammad Siddiquee. 2017. A Critique of Modern Portfolio Theory and Asset
Pricing Models Based on Behavioral Insights from Benjamin Graham's Value Investing Paradigm.
258. Jose Maria Diez Esteban, Conrado DiegoGarcca-GGmez, FFlix J. LLpez-Iturriaga, Marcos
Santamarra-Mariscal. 2017. Corporate Risk-Taking, Returns and the Nature of Major Shareholders:
Evidence from Prospect Theory. SSRN Electronic Journal . [Crossref]
259. Samuel Johnson, David Tuckett. 2017. Narrative Decision-Making in Investment Choices: How
Investors Use News About Company Performance. SSRN Electronic Journal . [Crossref]
260. Johnny Kang, Tom B. Parker, Scott Radell, Ralph Smith. 2017. Reach for Safety. SSRN Electronic
261. Eben Otuteye, Mohammad Siddiquee. 2017. Buffett's Alpha: Further Explanations from Behavioral
Value Investing Perspective. SSRN Electronic Journal . [Crossref]
262. Imran Riaz Malik, Attaullah Shah. 2017. Single Stock Futures and Their Impact on Risk
Characteristics of the Underlying Stocks: A Dynamic CAPM Approach. SSRN Electronic Journal .
[Crossref]
263. James Ming Chen. 2017. Baryonic Beta Dynamics: An Econophysical Model of Systematic Risk.
264. Yang Song. 2017. The Mismatch between Mutual Fund Scale and Skill. SSRN Electronic Journal .
[Crossref]
265. Antonio Amendola, Dennis Marco Montagna, Mario Maggi. 2017. Analysis of Equity β
Principal Components in Low Risk Framework: New Results and Prospectives. SSRN Electronic
266. Pieter Klaassen, Idzard van Eeghen. 2017. Bank Capital Allocation and Performance Management
under Multiple Capital Constraints. SSRN Electronic Journal . [Crossref]
Equality and LGBT Human Rights. SSRN Electronic Journal . [Crossref]
268. Gastón Silverio Milanesi. 2017. DESCUENTO DE FLUJO DE FONDOS E INFLACIÓN PARA
LA VALORACIÓN DE EMPRESAS EN DOS MONEDAS. Semestre Económico 20:44, 189-218.
[Crossref]
269. Emon Kalyan Chowdhury. 2017. Functioning of Fama-French Three-Factor Model in Emerging
Stock Markets: An Empirical Study on Chittagong Stock Exchange, Bangladesh. Journal of Financial
Risk Management 06:04, 352-363. [Crossref]
270. José Carlos de Souza Santos, Elias Cavalcante Filho. 2017. Investing on the CAPM Pricing Error.
Technology and Investment 08:01, 67-82. [Crossref]
271. Wei Liu, James W. Kolari. 2017. Do Multi-Factors Proxy More Efficient Market Indexes?. SSRN
272. Gaëlle Lenormand, Lionel Touchais. 2017. L’impact de l’IFRS 8 sur le coût des capitaux propres.
Management & Avenir 92:2, 133. [Crossref]
273. Prashant Das, Gabrielle Bodenmann. Minimizing the Cost of Capital in Hotel Investments 191-207.
[Crossref]
274. Arun Muralidhar. 2017. A Very Simple Goals - and Risk-Based Asset Pricing Model (or Asset Pricing
with Heterogeneous Investors). SSRN Electronic Journal . [Crossref]
275. Steven R. Ratner. 2017. Compensation for Expropriations in a World of Investment Treaties: Beyond
the Lawful/Unlawful Distinction. American Journal of International Law 111:1, 7-56. [Crossref]
276. Yehuda (Yud) Izhakian. 2017. Knight Meets Sharpe: Capital Asset Pricing under Ambiguity. SSRN
277. Daniel Andrei, Julien Cujean, Mungo Ivor Wilson. 2017. The Lost Capital Asset Pricing Model.
278. Seung C. Ahn, Alex R. Horenstein. 2017. Asset Pricing and Excess Returns Over the Market Return.
279. David J. Moore. 2016. A look at the actual cost of capital of US firms. Cogent Economics & Finance
4:1, 1233628. [Crossref]
280. Igor Deplano, Giovanni Squillero, Alberto Tonda. 2016. Anatomy of a portfolio optimizer under a
limited budget constraint. Evolutionary Intelligence 9:4, 125-136. [Crossref]
281. Eric Le Fur, Hachmi Ben Ameur, Benoit Faye. 2016. Time-Varying Risk Premiums in the Framework
of Wine Investment. Journal of Wine Economics 11:3, 355-378. [Crossref]
282. Mareike Hornung, Robert Luther, Peter Schuster. 2016. Retrievability bias in explaining the hurdle
rate premium puzzle. Journal of Applied Accounting Research 17:4, 440-455. [Crossref]
283. Remmer Sassen, Anne-Kathrin Hinze, Inga Hardeck. 2016. Impact of ESG factors on firm risk in
Europe. Journal of Business Economics 86:8, 867-904. [Crossref]
284. Marie-Claude Beaulieu, Marie-Hélène Gagnon, Lynda Khalaf. 2016. Less is more: Testing financial
integration using identification-robust asset pricing models. Journal of International Financial Markets,
Institutions and Money 45, 171-190. [Crossref]
285. Te-Feng Chen, San-Lin Chung, Wei-Che Tsai. 2016. Option-Implied Equity Risk and the Cross
Section of Stock Returns. Financial Analysts Journal 72:6, 42-55. [Crossref]
286. W. D. Chen, H. C. Li. 2016. Wavelet decomposition of heterogeneous investment horizon. Journal
of Economics and Finance 40:4, 714-734. [Crossref]
287. Brad M. Barber, Xing Huang, Terrance Odean. 2016. Which Factors Matter to Investors? Evidence
from Mutual Fund Flows. Review of Financial Studies 29:10, 2600-2642. [Crossref]
288. Nicholas G. Hall. Research and Teaching Opportunities in Project Management 329-388. [Crossref]
289. Thomas Lindner, Jakob Muellner, Jonas Puck. 2016. Cost of Capital in an International Context:
Institutional Distance, Quality, and Dynamics. Journal of International Management 22:3, 234-248.
[Crossref]
290. Richard J. Agnello. 2016. Do U.S. paintings follow the CAPM? Findings disaggregated by subject,
artist, and value of the work. Research in Economics 70:3, 403-411. [Crossref]
291. Celine Gimet, Sandra Montchaud. 2016. What Drives European Football Clubs’ Stock Returns and
Volatility?. International Journal of the Economics of Business 23:3, 351-390. [Crossref]
292. Robert F. Engle. 2016. Dynamic Conditional Beta. Journal of Financial Econometrics 14:4, 643-667.
[Crossref]
293. Rajesh H Acharya, Anver C Sadath. 2016. On the interaction between energy price and firm size in
Indian economy. OPEC Energy Review 40:3, 300-315. [Crossref]
294. Claes Fornell, Forrest V. Morgeson, G. Tomas M. Hult. 2016. Stock Returns on Customer Satisfaction
Do Beat the Market: Gauging the Effect of a Marketing Intangible. Journal of Marketing 80:5, 92-107.
[Crossref]
295. Paul Windolf. 2016. Riding the Bubble: Financial Market Crises in Twenty-Two OECD Countries.
Journal of Economic Issues 50:3, 788-813. [Crossref]
296. Won Kang, Jungsoon Shin. 2016. Derivation of Corporate Debt Pricing Model and Its Empirical
Implications. Asia-Pacific Journal of Financial Studies 45:3, 439-462. [Crossref]
297. SWARN CHATTERJEE, AMY HUBBLE. 2016. DAY-OF-THE-WEEK EFFECT IN US
BIOTECHNOLOGY STOCKS — DO POLICY CHANGES AND ECONOMIC CYCLES
MATTER?. Annals of Financial Economics 11:02, 1650008. [Crossref]
298. Syed Jawad Hussain Shahzad, Saniya Khalid, Saba Ameer. 2016. CAPM estimates: Can data frequency
and time period lend a hand?. International Journal of Financial Engineering 03:02, 1650018. [Crossref]
299. ##, ###. 2016. Why Do Some Asset Pricing Models Perform Poorly? Evidence from Irrationality,
Transaction Costs, and Missing Factors. Seoul Journal of Business 22:1, 1-64. [Crossref]
300. Mohammad Iftekhar Khan, Amit Banerji. 2016. Corporate Governance and Foreign Investment in
India. Indian Journal of Corporate Governance 9:1, 19-43. [Crossref]
301. Robert East. 2016. Bias in the evaluation of research methods. Marketing Theory 16:2, 219-231.
[Crossref]
302. Carmine De Franco, Bruno Monnier, Ksenya Rulik. 2016. Factor Exposure of Alternative Beta
Strategiesacross Market Regimes. The Journal of Index Investing 7:1, 78-91. [Crossref]
303. . Index 331-338. [Crossref]
304. . References 319-322. [Crossref]
305. Amabile Millani Rebeschini, Ricardo P. C. Leal. 2016. Stock Fund Returns and Macroeconomic
Variables in Brazil. Latin American Business Review 17:2, 139-161. [Crossref]
306. Christian Fieberg, Armin Varmaz, Thorsten Poddig. 2016. Covariances vs. characteristics: what does
explain the cross section of the German stock market returns?. Business Research 9:1, 27-50. [Crossref]
307. Mathijs Cosemans, Rik Frehen, Peter C. Schotman, Rob Bauer. 2016. Estimating Security Betas
Using Prior Information Based on Firm Fundamentals. Review of Financial Studies 29:4, 1072-1112.
[Crossref]
308. Iman Mirzadeh, Bjorn Birgisson. 2016. Evaluation of Highway Projects under Government Support
Mechanisms Based on an Option-Pricing Framework. Journal of Construction Engineering and
Management 142:4, 04015094. [Crossref]
310. Dawood Ashraf. 2016. Does Shari’ah Screening Cause Abnormal Returns? Empirical Evidence from
Islamic Equity Indices. Journal of Business Ethics 134:2, 209-228. [Crossref]
311. Marshall L. Stocker. 2016. The price of freedom: A Fama–French freedom factor. Emerging Markets
Review 26, 1-19. [Crossref]
312. Ton van den Bremer, Frederick van der Ploeg, Samuel Wills. 2016. The Elephant In The Ground:
Managing Oil And Sovereign Wealth. European Economic Review 82, 113-131. [Crossref]
313. Ran Leshem, Lisa R. Goldberg, Alan Cummings. 2016. Optimizing Value. The Journal of Portfolio
314. Ran Leshem, Lisa R Goldberg, Alan Cummings. 2016. Optimizing Value. The Journal of Portfolio
Management . [Crossref]
315. Pertti Lahdenperä. 2016. Preparing a framework for two-stage target-cost arrangement formulation.
International Journal of Managing Projects in Business 9:1, 123-146. [Crossref]
316. Nikodem Szumilo, Pascal Gantenbein, Werner Gleißner, Thomas Wiegelmann. 2016. Predicting
