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29.834  Articles
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Market efficiency implies stock prices fully reflect all publicly available information instantaneously and, thus, no investment strategies can systematically earn abnormal returns. However, market efficiency per se is not testable. In order to analyze wh... see more

A number of surveys reveal that a large number of analysts, valuation experts, investors, chief financial officers and finance academics employ the capital asset pricing model (CAPM) of Sharpe (1962) and Lintner (1965) to estimate the cost of equity. Ther... see more

AbstractSeveral studies of the Capital Asset Pricing Model (CAPM) in South Africa find that beta cannot explain returns. However, these studies do not consider the effect of bull and bear markets, yet over the period 1995-2009, excess market returns were ... see more

The creation of property investment funds in Colombia has made portfolio diversification possible by allowing parties to invest in the property sector without buying and managing real estate directly. In recent years, the behavior of these funds has ... see more

This study verifies the contribution of a structural break (if any) to CAPM models. Therefore, we used all the assets listed in Bovespa and New York Stock Exchange in monthly frequencies. Three famous structural breaks tests were used. The results show th... see more

The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to business cycle and estimated using Kalman filter. ... see more

This work investigates the ability of the conditional CAPM to explain anomalous returns related to momentum, size and book-to-market effects using Lewellen and Nagel’s (2006) methodology in the Brazilian stock market. To this end we studied a sample of Bo... see more

AbstractBackground: The Fama and French five-factor model (FF5M) is one of the stock valuation model that is on the cutting edge of finance research. Results from the empirical tests from various stock markets were the FFM5 has been tested since its launc... see more

In the classical finance theory, the CAPM models are developed using the Gaussian framework, that is, weassume the vector of returns can be modeled using the multivariate normal distribution. However, it is foundempirically that typically the financial da... see more

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