2976:
2336:
the portfolio sufficiently diversified such that risk exposure is limited to systematic risk only. This number may vary depending on the way securities are weighted in a portfolio which alters the overall risk contribution of each security. For example, market cap weighting means that securities of companies with larger market capitalization will take up a larger portion of the portfolio, making it effectively less diversified. In developing markets a larger number of securities is required for diversification, due to the higher asset volatilities.
2608:...) In practice, such a market portfolio is unobservable and people usually substitute a stock index as a proxy for the true market portfolio. Unfortunately, it has been shown that this substitution is not innocuous and can lead to false inferences as to the validity of the CAPM, and it has been said that, due to the impossibility of observing the true market portfolio, the CAPM might not be empirically testable. This was presented in greater depth in a paper by
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2255:
2158:
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272:
36:
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133:
198:) and zero transaction costs (necessary for diversification to get rid of all idiosyncratic risk). Under these conditions, CAPM shows that the cost of equity capital is determined only by beta. Despite its failing numerous empirical tests, and the existence of more modern approaches to asset pricing and portfolio selection (such as
2655:
irrationality refers to the CAPM proclaimed ‘revision of prices’ resulting in identical discount rates for the (lower) amount of covariance risk only as for the (higher) amount of Total risk (i.e. identical discount rates for different amounts of risk. Roger’s findings have later been supported by Lai & Stohs.
194:. CAPM assumes a particular form of utility functions (in which only first and second moments matter, that is risk is measured by variance, for example a quadratic utility) or alternatively asset returns whose probability distributions are completely described by the first two moments (for example, the
2654:
Roger Dayala goes a step further and claims the CAPM is fundamentally flawed even within its own narrow assumption set, illustrating the CAPM is either circular or irrational. The circularity refers to the price of total risk being a function of the price of covariance risk only (and vice versa). The
1706:
is calculated using CAPM, we can compare this required rate of return to the asset's estimated rate of return over a specific investment horizon to determine whether it would be an appropriate investment. To make this comparison, you need an independent estimate of the return outlook for the security
2600:
The market portfolio consists of all assets in all markets, where each asset is weighted by its market capitalization. This assumes no preference between markets and assets for individual active and potential shareholders, and that active and potential shareholders choose assets solely as a function
2547:
The model assumes that the probability beliefs of active and potential shareholders match the true distribution of returns. A different possibility is that active and potential shareholders' expectations are biased, causing market prices to be informationally inefficient. This possibility is studied
2335:
away to smaller levels by including a greater number of assets in the portfolio (specific risks "average out"). The same is not possible for systematic risk within one market. Depending on the market, a portfolio of approximately 30–40 securities in developed markets such as the UK or US will render
2634:
CAPM assumes that all active and potential shareholders will consider all of their assets and optimize one portfolio. This is in sharp contradiction with portfolios that are held by individual shareholders: humans tend to have fragmented portfolios or, rather, multiple portfolios: for each goal one
2225:
Betas exceeding one signify more than average "riskiness"; betas below one indicate lower than average. Thus, a more risky stock will have a higher beta and will be discounted at a higher rate; less sensitive stocks will have lower betas and be discounted at a lower rate. Given the accepted concave
2444:
The CAPM assumes that the risk-return profile of a portfolio can be optimized—an optimal portfolio displays the lowest possible level of risk for its level of return. Additionally, since each additional asset introduced into a portfolio further diversifies the portfolio, the optimal portfolio must
1661:
It is a useful tool for determining if an asset being considered for a portfolio offers a reasonable expected return for its risk. Individual securities are plotted on the SML graph. If the security's expected return versus risk is plotted above the SML, it is undervalued since the investor can
1714:
Assuming that the CAPM is correct, an asset is correctly priced when its estimated price is the same as the present value of future cash flows of the asset, discounted at the rate suggested by CAPM. If the estimated price is higher than the CAPM valuation, then the asset is overvalued (and
2521:
Most practitioners and academics agree that risk is of a varying nature (non-constant). A critique of the traditional CAPM is that the risk measure used remains constant (non-varying beta). Recent research has empirically tested time-varying betas to improve the forecast accuracy of the
2525:
The model assumes that the variance of returns is an adequate measurement of risk. This would be implied by the assumption that returns are normally distributed, or indeed are distributed in any two-parameter way, but for general return distributions other risk measures (like
874:
352:
for any security in relation to that of the overall market. Therefore, when the expected rate of return for any security is deflated by its beta coefficient, the reward-to-risk ratio for any individual security in the market is equal to the market reward-to-risk ratio, thus:
2343:
on an asset, that is, the return that compensates for risk taken, must be linked to its riskiness in a portfolio context—i.e. its contribution to overall portfolio riskiness—as opposed to its "stand alone risk". In the CAPM context, portfolio risk is represented by higher
2530:) will reflect the active and potential shareholders' preferences more adequately. Indeed, risk in financial investments is not variance in itself, rather it is the probability of losing: it is asymmetric in nature as in the alternative safety-first asset pricing model.