uncertainty: the impact of risk measurement on value of real estate portfolios. Journal of Property
Research 33:1, 1-17. [Crossref]
317. Jean-Luc Besson, Michel M. Dacorogna, Paolo de Martin, Michael Kastenholz, Michael Moller. How
Much Capital Does a Reinsurance Need? 235-253. [Crossref]
318. Arlie O. Petters, Xiaoying Dong. Capital Market Theory and Portfolio Risk Measures 151-208.
[Crossref]
319. Julius Hemminki, Vesa Puttonen. Fundamental Indexation in Europe 323-330. [Crossref]
320. Les Coleman. Current Paradigm: Neoclassical Investment Theory 15-28. [Crossref]
321. Mihály Ormos, Dusán Timotity. 2016. Generalized asset pricing: Expected Downside Risk-based
equilibrium modeling. Economic Modelling 52, 967-980. [Crossref]
322. Peter C. Dawson. 2016. Is Opportunity Cost Synonymous with Cost of Capital and Required Rate of
Return?: Untangling the Present Value Discount Rate. SSRN Electronic Journal . [Crossref]
323. Somayeh Moazeni. 2016. Risk-Averse Dynamic Arbitrage in Illiquid Markets. SSRN Electronic
324. John L. Glascock. 2016. The Asymmetric Conditional Beta-Return Relations of REITs. SSRN
325. Gregory Gadzinski, Markus Schuller, Andrea Vacchino. 2016. The Global Capital Stock. A Proxy for
the Unobservable Global Market Portfolio. SSRN Electronic Journal . [Crossref]
326. James Ming Chen. 2016. Baryonic Beta Dynamics: Splitting the Atom of Systematic Risk. SSRN
327. Paul Schneider, Christian Wagner, Josef Zechner. 2016. Low Risk Anomalies?. SSRN Electronic
328. Stefano Dova. 2016. From the CAPM to Fama-French: A Road Paved with Leverage. SSRN Electronic
329. Nadiyah Amatul Haq, Alvina Syafira Fauzia, Anggun Puspita Khoirunnisa. 2016. Promoting
Sustainable Financial System in Indonesia Towards SRI-KEHATI Index. SSRN Electronic Journal
. [Crossref]
330. Sabin Bikram Panta, Niranjan Phuyal, Rajesh Sharma, Gautam Vora. 2016. The Cross-Section of
Stock Returns: An Application of Fama-French Approach to Nepal. Modern Economy 07:02, 223-231.
[Crossref]
331. Nordine Abidi, Burcu Hacibedel, Mwanza Nkusu. 2016. Changing Times for Frontier Markets: A
Perspective from Portfolio Investment Flows and Financial Integration. IMF Working Papers 16:177,
1. [Crossref]
332. Elena N. Asparouhova, Peter Bossaerts. 2016. Competitive Off-Equilibrium: Theory and Experiment.
333. Iman MIRZADEH, Bjorn BIRGISSON. 2015. ACCOMMODATING ENERGY PRICE
VOLATILITY IN LIFE CYCLE COST ANALYSIS OF ASPHALT PAVEMENTS. JOURNAL
OF CIVIL ENGINEERING AND MANAGEMENT 22:8, 1001-1008. [Crossref]
334. David Geltner. 2015. Real Estate Price Indices and Price Dynamics: An Overview from an Investments
Perspective. Annual Review of Financial Economics 7:1, 615-633. [Crossref]
335. F. Echterling, B. Eierle, S. Ketterer. 2015. A review of the literature on methods of computing the
implied cost of capital. International Review of Financial Analysis 42, 235-252. [Crossref]
336. G. van Vuuren, R. Yacumakis. 2015. Hedge Fund Performance Evaluation Using the Kalman Filter.
Studies in Economics and Econometrics 39:3, 1-24. [Crossref]
337. Aris Spanos, Deborah G. Mayo. 2015. Error statistical modeling and inference: Where methodology
meets ontology. Synthese 192:11, 3533-3555. [Crossref]
338. Ozan Kocadağlı, Rıdvan Keskin. 2015. A novel portfolio selection model based on fuzzy goal
programming with different importance and priorities. Expert Systems with Applications 42:20,
6898-6912. [Crossref]
339. Gustavo A. Marrero, Luis A. Puch, Francisco J. Ramos-Real. 2015. Mean-variance portfolio methods
for energy policy risk management. International Review of Economics & Finance 40, 246-264.
[Crossref]
340. Fabian T. Lutzenberger. 2015. Multifactor Models and their Consistency with the ICAPM: Evidence
from the European Stock Market. European Financial Management 21:5, 1014-1052. [Crossref]
341. C. A. Valle, N. Meade, J. E. Beasley. 2015. Factor neutral portfolios. OR Spectrum 37:4, 843-867.
[Crossref]
342. F. Echterling, B. Eierle. 2015. Mean reversion adjusted betas used in business valuation practice: a
research note. Journal of Business Economics 85:7, 759-792. [Crossref]
343. Marcelo Sandoval, Santiago Grijalva. Future grid business model innovation: A prosumer-based cost-
benefit framework for valuation of Distributed Energy Resources 450-455. [Crossref]
346. Nazeeruddin Mohammad, Dawood Ashraf. 2015. The market timing ability and return performance
of Islamic equities: An empirical study. Pacific-Basin Finance Journal 34, 169-183. [Crossref]
347. Yasser Alhenawi. 2015. On the interaction between momentum effect and size effect. Review of
Financial Economics 26, 36-46. [Crossref]
348. Martin Širůček, Lukáš Křen. 2015. Application of Markowitz Portfolio Theory by Building Optimal
Portfolio on the US Stock Market. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
63:4, 1375-1386. [Crossref]
349. Harry S. Marmer. 2015. Fire! Fire! Is U.S. Low Volatility a Crowded Trade?. The Journal of Investing
24:3, 17-37. [Crossref]
351. Yannick Malevergne, Didier Sornette. Multi-moment Method for Portfolio Management: Generalised
Capital Asset Pricing Model in Homogeneous and Heterogeneous Markets 166-193. [Crossref]
352. K. J. Barnard, M. B. Bunting. 2015. Value and size investment strategies during the global financial
crisis: evidence from the South African equity market. South African Journal of Accounting Research
29:2, 177-196. [Crossref]
353. Richard A. Michelfelder. 2015. Empirical analysis of the generalized consumption asset pricing model:
Estimating the cost of capital. Journal of Economics and Business 80, 37-50. [Crossref]
354. Ruggiero Cavallo, R. Preston Mcafee, Sergei Vassilvitskii. 2015. Display Advertising Auctions with
Arbitrage. ACM Transactions on Economics and Computation 3:3, 1-23. [Crossref]
355. Seungho Baek, John F.O. Bilson. 2015. Size and value risk in financial firms. Journal of Banking &
Finance 55, 295-326. [Crossref]
356. Yuntaek Pae, Navid Sabbaghi. 2015. Equally weighted portfolios vs value weighted portfolios: Reasons
for differing betas. Journal of Financial Stability 18, 203-207. [Crossref]
357. Shweta Bajpai, Anil K. Sharma. 2015. An Empirical Testing of Capital Asset Pricing Model in India.
Procedia - Social and Behavioral Sciences 189, 259-265. [Crossref]
358. Roger Buckland, Julian Williams, Janice Beecher. 2015. Risk and regulation in water utilities: a cross-
country comparison of evidence from the CAPM. Journal of Regulatory Economics 47:2, 117-145.
[Crossref]
359. Lin Chen, Lu Qin, Hongquan Zhu. 2015. Opinion divergence, unexpected trading volume and stock
returns: Evidence from China. International Review of Economics & Finance 36, 119-127. [Crossref]
360. Philippe Bertrand, Vincent Lapointe. 2015. How performance of risk-based strategies is modified
by socially responsible investment universe?. International Review of Financial Analysis 38, 175-190.
[Crossref]
361. Hersh Shefrin. 2015. Investors' Judgments, Asset Pricing Factors and Sentiment. European Financial
362. Jan Bastin. 2015. Volatility Effect: An Application on the German Stock Market. Český finanční a
účetní časopis 2015:1, 36-54. [Crossref]
363. Peter C. Dawson. 2015. The capital asset pricing model in economic perspective. Applied Economics
47:6, 569-598. [Crossref]
364. Jan Doppegieter. The Capital Asset Pricing Model 1-4. [Crossref]
365. Virginie Coudert, Karine Hervé, Pierre Mabille. 2015. Internationalization Versus Regionalization in
the Emerging Stock Markets. International Journal of Finance & Economics 20:1, 16-27. [Crossref]
366. Dennis Schlegel. Background: Cost-of-Capital in the Finance Literature 9-70. [Crossref]
367. Marcus Schulmerich, Yves-Michel Leporcher, Ching-Hwa Eu. Modern Portfolio Theory and Its
Problems 101-173. [Crossref]
368. Cherry Muijsson, Ed Fishwick, Steve Satchell. The Low Beta Anomaly and Interest Rates 305-328.
[Crossref]
369. Maurício Vasconcellos Leão Lyrio, Wlademir Prates, Marcus Vinícius Andrade de Lima, Rogério João
Lunkes. 2015. Análise da implementação de uma estratégia de investimento em ações baseada em um
instrumento de apoio à decisão. Contaduría y Administración 60:1, 113-143. [Crossref]
370. Usman Ayub, Syed Zulfiqar Ali Shah, Qaisar Abbas. 2015. Robust analysis for downside risk in
portfolio management for a volatile stock market. Economic Modelling 44, 86-96. [Crossref]
371. Josanco Floreani, Maurizio Polato, Andrea Paltrinieri, Flavio Pichler. Credit Quality, Bank
Provisioning and Systematic Risk in Banking Business 1-34. [Crossref]
372. Federico Beltrame, Daniele Previtali, Luca Grassetti. The Estimation of Banks’ Cost of Capital
through the Capital at Risk Model: An Empirical Investigation across European Banks 35-65.
[Crossref]
373. Nuraini Ismail, Mohd Tahir Ismail, Samsul Ariffin Abdul Karim, Firdaus Mohamad Hamzah.
Modeling and forecasting the volatility of Islamic unit trust in Malaysia using GARCH model 050009.
[Crossref]
374. Sven Carlin. 2015. A Real Value Risk Estimation Model for an Emerging Market. SSRN Electronic
375. Todd Gerarden, Richard G. Newell, Robert N. Stavins. 2015. Assessing the Energy-Efficiency Gap.
376. Christian-Oliver Ewald, Pariya Salehi. 2015. Salmon Futures and the Fish Pool Market in the Context
of the CAPM and the Fama & French Three-Factor Model. SSRN Electronic Journal . [Crossref]
