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2012, ISBN 9780521186513, xiii, 442
"Project Theory and the classical models in finance (e.g., the CAPM) seemingly contradict each other, creating a teachin and a research dilemma to professors... 
Capital asset pricing model | Capital assets pricing model
Book
Journal of Financial Economics, ISSN 0304-405X, 2006, Volume 82, Issue 3, pp. 631 - 671
Using a new measure of liquidity, this paper documents a significant liquidity premium robust to the CAPM and the Fama–French three-factor model and shows that... 
Trading speed | Liquidity premium | Liquidity factor | BUSINESS, FINANCE | trading speed | liquidity factor | liquidity premium | RETURNS | VOLUME | ECONOMICS | ILLIQUIDITY | CROSS-SECTION | STOCK | CONSUMPTION | Capital assets pricing model | Analysis | Liquidity (Finance) | Pricing
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 03/2017, Volume 123, Issue 3, pp. 441 - 463
Average stock returns for North America, Europe, and Asia Pacific increase with the book-to-market ratio ( ) and profitability and are negatively related to... 
Multifactor models | Dividend discount model | International asset pricing | PRICES | RISK | STOCK RETURNS | MARKET EQUILIBRIUM | BUSINESS, FINANCE | COSTS | GROWTH | INVESTMENT | ECONOMICS | EFFICIENCY | PORTFOLIO | EQUITY | Analysis | Business schools | Pricing | Studies | Profitability | CAPM | Investment
Journal Article
The Journal of Finance, ISSN 0022-1082, 10/2017, Volume 72, Issue 5, pp. 2131 - 2178
ABSTRACT We show that labor search frictions are an important determinant of the cross‐section of equity returns. Empirically, we find that firms with low... 
BUSINESS, FINANCE | CYCLICAL BEHAVIOR | EXPECTED STOCK RETURNS | JOB DESTRUCTION | INVESTMENT | SEARCH FRICTIONS | WAGE STICKINESS | ECONOMICS | CROSS-SECTION | EQUILIBRIUM UNEMPLOYMENT | SHOCKS | MARKET SEARCH | Studies | Capital assets | Economic models | Labor market | CAPM
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 01/2015, Volume 115, Issue 1, pp. 1 - 24
Survey evidence suggests that many investors form beliefs about future stock market returns by extrapolating past returns. Such beliefs are hard to reconcile... 
Expectations | Extrapolation | Predictability | Volatility | RARE DISASTERS | FINANCIAL-MARKETS | PRICES | LONG-RUN | PREMIUM | RISK | WEALTH | BUSINESS, FINANCE | ECONOMICS | CONSUMPTION | Stock markets | Analysis
Journal Article
2010, Applied stochastic methods series, ISBN 1848211597, Volume 2, 608
Book
The Journal of Economic Perspectives, ISSN 0895-3309, 08/2004, Volume 18, Issue 3, pp. 25 - 46
Journal Article
1979, Reprint series - Institute for Policy Analysis, University of Toronto, Volume no. 123, 327-337. --
Book
Journal of Monetary Economics, ISSN 0304-3932, 2010, Volume 57, Issue 4, pp. 377 - 390
The intertemporal capital asset pricing model of is examined using the dynamic conditional correlation (DCC) model of . The mean-reverting DCC model is used to... 
ICAPM | Dynamic conditional correlation | Risk aversion | ARCH | Risk factors | COVARIANCES | MARKET | RANGE-BASED ESTIMATION | RUN | CROSS-SECTION | BUSINESS, FINANCE | EXPECTED STOCK RETURNS | ECONOMICS | VOLATILITY | HETEROSKEDASTICITY | RISK PREMIUMS | ICAPM Dynamic conditional correlation ARCH Risk aversion Risk factors | Analysis | Models | Pricing | Capital asset pricing model
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 12/2015, Volume 61, pp. 117 - 126
This paper proposes using a functional coefficient regression technique to estimate time-varying betas and alpha in the conditional capital asset pricing model... 
Functional coefficient regression | Smoothly clipped absolute deviation penalty | Conditional capital asset pricing model | Variable selection | REGRESSION | CAPM | penalty | VARYING BETAS HELP | RETURNS | RISK | CROSS-SECTION | BUSINESS, FINANCE | Smoothly clipped absolute deviation | ECONOMICS | Analysis | Pricing
Journal Article
1978, Discussion paper / Maurice Falk Institute for Economic Research in Israel, Volume 787, 31, [13]
Book
03/2018, ISBN 9783319741918, 277
This text analyzes the verification of empirical asset pricing models when returns of securities are projected onto a set of presumed (or observed) factors.... 
Prices-Mathematical models | Capital Markets | Investment Appraisal | Finance | Risk Management | Rate of return | Capital assets pricing model | Securities
eBook
2017, 1st ed. 2017, Quantitative perspectives on behavioral economics and finance, ISBN 9783319634654, xvi, 287 pages
"This book rehabilitates beta as a definition of systemic risk by using particle physics to evaluate discrete components of financial risk. Much of the... 
Econophysics | Capital assets pricing model | Behavioral/Experimental Economics | Behavioral Finance | Finance | Economic Theory/Quantitative Economics/Mathematical Methods
Book
The Journal of Political Economy, ISSN 0022-3808, 12/2017, Volume 125, Issue 6, p. 1782
Young people would like to invest in equities, given the observed high equity premium. However, they are reluctant to reduce their current consumption in order... 
Human capital | Risk assessment | Time series | Equity | Moral hazard
Journal Article
European Journal of Operational Research, ISSN 0377-2217, 04/2014, Volume 234, Issue 2, pp. 508 - 517
The notion of drawdown is central to active portfolio management. Conditional Drawdown-at-Risk (CDaR) is defined as the average of a specified percentage of... 
Conditional drawdown-at-risk (CDaR) | Asset beta | Portfolio theory | Drawdown | Capital asset pricing model (CAPM) | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | MARKET | PORTFOLIO ANALYSIS | EQUILIBRIUM | RISK | GENERAL DEVIATION MEASURES | CONSTRAINT | Capital assets pricing model | Analysis | Databases | Pricing | Strategy | Markets | Operational research | Management | Optimization | Investment
Journal Article
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