377. John Griffin. 2015. Risk Premia and Knightian Uncertainty in an Experimental Market Featuring a
Long-Lived Asset. SSRN Electronic Journal . [Crossref]
378. Danilo Tilloca. 2015. A Risk-Neutral Approach for the Evaluation of Commercial Loans. SSRN
379. Ran Leshem, Lisa R. Goldberg, Alan Cummings. 2015. Optimizing Value. SSRN Electronic Journal
. [Crossref]
380. Daniel Felix Ahelegbey. 2015. The Econometrics of Networks: A Review. SSRN Electronic Journal
. [Crossref]
381. Piotr Wisniewski. 2015. The Valuation of Social Media Public Companies: There Is a Method to
This Madness!. SSRN Electronic Journal . [Crossref]
382. MMrio Correia Fernandes. 2015. An Application of Risk-Return Metrics on Public-Private
Partnerships: The Case of Portuguese Road Sector. SSRN Electronic Journal . [Crossref]
383. Marc K. Chan, Simon Kwok. 2015. The Effect of Risk Sharing on Asset Prices: Natural Experiment
from the Chinese Stock Market Liberalization. SSRN Electronic Journal . [Crossref]
384. Christoph Becker, Wolfgang M. Schmidt. 2015. Value, Size, Momentum and the Average Correlation
of Stock Returns. SSRN Electronic Journal . [Crossref]
385. Brandes Institute. 2015. Redefining Risk and Return in Common Stock Investment. SSRN Electronic
386. Pablo Fernandez. 2015. CAPM: An Absurd Model. Business Valuation Review 34:1, 4-23. [Crossref]
387. Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf. 2015. Identification-Robust Factor
Pricing: Canadian Evidence. L'Actualité économique 91:1-2, 235-252. [Crossref]
388. Michael Olbrich, Tobias Quill, David J. Rapp. 2015. Business Valuation Inspired by the Austrian
School. Journal of Business Valuation and Economic Loss Analysis 10:1, 1-43. [Crossref]
389. Petros Messis, Achilleas Zapranis. 2014. Asset pricing with time-varying betas for stocks traded on
S&P 500. Applied Economics 46:36, 4508-4518. [Crossref]
390. Myuran Rajaratnam, Bala Rajaratnam, Kanshukan Rajaratnam. 2014. A novel equity valuation and
capital allocation model for use by long-term value-investors. Journal of Banking & Finance 49,
483-494. [Crossref]
391. Petros Messis, Achilleas Zapranis. 2014. Herding towards higher moment CAPM, contagion of
herding and macroeconomic shocks: Evidence from five major developed markets. Journal of Behavioral
and Experimental Finance 4, 1-13. [Crossref]
392. Claudio Morana. 2014. Insights on the global macro-finance interface: Structural sources of risk factor
fluctuations and the cross-section of expected stock returns. Journal of Empirical Finance 29, 64-79.
[Crossref]
393. Robin Zorzi, Bettina Friedl. 2014. The Optimal Hedge Ratio — An Analytical Decision Model
Considering Periodical Accounting Constraints. Review of Pacific Basin Financial Markets and Policies
17:04, 1450024. [Crossref]
394. Aidan Parkinson, Peter Guthrie. 2014. Evaluating the energy performance of buildings within a value
at risk framework with demonstration on UK offices. Applied Energy 133, 40-55. [Crossref]
395. Marek Kolodziej, Robert K. Kaufmann, Nalin Kulatilaka, David Bicchetti, Nicolas Maystre. 2014.
Crude oil: Commodity or financial asset?. Energy Economics 46, 216-223. [Crossref]
396. Janick Christian Mollet, Andreas Ziegler. 2014. Socially responsible investing and stock performance:
New empirical evidence for the US and European stock markets. Review of Financial Economics 23:4,
208-216. [Crossref]
397. Sangwon Suh, Wonho Song, Bong-Soo Lee. 2014. A new method for forming asset pricing factors
from firm characteristics. Applied Economics 46:28, 3463-3482. [Crossref]
398. Pei-Tha Gan. 2014. The precise form of financial integration: Empirical evidence for selected Asian
countries. Economic Modelling 42, 208-219. [Crossref]
399. Mario Filiasi, Giacomo Livan, Matteo Marsili, Maria Peressi, Erik Vesselli, Elia Zarinelli. 2014. On
the concentration of large deviations for fat tailed distributions, with application to financial data.
Journal of Statistical Mechanics: Theory and Experiment 2014:9, P09030. [Crossref]
400. Terry Benzschawel,, Liang Fu,, Austin Murphy. 2014. An Empirical Analysis of Segmented Pricing
of Bond Systematic Risk. Credit and Capital Markets – Kredit und Kapital 47:3, 439-464. [Crossref]
401. Carolin Fritzsche,, Lars Vandrei. 2014. Keiner will sie haben – Theoretische Ursachen für
Immobilienleerstand. Credit and Capital Markets – Kredit und Kapital 47:3, 465-483. [Crossref]
402. Mary E. Barth, Eric C. So. 2014. Non-Diversifiable Volatility Risk and Risk Premiums at Earnings
Announcements. The Accounting Review 89:5, 1579-1607. [Crossref]
403. Richard A. Michelfelder. 2014. Asset characteristics of solar renewable energy certificates: market
solution to encourage environmental sustainability. Journal of Sustainable Finance & Investment 4:3,
280-296. [Crossref]
404. J. Augusto Felício, Irina Ivashkovskaya, Ricardo Rodrigues, Anastasia Stepanova. 2014. Corporate
governance and performance in the largest European listed banks during the financial crisis. Innovar
24:53, 83-98. [Crossref]
405. Duc Hung Tran. 2014. Multiple corporate governance attributes and the cost of capital – Evidence
from Germany. The British Accounting Review 46:2, 179-197. [Crossref]
406. Urs von Arx, Andreas Ziegler. 2014. The effect of corporate social responsibility on stock
performance: new evidence for the USA and Europe. Quantitative Finance 14:6, 977-991. [Crossref]
407. Austin Murphy, Liang Fu, Terry Benzschawel. 2014. An Empirical Examination of Ex AnteEstimates
of the Market Risk Premium. The Journal of Investing 23:2, 51-58. [Crossref]
408. Debasish Majumder. 2014. Asset pricing for inefficient markets: Evidence from China and India. The
Quarterly Review of Economics and Finance 54:2, 282-291. [Crossref]
410. 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 42:3, 415-448. [Crossref]
411. Kao-Yi Shen, Min-Ren Yan, Gwo-Hshiung Tzeng. 2014. Combining VIKOR-DANP model for
glamor stock selection and stock performance improvement. Knowledge-Based Systems 58, 86-97.
[Crossref]
412. Madhu Acharyya, Chris Brady. 2014. Designing an Enterprise Risk Management Curriculum for
Business Studies: Insights From a Pilot Program. Risk Management and Insurance Review 17:1,
113-136. [Crossref]
413. Christoph Schwarzbach, Frederik Kunze, Norman Rudschuck, Torsten Windels. 2014. Stock
investments for German life insurers in the current low interest environment: more homework to do.
Zeitschrift für die gesamte Versicherungswissenschaft 103:1, 45-63. [Crossref]
414. Ekaterina Svetlova. 2014. Modelling Beyond Application: Epistemic and Non-epistemic Values in
Modern Science. International Studies in the Philosophy of Science 28:1, 79-98. [Crossref]
415. Katsiaryna Salavei Bardos, Dev Mishra. 2014. Financial restatements, litigation and implied cost of
equity. Applied Financial Economics 24:1, 51-71. [Crossref]
416. René Aïd. A Review of Optimal Investment Rules in Electricity Generation 3-40. [Crossref]
417. Stefan Behringer. Kennzahlen im Konzerncontrolling 89-132. [Crossref]
418. Nicholas Apergis, James E. Payne. 2014. Resurrecting the size effect: Evidence from a panel nonlinear
cointegration model for the G7 stock markets. Review of Financial Economics 23:1, 46-53. [Crossref]
419. Hersh Shefrin. Distinguishing Rationality and Bias in Prices: Implications from Judgments of Risk
and Expected Return 7-49. [Crossref]
420. Pablo Koch-Medina, Jan Wenzelburger. 2014. Equilibria in the CAPM with Nontradeable
Endowments. SSRN Electronic Journal . [Crossref]
421. Arun Muralidhar, Kazuhiko Ohashi, Sung Hwan Shin. 2014. The Relative Asset Pricing Model: The
Third Dimension. SSRN Electronic Journal . [Crossref]
422. Robert F. Engle. 2014. Dynamic Conditional Beta. SSRN Electronic Journal . [Crossref]
423. Ian Kaplan. 2014. Value Factors Do Not Forecast Returns for S&P 500 Stocks. SSRN Electronic
424. Marcio Andre Veras Machado, MMrcia Reis Machado. 2014. Liquidity and Asset Pricing: Evidence
from the Brazilian Market. SSRN Electronic Journal . [Crossref]
425. Myuran Rajaratnam, Christo J. Auret, Robert William Vivian. 2014. Bashing Barmy Banks:
Rethinking Bank Valuation Models Post the Global Financial Crisis (GFC). SSRN Electronic Journal
. [Crossref]
426. Abel Rodriguez, Ziwei Wang, Athanasios Kottas. 2014. Assessing Systematic Risk in the S&P500
Index between 2000 and 2011: A Bayesian Nonparametric Approach. SSRN Electronic Journal .
[Crossref]
427. Roberto Savona, Cesare Orsini. 2014. Taking the Right Course Navigating the ERC Universe. SSRN
428. William R. Pratt, Gokce Soydemir, Elena Bastida. 2014. Global Convergence of Health Care
Financing in OECD Countries: An Equilibrium Based Asset Pricing Approach. SSRN Electronic
429. Arun Muralidhar. 2014. Modern Prospect Theory: The Missing Link Between Modern Portfolio
Theory and Prospect Theory. SSRN Electronic Journal . [Crossref]
430. ZZlia Cazalet, Thierry Roncalli. 2014. Facts and Fantasies About Factor Investing. SSRN Electronic
431. Yasser Alhenawi. 2014. On the Interaction between Momentum Effect and Size Effect. SSRN
432. Paola De Santis, Carlo Drago. 2014. Systematic Risk Asymmetry of the American Real Estate
Securities: Some New Econometric Evidences. SSRN Electronic Journal . [Crossref]
433. David Geltner. 2014. Real Estate Price Indices and Price Dynamics: An Overview from an Investments
Perspective. SSRN Electronic Journal . [Crossref]
434. Siti Hajar Nadrah Mohamad Ghouse, Noryati Ahmad. 2014. Conceptual Paper of the Trading
Strategy: Dogs of the Dow Theory (Dod). SSRN Electronic Journal . [Crossref]
435. Lynda Khalaf. 2014. L’économétrie et l’évidence fallacieuse : erreurs et avancées. L'Actualité économique
90:1, 5. [Crossref]
436. Alfonso A. Rojo-Ramírez. 2014. Privately Held Company Valuation and Cost of Capital. Journal of
Business Valuation and Economic Loss Analysis 9:1, 1-21. [Crossref]
437. Stefan Lutz, Daniel Kleinfeldt. 2013. Risk as Determinant of Income and Cross-border Pricing of
Multinational Enterprises. Studies in Microeconomics 1:2, 185-212. [Crossref]
438. Andrew Walsh. 2013. Core–Satellite Strategies: Combining Stability and Opportunity in an ETF
Portfolio. The Journal of Index Investing 4:3, 50-53. [Crossref]
439. Andrés Mauricio Gómez Sánchez, José Gabriel Astaiza Gómez. 2013. Ciclo económico y prima por
riesgo en el mercado accionario colombiano. Ecos de Economía 17:37, 109-124. [Crossref]
440. Antonina Waszczuk. 2013. Do local or global risk factors explain the size, value and momentum
trading pay-offs on the Warsaw Stock Exchange?. Applied Financial Economics 23:19, 1497-1508.
[Crossref]
441. Shima Lashgari, Jurgita Antuchevičienė, Alireza Delavari, Omid Kheirkhah. 2013. BEYOND CAPM:
AN INNOVATIVE FACTOR MODEL TO OPTIMIZE THE RISK AND RETURN TRADE-
OFF. Journal of Business Economics and Management 15:4, 615-630. [Crossref]
442. Andreas Ehrenmann, Yves Smeers. 2013. Risk adjusted discounted cash flows in capacity expansion
models. Mathematical Programming 140:2, 267-293. [Crossref]
443. Bastiaan Pluijmers, Imke Hollander, Ramon Tol, Dimitris Melas. 2013. On the Commonality of
Characteristics of Managed Volatility Portfolios. The Journal of Investing 22:3, 86-98. [Crossref]
444. Stefan Lutz. 2013. Risk premia in multi-national enterprises. The North American Journal of Economics
and Finance 25, 293-305. [Crossref]
445. Markus Ampenberger, Thomas Schmid, Ann-Kristin Achleitner, Christoph Kaserer. 2013. Capital
structure decisions in family firms: empirical evidence from a bank-based economy. Review of
Managerial Science 7:3, 247-275. [Crossref]
446. YongHee Kim, MinChung Kim, John W. O'Neill. 2013. Advertising and Firm Risk: A Study of the
Restaurant Industry. Journal of Travel & Tourism Marketing 30:5, 455-470. [Crossref]
447. M.-C. Beaulieu, J.-M. Dufour, L. Khalaf. 2013. Identification-Robust Estimation and Testing of the
Zero-Beta CAPM. The Review of Economic Studies 80:3, 892-924. [Crossref]
448. Paulo Augusto P. Britto, Carlos Henrique Rocha. 2013. Determinação do valor da tarifa-leilão do
serviço de transporte de passageiros por ônibus: um modelo alternativo. Journal of Transport Literature
7:3, 177-191. [Crossref]
449. Will Gans, Beat Hintermann. 2013. Market Effects of Voluntary Climate Action by Firms: Evidence
from the Chicago Climate Exchange. Environmental and Resource Economics 55:2, 291-308. [Crossref]
450. Jaspal Singh, Kiranpreet Kaur. 2013. Testing the Performance of Graham’s Net Current Asset Value
Strategy in Indian Stock Market. Asia-Pacific Journal of Management Research and Innovation 9:2,
171-179. [Crossref]
451. John H. Hall, Wim Westerman. Basic Risk Adjustment Techniques in Capital Budgeting 215-239.
[Crossref]
452. Robert B. Durand, Rick Newby, Leila Peggs, Michelle Siekierka. 2013. Personality. Journal of
Behavioral Finance 14:2, 116-133. [Crossref]
453. Pertti Lahdenperä. 2013. Determining ‘the most economically advantageous tender’ based on capability
and fee-percentage criteria. Journal of Public Procurement 13:4, 409-446. [Crossref]
454. Nicholas C. Barberis. 2013. Thirty Years of Prospect Theory in Economics: A Review and Assessment.
Journal of Economic Perspectives 27:1, 173-196. [Abstract] [View PDF article] [PDF with links]
455. L. Peter Jennergren. 2013. Firm Valuation with Bankruptcy Risk. Journal of Business Valuation and
Economic Loss Analysis 8:1. . [Crossref]
456. Jian Zhou. 2013. Conditional market beta for REITs: A comparison of modeling techniques. Economic
Modelling 30, 196-204. [Crossref]
457. Imad A. Moosa. 2013. The Capital Asset Pricing Model (CAPM): The History of a Failed
Revolutionary Idea in Finance? Comments and Extensions. Abacus 49, 62-68. [Crossref]
458. Arun Muralidhar, Kazuhiko Ohashi, Sung Hwan Shin. 2013. LDI: Does it Turn CAPM into RAPM?.
459. Marcio Andre Veras Machado, Otavio Ribeiro de Medeiros. 2013. Does the Liquidity Effect Exist in
the Brazilian Stock Market?. SSRN Electronic Journal . [Crossref]
460. Argiro Svingou. 2013. Cross-Sectional Analysis of Stock Returns in Athens Stock Exchange for the
Period 2004-2011. SSRN Electronic Journal . [Crossref]
461. Issam S. Strub. 2013. Tail Hedging Strategies. SSRN Electronic Journal . [Crossref]
462. Gueorgui I. Kolev. 2013. Two Gold Return Puzzles. SSRN Electronic Journal . [Crossref]
463. Philippe Bertrand, Vincent Lapointe. 2013. Socially Responsible Investment Performance: Impacts of
Weighting by Capitalization. SSRN Electronic Journal . [Crossref]
464. Eben Otuteye, Mohammad Siddiquee. 2013. Redefining Risk: Propositions to Motivate a Re-
Examination of the Standard Risk vs. Return Relationship in Common Stock and Bond Portfolio
Management. SSRN Electronic Journal . [Crossref]
465. Sabine Elmiger. 2013. Can CRRA Preferences Explain CAPM-Anomalies in the Cross-Section of
Stock Returns?. SSRN Electronic Journal . [Crossref]
466. Deling Chen. 2013. Empirical Analysis of Stock Returns of Banks in China's A-Share Markets. SSRN
467. Muthucattu Thomas Paul, Fosuhene Akua Asarebea. 2013. Validity of the Capital Assets Pricing
Model: Evidence from the Indian Companies The NSE India. SSRN Electronic Journal . [Crossref]
468. Jialiu Lu. 2013. The CAPM: A Reformulation. SSRN Electronic Journal . [Crossref]
469. Kevin Kurt Robinson. 2013. Technical Analysis: Does Recent Market Data Substantiate the Efficient
Market Hypothesis?. SSRN Electronic Journal . [Crossref]
470. Peter C. Dawson. 2013. An Economic Analysis of the Competitive Risk-Return Paradigm. SSRN
471. Dinh Tran Ngoc Huy. 2013. The risk level of Vietnam non-banking investment and financial services
industry under financial leverage during and after the global crisis 2007-2011. Risk Governance and
Control: Financial Markets and Institutions 3:3, 48-55. [Crossref]
472. Nicolai Striewe, Nico Rottke, Joachim Zietz. 2013. The Impact of Institutional Ownership on REIT
Performance. Journal of Real Estate Portfolio Management 19:1, 17-30. [Crossref]
473. Joseph A. Cerniglia, Petter N. Kolm, Frank J. Fabozzi. Cross-Sectional Factor-Based Models and
Trading Strategies . [Crossref]
474. Hans Marius Eikseth, Snorre Lindset. 2012. Are taxes sufficient for CAPM rejection?. Applied
Economics Letters 19:18, 1813-1816. [Crossref]
475. Michael McKenzie, Ólan T. Henry. 2012. The determinants of short selling: evidence from the Hong
Kong equity market. Accounting & Finance 52, 183-216. [Crossref]
476. Mohamed El Hedi Arouri, Duc Khuong Nguyen, Kuntara Pukthuanthong. 2012. An international
CAPM for partially integrated markets: Theory and empirical evidence. Journal of Banking & Finance
36:9, 2473-2493. [Crossref]
477. Moshe Levy. 2012. On the Spurious Correlation Between Sample Betas and Mean Returns. Applied
Mathematical Finance 19:4, 341-360. [Crossref]
478. Feng-jun Liu. An examination of CAPM based on data from Shenzhen Stock Exchange 1560-1566.
[Crossref]
479. S. Maier, A. Street. Model for the economic feasibility of energy recovery from municipal solid waste
in Brazil 1-10. [Crossref]
480. Saumya Ranjan Dash, Jitendra Mahakud. 2012. Investor sentiment, risk factors and stock return:
evidence from Indian non‐financial companies. Journal of Indian Business Research 4:3, 194-218.
[Crossref]
481. Tony Chieh‐Tse Hou. 2012. Return persistence and investment timing decisions in Taiwanese
domestic equity mutual funds. Managerial Finance 38:9, 873-891. [Crossref]
482. Iftekhar Hasan, Heiko Schmiedel, Liang Song. 2012. Returns to Retail Banking and Payments.
Journal of Financial Services Research 41:3, 163-195. [Crossref]
483. Raul Leote de Carvalho, Xiao Lu, Pierre Moulin. 2012. Demystifying Equity Risk–Based Strategies:
A Simple Alpha plus Beta Description. The Journal of Portfolio Management 38:3, 56-70. [Crossref]
484. Xiao Lu, Pierre Moulin. 2012. Demystifying Equity Risk–Based Strategies: A Simple Alpha plus
Beta Description. The Journal of Portfolio Management 120308233706009. [Crossref]
485. Manfred Gilli, Enrico Schumann. 2012. Heuristic optimisation in financial modelling. Annals of
Operations Research 193:1, 129-158. [Crossref]
486. Amit Goyal. 2012. Empirical cross-sectional asset pricing: a survey. Financial Markets and Portfolio
487. Mohamed El Hedi Arouri, Philippe Foulquier. 2012. Financial market integration: Theory and
empirical results. Economic Modelling 29:2, 382-394. [Crossref]
488. Alexandros Kostakis, Kashif Muhammad, Antonios Siganos. 2012. Higher co-moments and asset
pricing on London Stock Exchange. Journal of Banking & Finance 36:3, 913-922. [Crossref]
489. Melih Madanoglu, Murat Kizildag, Ersem Karadag. 2012. Estimating Cost of Equity in the Restaurant
Industry: What IS Your Required Rate of Return?. The Journal of Hospitality Financial Management
20:1, 57-74. [Crossref]
490. Roger Dayala. 2012. The Capital Asset Pricing Model: A Fundamental Critique. Business Valuation
Review 31:1, 23-34. [Crossref]
491. Konstantinos A. Chrysafis. 2012. Corporate investment appraisal with possibilistic CAPM.
Mathematical and Computer Modelling 55:3-4, 1041-1050. [Crossref]
492. Zhi Da, Re-Jin Guo, Ravi Jagannathan. 2012. CAPM for estimating the cost of equity capital:
Interpreting the empirical evidence. Journal of Financial Economics 103:1, 204-220. [Crossref]
493. Woraphon Wattanatorn, Termkiat Kanchanapoom. 2012. Oil Prices and Profitability Performance:
Sector Analysis. Procedia - Social and Behavioral Sciences 40, 763-767. [Crossref]
494. Fernando Gómez-Bezares, Luis Ferruz, María Vargas. 2012. Can we beat the market with beta? An
intuitive test of the CAPM. Spanish Journal of Finance and Accounting / Revista Española de Financiación
y Contabilidad 41:155, 333-352. [Crossref]
495. Mary E. Barth, Eric C. So. 2012. Non-Diversifiable Volatility Risk and Risk Premiums at Earnings
Announcements. SSRN Electronic Journal . [Crossref]
496. Giuseppe Marzo. 2012. A Theory-of-The-Firm Perspective on Discount Rates Formulation in
Investment Valuation. SSRN Electronic Journal . [Crossref]
497. Jun Yuan, Leonard MacLean, Kuan Xu, Yonggan Zhao. 2012. How Do Local Markets Respond to
Global Risk Factor Differently in Various Market Regimes? A Study of Country Exchange Traded
Funds. SSRN Electronic Journal . [Crossref]
498. Matthias Xaver Hanauer, Christoph Kaserer, Marc Steffen Rapp. 2012. Risikofaktoren und
Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the
German Stock Market). SSRN Electronic Journal . [Crossref]
499. Min Bai. 2012. Short-Selling Status and Asset-Pricing Models. SSRN Electronic Journal . [Crossref]
500. Mike Ward, Chris Muller. 2012. Empirical Testing of the CAPM on the Johannesburg Stock
Exchange. SSRN Electronic Journal . [Crossref]
501. M. Hashem Pesaran, Takashi Yamagata. 2012. Testing CAPM with a Large Number of Assets. SSRN
502. Zvika Afik, Yaron Lahav. 2012. Risk Transfer Valuation in Advance Pricing Agreements between
Multinational Enterprises and Tax Authorities. SSRN Electronic Journal . [Crossref]
503. Lord Mensah, R. K. Avuglah, Vincent Dedu. 2012. Asset Allocation on the Ghana Stock Exchange.
504. Gohar G. Stepanyan. 2012. Revisiting Firm Life Cycle Theory for New Directions in Finance. SSRN
505. Myuran Rajaratnam, Balakanapathy Rajaratnam, Kanshukan Rajaratnam. 2012. Mauling Mr. Market:
Valuing Equity Capital of Businesses by Long-Term Value-Investors. SSRN Electronic Journal .
[Crossref]
506. David Nanigian. 2012. Capitalizing on the Greatest Anomaly in Finance with Mutual Funds. SSRN
507. Saumya Ranjan Dash. 2012. Does Sentiment Risk Persist as Priced Risk Factor? A Multifactor
Approach for Stock Return. SSRN Electronic Journal . [Crossref]
508. Arun Muralidhar, Sung Hwan Shin. 2012. The Relative Asset Pricing Model Incorporating Liabilities
and Delegation to CIOs: Version 0.1. SSRN Electronic Journal . [Crossref]
509. Thierry Roncalli, Guillaume Weisang. 2012. Risk Parity Portfolios with Risk Factors. SSRN Electronic
510. Roman Brückner, Patrick Lehmann, Richard Stehle. 2012. In Germany the CAPM is Alive and Well.
511. Nicholas Barberis. 2012. Thirty Years of Prospect Theory in Economics: A Review and Assessment.
512. Fabian Echterling, Brigitte Eierle. 2012. Implied Cost of Capital Under Heterogeneous Expectations.
513. javed bin kamal. 2012. Optimal Portfolio Selection in Ex Ante Stock Price Bubble and Furthermore
Bubble Burst Scenario from Dhaka Stock Exchange with Relevance to Sharpe’s Single Index Model.
514. Juan Mascareñas. 2012. Gestión De Carteras Ii: Modelo De Valoración De Activos (Portfolio
Management II: Capital Asset Pricing Model). SSRN Electronic Journal . [Crossref]
515. Wilson N. Sy. 2012. Scale and Competition in Australian Superannuation. SSRN Electronic Journal
. [Crossref]
516. Yi-Jang Yu. 2012. The Asset Pricing System. Modern Economy 03:05, 473-480. [Crossref]
517. Stefan Lutz. 2012. Risk Premia in Multi-National Enterprises. SSRN Electronic Journal . [Crossref]
518. Bartley J. Madden. Applying a Systems Mindset to Stock Valuation 43-66. [Crossref]
520. Pauline M. Ahern, Frank J. Hanley, Richard A. Michelfelder. 2011. New approach to estimating
the cost of common equity capital for public utilities. Journal of Regulatory Economics 40:3, 261-278.
[Crossref]
521. Steve Keen. 2011. Debunking Macroeconomics. Economic Analysis and Policy 41:3, 147-167. [Crossref]
522. Akhilesh Chandra, Alan Reinstein. 2011. Investment appeal of small growth stocks. Advances in
Accounting 27:2, 308-317. [Crossref]
523. Mathijs A. van Dijk. 2011. Is size dead? A review of the size effect in equity returns. Journal of Banking
& Finance 35:12, 3263-3274. [Crossref]
524. A Charteris, B Strydom. 2011. An Examination of the Volatility of South African Risk-Free Rate
Proxies: A Component Garch Analysis. Studies in Economics and Econometrics 35:3, 49-64. [Crossref]
525. Andreas Ziegler, Timo Busch, Volker H. Hoffmann. 2011. Disclosed corporate responses to climate
change and stock performance: An international empirical analysis. Energy Economics 33:6, 1283-1294.
[Crossref]
526. Ajit Dayanandan, Han Donker. 2011. Oil prices and accounting profits of oil and gas companies.
International Review of Financial Analysis 20:5, 252-257. [Crossref]
527. Fengjun Liu. Can the Industry Index Become Another Market Variable? Empirical Evidence from the
Listed Banks in Shanghai Stock Exchange 315-319. [Crossref]
528. S. Paulo. 2011. The South African Companies Act of 2008 (SACA2008), and the Sarbanes‐Oxley Act
of 2002. International Journal of Law and Management 53:5, 340-354. [Crossref]
529. Gerald Spindler. 2011. Behavioural Finance and Investor Protection Regulations. Journal of Consumer
Policy 34:3, 315-336. [Crossref]
530. Liu Feng-jun, Li Fei. Empirical study of investment performance on listed banks from Shanghai Stock
Exchange based on one-quarter holding period 932-937. [Crossref]
531. Norliza Muhamad Yusof, Maheran Mohd. Jaffar. Predicting the credit risk through Merton model
162-166. [Crossref]
532. TAEJUN DAVID LEE, ERIC HALEY, TAI WOONG YUN, WONJUN CHUNG. 2011. US
Retirement Financial Services Advertising's Financial Information Provisions, Communication
Strategies and Judgmental Heuristic Cues. Journal of Consumer Affairs 45:3, 391-418. [Crossref]
533. Baibing Li, Xiangkang Yin. 2011. Information and capital asset pricing. The European Journal of
Finance 17:7, 505-523. [Crossref]
534. Cristian Diego Albuja, Fabio Gallo Garcia, Luiz Maurício Franco Moreiras, Elmo Tambosi Filho.
2011. Onde investir nos BRICS? Uma análise sob o prisma da organização industrial. Revista de
Administração de Empresas 51:4, 349-369. [Crossref]
535. Mohamed El Hedi Arouri. 2011. Does crude oil move stock markets in Europe? A sector investigation.
Economic Modelling 28:4, 1716-1725. [Crossref]
536. Konstantinos Kassimatis. 2011. Risk Aversion with Local Risk Seeking and Stock Returns: Evidence
from the UK Market. Journal of Business Finance & Accounting 38:5-6, 713-739. [Crossref]
537. Duc Hung Tran. 2011. Corporate Governance und Eigenkapitalkosten - Bestandsaufnahme
des Schrifttums unter besonderer Berücksichtigung des Informationsaspektes und
Forschungsperspektiven. Zeitschrift für Betriebswirtschaft 81:5, 551-585. [Crossref]
538. Tanja Hribernik, Uroš Vek. 2011. Mutual Fund Performance in Slovenia: An Analysis of Mutual
Funds with Investment Policies in Europe and the Energy Sector. South East European Journal of
Economics and Business 6:1, 61-69. [Crossref]
539. Simon Huston, Clive Warren, Peter Elliott. 2011. Elixir or delusion. Journal of Property Investment
541. Robert B. Durand, Yihui Lan, Andrew Ng. 2011. Conditional beta: Evidence from Asian emerging
markets. Global Finance Journal 22:2, 130-153. [Crossref]
542. Amir Amel-Zadeh. 2011. The Return of the Size Anomaly: Evidence from the German Stock Market.
European Financial Management 17:1, 145-182. [Crossref]
543. Michael A. Crain. 2011. A Literature Review of the Size Effect. SSRN Electronic Journal . [Crossref]
544. Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf. 2011. Identification-Robust Estimation
and Testing of the Zero-Beta CAPM. SSRN Electronic Journal . [Crossref]
545. Alfonso A. Rojo Rojo-Ramirez, Salvador Cruz-Rambaud Cruz-Rambaud, Juana Alonso Canadas.
2011. A Note on the Operating Return of a Company Under Modigliani-Miller Assumptions. SSRN
546. Lammertjan Dam, Pim Heijnen. 2011. Asset Pricing with Fixed Asset Supply. SSRN Electronic
547. Mohammad Ali Tareq, Saburo Horimoto. 2011. Can We Use Historical Mean Returns?. SSRN
548. Maria de Lourdes Trevino. 2011. Time Varying Arbitrage Pricing Factors in the Mexican Stock
Market. SSRN Electronic Journal . [Crossref]
549. Baitshepi Tebogo. 2011. Valuing Securities and Managing Portfolios Under Uncertainty: A Reminder
of the Underlying Assumptions. SSRN Electronic Journal . [Crossref]
550. Myuran Rajaratnam, Balakanapathy Rajaratnam, Kanshukan Rajaratnam. 2011. Murdering Mr.
Market: An Equity Valuation and Capital Allocation Model for Long-Term Value-Investors. SSRN
551. Linda H. Chen, Lucia Silva Gao. 2011. The Pricing of Climate Risk. SSRN Electronic Journal .
[Crossref]
552. Muhammad Hanif, Abubakar Javaid Dar. 2011. Comparative Testing of Capital Asset Pricing Model
(CAPM) and Shari’a Compliant Asset Pricing Model (SCAPM): Evidence from Karachi Stock
Exchange - Pakistan. SSRN Electronic Journal . [Crossref]
553. Tony Berrada, Reda Jürg Messikh, Gianluca Oderda, Olivier V. Pictet. 2011. Beta-Arbitrage
Strategies: When Do They Work, and Why?. SSRN Electronic Journal . [Crossref]
554. Alfonso A. Rojo Rojo-Ramirez, Juana Alonso Canadas, Salvador Cruz-Rambaud Cruz-Rambaud.
2011. Discount Rate and Cost of Capital: Some More about the Puzzle. SSRN Electronic Journal .
[Crossref]
555. Stefan Lutz. 2011. Simultaneous Determination of Market Value and Risk Premium in the Valuation
of Firms. SSRN Electronic Journal . [Crossref]
556. Nagendra Marisetty. 2011. An Empirical Study on CAPM with Respect to NSE NIFTY Stocks.
557. Martin Grandes, Demian T. Panigo, Ricardo A. Pasquini. 2010. On the estimation of the cost of
equity in Latin America. Emerging Markets Review 11:4, 373-389. [Crossref]
558. Young-Soon Hwang, Hong-Ghi Min, Judith A. McDonald, Hwagyun Kim, Bong-Han Kim. 2010.
Using the credit spread as an option-risk factor: Size and value effects in CAPM. Journal of Banking
559. Ravi Jagannathan, Ernst Schaumburg, Guofu Zhou. 2010. Cross-Sectional Asset Pricing Tests.
Annual Review of Financial Economics 2:1, 49-74. [Crossref]
560. Maria Elena De Giuli, Mario Alessandro Maggi, Claudia Tarantola. 2010. Bayesian outlier detection in
Capital Asset Pricing Model. Statistical Modelling: An International Journal 10:4, 375-390. [Crossref]
561. Yash Pal Taneja. 2010. Revisiting Fama French Three-Factor Model in Indian Stock Market. Vision:
The Journal of Business Perspective 14:4, 267-274. [Crossref]
562. Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf. 2010. Asset-pricing anomalies and
spanning: Multivariate and multifactor tests with heavy-tailed distributions. Journal of Empirical
Finance 17:4, 763-782. [Crossref]
563. Olivier Brandouy, Walter Briec, Kristiaan Kerstens, Ignace Van de Woestyne. 2010. Portfolio
performance gauging in discrete time using a Luenberger productivity indicator. Journal of Banking
564. S. Paulo. 2010. The United Kingdom's Companies Act of 2006 and the capital asset pricing model.
International Journal of Law and Management 52:4, 253-264. [Crossref]
565. Chen Jianbao, Xu Yanping, Cheng Tingting. Quantile Regression Analysis of Cross-Section Returns
in Chinese Stock Market 169-172. [Crossref]
566. Christophe Schinckus. 2010. Semiotics of Financial Marketplace. Journal of Interdisciplinary Economics
22:4, 317-333. [Crossref]
567. Erlend Kvaal. 2010. The Discount Rate of IAS 36 – A Comment. Accounting in Europe 7:1, 87-95.
[Crossref]
568. Shinn-Shyr Wang, Kyle W. Stiegert, Tirtha P. Dhar. 2010. Strategic Pricing Behavior under Asset
Value Maximization. Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie
58:2, 151-170. [Crossref]
569. S. Paulo. 2010. The UK Companies Act of 2006 and the Sarbanes‐Oxley Act of 2002. International
Journal of Law and Management 52:3, 173-181. [Crossref]
570. Kurt Niquidet. 2010. Equity pricing in the forest sector: evidence from North American stock markets.
Canadian Journal of Forest Research 40:5, 943-952. [Crossref]
571. Michail Koubouros, Dimitrios Malliaropulos, Ekaterini Panopoulou. 2010. Long-run cash flow and
discount-rate risks in the cross-section of US returns. The European Journal of Finance 16:3, 227-244.
[Crossref]
572. JEFFREY A. BUSSE, AMIT GOYAL, SUNIL WAHAL. 2010. Performance and Persistence in
Institutional Investment Management. The Journal of Finance 65:2, 765-790. [Crossref]
573. S. Paulo. 2010. Hamada's equation, the Sarbanes‐Oxley Act of 2002 and the UK Companies Act of
2006. International Journal of Law and Management 52:1, 54-63. [Crossref]
574. Caroline Fohlin, Steffen Reinhold. 2010. Common stock returns in the pre-WWI Berlin Stock
Exchange. Cliometrica 4:1, 75-96. [Crossref]
575. Frank Sortino. The Big Picture 1-12. [Crossref]
576. Cherif Guermat, Mark C. Freeman. 2010. A net beta test of asset pricing models. International Review
of Financial Analysis 19:1, 1-9. [Crossref]
577. Knut Sandberg Eriksen, Svenn Jensen. 2010. The cost of second best pricing and the value of risk
premium. Research in Transportation Economics 30:1, 29-37. [Crossref]
578. Herbert Kalthoff, Uwe Vormbusch. Representing and Modelling: The Case of Portfolio Management
174-188. [Crossref]
579. Syou-Ching Lai, Hung-Chih Li, James A. Conover, Frederick Wu. O-score financial distress risk
asset pricing 51-94. [Crossref]
580. Haim Levy. 2010. The CAPM is Alive and Well: A Review and Synthesis. European Financial
581. Mathijs Cosemans, Rik G. P. Frehen, Peter C. Schotman, Rob Bauer. 2010. Estimating Security Betas
Using Prior Information Based on Firm Fundamentals. SSRN Electronic Journal . [Crossref]
582. Reda Jürg Messikh, Gianluca Oderda. 2010. A Proof of the Outperformance of Beta Arbitrage
Strategies. SSRN Electronic Journal . [Crossref]
583. Kenneth Monroe Norton, MBA, DBA, Pan G. Yatrakis. 2010. The Effects of Cultural Differences
on Knowledge Assets and U.S. MNCS' Firms Value: A Three-Valuation Model Approach. SSRN
584. Matthias Thomas, Daniel Piazolo, Sebastian Michael Gläsner. 2010. Analyzing the Changing Risk and
Return Structure of German Open-Ended Funds Using Semivariance Based Performance Measures.
585. Zhi Da, Re J. Guo, Ravi Jagannathan. 2010. CAPM for Estimating the Cost of Equity Capital:
Interpreting the Empirical Evidence. SSRN Electronic Journal . [Crossref]
586. George Bragues. 2010. The Politics of Financial Markets: An Introductory Discussion. SSRN
587. Pierre Hereil, Philippe Mitaine, Nicolas Moussavi, Thierry Roncalli. 2010. Mutual Fund Ratings and
Performance Persistence. SSRN Electronic Journal . [Crossref]
588. S. Trevis Certo, Tim R. Holcomb, R. Michael Holmes. 2009. IPO Research in Management and
Entrepreneurship: Moving the Agenda Forward. Journal of Management 35:6, 1340-1378. [Crossref]
589. Christophe Schinckus. 2009. Economic uncertainty and econophysics. Physica A: Statistical Mechanics
and its Applications 388:20, 4415-4423. [Crossref]
590. Claes Fornell, Sunil Mithas, Forrest V. Morgeson. 2009. Commentary —The Economic and Statistical
Significance of Stock Returns on Customer Satisfaction. Marketing Science 28:5, 820-825. [Crossref]
591. Stefan Veith, Jörg R. Werner, Jochen Zimmermann. 2009. Capital market response to emission rights
returns: Evidence from the European power sector. Energy Economics 31:4, 605-613. [Crossref]
592. Moawia Alghalith. 2009. Alternative theory of asset pricing. Journal of Asset Management 10:2, 73-74.
[Crossref]
593. Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf. 2009. Finite sample multivariate tests
of asset pricing models with coskewness. Computational Statistics & Data Analysis 53:6, 2008-2021.
[Crossref]
594. Jean-Luc Besson, Michel M Dacorogna, Paolo de Martin, Michael Kastenholz, Michael Moller. 2009.
How Much Capital Does a Reinsurance Need?. The Geneva Papers on Risk and Insurance - Issues and
Practice 34:2, 159-174. [Crossref]
595. Ric Thomas, Robert Shapiro. 2009. Managed Volatility: A New Approach to Equity Investing. The
Journal of Investing 18:1, 15-23. [Crossref]
596. C. Emre Alper, Oya Pinar Ardic, Salih Fendoglu. 2009. THE ECONOMICS OF THE
UNCOVERED INTEREST PARITY CONDITION FOR EMERGING MARKETS. Journal of
Economic Surveys 23:1, 115-138. [Crossref]
597. Stuart Hyde, Mohamed Sherif. 2009. Tests of the conditional asset pricing model: further evidence
from the cross-section of stock returns. International Journal of Finance & Economics 5, n/a-n/a.
[Crossref]
598. Ekaterina Svetlova. Theoretical Models as Creative Resources in Financial Markets 121-135.
[Crossref]
599. Andreas Ziegler, Timo Busch, Volker H. Hoffmann. 2009. Corporate Responses to Climate Change
and Financial Performance: The Impact of Climate Policy. SSRN Electronic Journal . [Crossref]
600. Haim Levy. 2009. Behavioral Economics and Asset Pricing. SSRN Electronic Journal . [Crossref]
601. Markus Ampenberger, Thomas Schmid, Ann-Kristin Achleitner, Christoph Kaserer. 2009. Capital
Structure Decisions in Family Firms - Empirical Evidence from a Bank-Based Economy. SSRN
602. Pablo Fernandez. 2009. Betas Used by Professors: A Survey with 2,500 Answers. SSRN Electronic
603. Pablo Fernandez, Vicente J. Bermejo. 2009. Betas Used by Companies and Professors in Europe: A
Survey. SSRN Electronic Journal . [Crossref]
604. Marius Bausys. 2009. The Performance of Minimum Variance Portfolios in the Baltic Equity Markets.
605. Rafał Wolski. 2009. The Influence of Negative Beta Assets on the Empirical SML in the Polish
Capital Market. Folia Oeconomica Stetinensia 8:1, 140-153. [Crossref]
606. Sudipta Basu. 2008. Panel on Big Unanswered Questions in Accounting—Synopsis. Accounting
Horizons 22:4, 449-451. [Crossref]
607. Brian J. Jacobsen, Xiaochun Liu. 2008. China's segmented stock market: An application of
the conditional international capital asset pricing model. Emerging Markets Review 9:3, 153-173.
[Crossref]
608. Andy Lockett, Rory P. O'Shea, Mike Wright. 2008. The Development of the Resource-based View:
Reflections from Birger Wernerfelt 1. Organization Studies 29:8-9, 1125-1141. [Crossref]
609. Chyi Lin Lee, Jon Robinson, Richard Reed. 2008. Listed property trusts and downside systematic
risk sensitivity. Journal of Property Investment & Finance 26:4, 304-328. [Crossref]
610. Lerzan Aksoy, Bruce Cooil, Christopher Groening, Timothy L. Keiningham, Atakan Yalçın. 2008.
The Long-Term Stock Market Valuation of Customer Satisfaction. Journal of Marketing 72:4,
105-122. [Crossref]
611. D. Sornette, V.F. Pisarenko. 2008. Properties of a simple bilinear stochastic model: Estimation and
predictability. Physica D: Nonlinear Phenomena 237:4, 429-445. [Crossref]
612. Anusha Chari, Peter Blair Henry. 2008. Firm-specific information and the efficiency of investment.
Journal of Financial Economics 87:3, 636-655. [Crossref]
613. Fernando de Holanda Barbosa. 2008. Banco Nacional: jogo de Ponzi, PROER e FCVS. Revista de
Economia Política 28:1, 97-115. [Crossref]
614. Dimo Dimov, Gordon Murray. 2008. Determinants of the Incidence and Scale of Seed Capital
Investments by Venture Capital Firms. Small Business Economics 30:2, 127-152. [Crossref]
615. Julius Hemminki, Vesa Puttonen. 2008. Fundamental indexation in Europe. Journal of Asset
616. Herbert Kimura, Leonardo Cruz Basso, Eduardo Kazuo Kayo. 2008. The Interplay between Strategy
and Finance. SSRN Electronic Journal . [Crossref]
617. Hendri Adriaens, Bas Donkers, Bertrand Melenberg. 2008. The CAPM with Endogenous Beliefs.
618. Bartley J. Madden. 2008. Applying a Systems Mindset to Stock Valuation. SSRN Electronic Journal
. [Crossref]
619. Vanita Tripathi. 2008. Company Fundamentals and Equity Returns in India. SSRN Electronic Journal
. [Crossref]
620. Najah Attig, Omrane Guedhami, Dev R. Mishra. 2008. Multiple Large Shareholders, Control
Contests, and Implied Cost of Equity. SSRN Electronic Journal . [Crossref]
621. Peter Christoffersen, Kris Jacobs, Gregory Vainberg. 2008. Forward-Looking Betas. SSRN Electronic
622. Chyi Lee, Jon Robinson, Richard Reed. 2008. Downside Beta and the Cross-sectional Determinants
of Listed Property Trust Returns. Journal of Real Estate Portfolio Management 14:1, 49-62. [Crossref]
623. Ron Bird, Lorenzo Casavecchia. 2007. Sentiment and Financial Health Indicators for Value and
Growth Stocks: The European Experience. The European Journal of Finance 13:8, 769-793. [Crossref]
624. Michael J. Mauboussin. 2007. The Wisdom and Whims of the Collective. CFA Institute Conference
Proceedings Quarterly 24:4, 1-8. [Crossref]
625. Peter Blair Henry. 2007. Capital Account Liberalization: Theory, Evidence, and Speculation. Journal
of Economic Literature 45:4, 887-935. [Abstract] [View PDF article] [PDF with links]
626. Moshe Levy. 2007. Conditions for a CAPM equilibrium with positive prices. Journal of Economic
Theory 137:1, 404-415. [Crossref]
627. Gerhard Kristandl, Nick Bontis. 2007. The impact of voluntary disclosure on cost of equity capital
estimates in a temporal setting. Journal of Intellectual Capital 8:4, 577-594. [Crossref]
628. Sven Husmann, Andreas Stephan. 2007. On estimating an asset's implicit beta. Journal of Futures
Markets 27:10, 961-979. [Crossref]
629. Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf. 2007. Multivariate Tests of Mean–
Variance Efficiency With Possibly Non-Gaussian Errors. Journal of Business & Economic Statistics 25:4,
398-410. [Crossref]
630. Arvind Pai, David Geltner. 2007. Stocks Are from Mars, Real Estate Is from Venus. The Journal of
Portfolio Management 33:5, 134-144. [Crossref]
631. Maik Eisenbeiss, Göran Kauermann, Willi Semmler. 2007. Estimating Beta-Coefficients of German
Stock Data: A Non-Parametric Approach. The European Journal of Finance 13:6, 503-522. [Crossref]
632. Michael E. Drew, Alastair Marsden, Madhu Veeraraghavan. 2007. Does Idiosyncratic Volatility
Matter? New Zealand Evidence. Review of Pacific Basin Financial Markets and Policies 10:03, 289-308.
[Crossref]
633. Y. Malevergne, D. Sornette. 2007. Self-consistent asset pricing models. Physica A: Statistical Mechanics
and its Applications 382:1, 149-171. [Crossref]
634. Richard Saito, Rodrigo de Losso da Silveira Bueno. 2007. Fundamentos teóricos e empíricos de
apreçamento de ativos. Revista de Administração de Empresas 47:2, 81-85. [Crossref]
635. Robert R. Prechter, Wayne D. Parker. 2007. The Financial/Economic Dichotomy in Social Behavioral
Dynamics: The Socionomic Perspective. Journal of Behavioral Finance 8:2, 84-108. [Crossref]
636. Michail Koubouros, Ekaterini Panopoulou. 2007. Intertemporal Market Risks and the Cross–Section
of Greek Average Returns. Journal of Emerging Market Finance 6:2, 203-227. [Crossref]
637. Malcolm Baker, Jeffrey Wurgler. 2007. Investor Sentiment in the Stock Market. Journal of Economic
Perspectives 21:2, 129-151. [Abstract] [View PDF article] [PDF with links]
638. Beverly J. Hirtle, Kevin J. Stiroh. 2007. The return to retail and the performance of US banks. Journal
of Banking & Finance 31:4, 1101-1133. [Crossref]
639. Graham Bornholt. 2007. Extending the capital asset pricing model: the reward beta approach.
Accounting & Finance 47:1, 69-83. [Crossref]
640. Najet Rhaiem ., Saloua Ben Ammou ., Anouar Ben Mabrouk .. 2007. Estimation of Capital Asset
Pricing Model at Different Time Scales Application to French Stock Market. The International Journal
of Applied Economics and Finance 1:2, 79-87. [Crossref]
641. Roland Burgman, Göran Roos. 2007. The importance of intellectual capital reporting: evidence and
implications. Journal of Intellectual Capital 8:1, 7-51. [Crossref]
642. Yu Xiao. 2007. Chinese Stock Market Systematic Risk#An Empirical Study. SSRN Electronic Journal
. [Crossref]
643. Magdalena Morgese Borys. 2007. Testing Multi-Factor Asset Pricing Models in the Visegrad
Countries. SSRN Electronic Journal . [Crossref]
644. Peter Christoffersen, Kris Jacobs, Gregory Vainberg. 2007. Forward-Looking Betas. SSRN Electronic
645. Peter Blair Henry. 2007. Capital Account Liberalization: Theory, Evidence, and Speculation. SSRN
646. Joon Chae, Cheol Won Yang. 2007. Why an Asset Pricing Model Fails to Explain the Cross Section
of Stock Returns in the Korean Market'. SSRN Electronic Journal . [Crossref]
647. Malcolm P. Baker, Jeffrey A. Wurgler. 2007. Investor Sentiment in the Stock Market. SSRN Electronic
648. Martin Grandes. 2007. The Cost of Equity Beyond Capm: Evidence from Latin American Stocks
(1986-2004). SSRN Electronic Journal . [Crossref]
649. Baibing Li, Xiangkang Yin. 2007. Information and Capital Asset Pricing. SSRN Electronic Journal
. [Crossref]
650. Madhusudan Karmakar. 2007. Asymmetric Volatility and Risk-return Relationship in the Indian Stock
Market. South Asia Economic Journal 8:1, 99-116. [Crossref]
651. Kevin J. Stiroh. 2006. New Evidence on the Determinants of Bank Risk. Journal of Financial Services
Research 30:3, 237-263. [Crossref]
652. Christine A. Botosan. 2006. Disclosure and the cost of capital: what do we know?. Accounting and
Business Research 36:sup1, 31-40. [Crossref]
653. Holger Daske, Günther Gebhardt. 2006. Zukunftsorientierte Bestimmung von Risikoprämien
und Eigenkapitalkosten für die Unternehmensbewertung. Schmalenbachs Zeitschrift für
betriebswirtschaftliche Forschung 58:4, 530-551. [Crossref]
654. Michelle L. Barnes, Jose A. Lopez. 2006. Alternative measures of the Federal Reserve Banks’ cost of
equity capital. Journal of Banking & Finance 30:6, 1687-1711. [Crossref]
655. Holger Daske. 2006. Economic Benefits of Adopting IFRS or US-GAAP - Have the Expected Cost
of Equity Capital Really Decreased?. Journal of Business Finance <html_ent glyph="@amp;" ascii="&"/
> Accounting, ahead of print060428035417008. [Crossref]
656. Holger Daske. 2006. Economic Benefits of Adopting IFRS or US-GAAP - Have the Expected Cost
of Equity Capital Really Decreased?. Journal of Business Finance <html_ent glyph="@amp;" ascii="&"/
> Accounting 33:3-4, 329-373. [Crossref]
657. Holger Daske, Günther Gebhardt, Stefan Klein. 2006. Estimating the Expected Cost of Equity Capital
Using Analysts’ Consensus Forecasts. Schmalenbach Business Review 58:1, 2-36. [Crossref]
658. Graham N. Bornholt. 2006. Extending the CAPM: The Reward Beta Approach. SSRN Electronic
659. Graham N. Bornholt. 2006. Expected Utility and Mean-Risk Asset Pricing Models. SSRN Electronic
660. Peter L. Bernstein. 2005. Capital Ideas: From the Past to the Future. Financial Analysts Journal 61:6,
55-59. [Crossref]
661. Sudipta Basu. 2005. Discussion—The Effect of Risk on Price Responses to Unexpected Earnings.
Journal of Accounting, Auditing & Finance 20:4, 483-494. [Crossref]
662. Ho-Chuan (River) Huang *, Pei-Shan Wu. 2005. Tests of the CAPM with structural instability and
asymmetry. Applied Financial Economics Letters 1:5, 321-327. [Crossref]
663. Michelle L. Barnes, Jose A. Lopez. 2005. Alternative Measures of the Federal Reserve Banks' Cost
of Equity Capital. SSRN Electronic Journal . [Crossref]
664. Vijay Gondhalekar, C.R. Narayanaswamy, Sridhar Sundaram. The Long-Term Risk Effects of the
Gramm-Leach-Bliley Act (GLBA) on the Financial Services Industry 361-377. [Crossref]

Fama & French (CAPM)

Uploaded by

Copyright:

Available Formats

Fama & French (CAPM)

Uploaded by

Document Information

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Fama & French (CAPM)

Uploaded by

Copyright:

Available Formats

What is the capital asset pricing model and what are its main assumptions?

What is the capital asset pricing model and what are its main assumptions?

What are some of the empirical issues with the CAPM according to the authors?

What are some of the empirical issues with the CAPM according to the authors?

Journal of Economic Perspectives—Volume 18, Number 3—Summer 2004 —Pages 25– 46

The Capital Asset Pricing Model:

Eugene F. Fama and Kenneth R. French

y Eugene F. Fama is Robert R. McCormick Distinguished Service Professor of Finance,

The Logic of the CAPM

The CAPM builds on the model of portfolio choice developed by Harry

diate expected return with lower volatility. If there is no risk-free borrowing or

To obtain the mean-variance-efficient portfolios available with risk-free bor-

共Minimum Variance Condition for M兲 E共Ri 兲 ⫽ E共RZM 兲

Thus, ␤ iM is the covariance risk of asset i in M measured relative to the average

共Sharpe-Lintner CAPM兲 E共Ri 兲 ⫽ Rf ⫹ 关E共RM 兲 ⫺ Rf 兲]␤iM , i ⫽ 1, . . . , N.

␴ 2共R M 兲 ⫽ Cov共R M , R M 兲 ⫽ Cov 冉冘

premium for beta is positive. In contrast, in the Sharpe-Lintner version of the

Early Empirical Tests

Tests on Risk Premiums

E共R p 兲 ⫽ x ip E共R i 兲, and ␤pM ⫽ xip ␤pM .

Thus, the CAPM relation between expected return and beta,

E共R i 兲 ⫽ E共R f 兲 ⫹ 关E共R M 兲 ⫺ E共R f 兲兴 ␤ iM ,

holds when asset i is a portfolio, as well as when i is an individual security.

共Time-Series Regression兲 Rit ⫺ Rft ⫽ ␣i ⫹ ␤iM 共RMt ⫺ Rft 兲 ⫹ ␧it ,

is zero for each asset.

Testing Whether Market Betas Explain Expected Returns

a similar interpretation of the cross-section regression test of whether market betas

Explanations: Irrational Pricing or Risk

共Three-Factor Model兲 E共Rit 兲 ⫺ Rft ⫽ ␤iM 关E共RMt 兲 ⫺ Rft 兴

The Market Proxy Problem

y We gratefully acknowledge the comments of John Cochrane, George Constantinides, Richard

You might also like