2619:
The model assumes economic agents optimize over a short-term horizon, and in fact investors with longer-term outlooks would optimally choose long-term inflation-linked bonds instead of short-term rates as this would be more risk-free asset to such an
1423:
There has also been research into a mean-reverting beta often referred to as the adjusted beta, as well as the consumption beta. However, in empirical tests the traditional CAPM has been found to do as well as or outperform the modified beta models.
258:(1972) developed another version of CAPM, called Black CAPM or zero-beta CAPM, that does not assume the existence of a riskless asset. This version was more robust against empirical testing and was influential in the widespread adoption of the CAPM.
2517:
The traditional CAPM using historical data as the inputs to solve for a future return of asset i. However, the history may not be sufficient to use for predicting the future and modern CAPM approaches have used betas that rely on future risk
2237:, the market as a whole, by definition, has a beta of one. Stock market indices are frequently used as local proxies for the market—and in that case (by definition) have a beta of one. An investor in a large, diversified portfolio (such as a
2616:. However, others find that the choice of market portfolio may not be that important for empirical tests. Other authors have attempted to document what the world wealth or world market portfolio consists of and what its returns have been.
1656:
4152:. Unpublished manuscript. A final version was published in 1999, in Asset Pricing and Portfolio Performance: Models, Strategy and Performance Metrics. Robert A. Korajczyk (editor) London: Risk Books, pp. 15–22.
454:
731:
1319:
601:
1826:
1535:. The security market line can be regarded as representing a single-factor model of the asset price, where β is the exposure to changes in the value of the Market. The equation of the SML is thus:
1342:
Note 2: the risk free rate of return used for determining the risk premium is usually the arithmetic average of historical risk free rates of return and not the current risk free rate of return.
2544:
The model assumes that all active and potential shareholders have access to the same information and agree about the risk and expected return of all assets (homogeneous expectations assumption).
2623:
The model assumes just two dates, so that there is no opportunity to consume and rebalance portfolios repeatedly over time. The basic insights of the model are extended and generalized in the
1715:
undervalued when the estimated price is below the CAPM valuation). When the asset does not lie on the SML, this could also suggest mis-pricing. Since the expected return of the asset at time
2112:
1662:
expect a greater return for the inherent risk. And a security plotted below the SML is overvalued since the investor would be accepting less return for the amount of risk assumed.
2563:
The model does not appear to adequately explain the variation in stock returns. Empirical studies show that low beta stocks offer higher returns than the model would predict.
1025:
968:
2534:
have published some research on asset allocation with non-normal returns which shows that investors with very low risk tolerances should hold more cash than CAPM suggests.
716:
1187:
1135:
1063:
649:
1339:
Note 1: the expected market rate of return is usually estimated by measuring the arithmetic average of the historical returns on a market portfolio (e.g. S&P 500).
914:
1704:
497:
1517:(SML), which shows expected return as a function of β. The intercept is the nominal risk-free rate available for the market, while the slope is the market premium, E(
681:
2339:
A rational investor should not take on any diversifiable risk, as only non-diversifiable risks are rewarded within the scope of this model. Therefore, the required
2142:
1909:
1853:
2537:
Some investors prefer positive skewness, all things equal, which means that these investors accept lower returns when returns are positively skewed. For example,
1879:
1733:
1211:
1159:
1107:
1087:
4189:
4080:
Stone, Bernell K. (1970) Risk, Return, and
Equilibrium: A General Single-Period Theory of Asset Selection and Capital-Market Equilibrium. Cambridge: MIT Press.
3469:
5457:
2348:
i.e. less predictability. In other words, the beta of the portfolio is the defining factor in rewarding the systematic exposure taken by an investor.
2597:
The model assumes that there are no taxes or transaction costs, although this assumption may be relaxed with more complicated versions of the model.
2987:
Jansen, D. W., K.G. Koedijk and C. G. de Vries (2000), "Portfolio selection with limited downside risk," Journal of
Empirical Finance, 7, 247-269.
2604:
The market portfolio should in theory include all types of assets that are held by anyone as an investment (including works of art, real estate,
4088:
2552:, which uses psychological assumptions to provide alternatives to the CAPM such as the overconfidence-based asset pricing model of Kent Daniel,
1541:
2684:
2628:
348:(beta) to show how the market must price individual securities in relation to their security risk class. The SML enables us to calculate the
2222:
or discount rate—i.e. the rate at which future cash flows produced by the asset should be discounted given that asset's relative riskiness.
3513:
Campbell, J & Vicera, M "Strategic Asset
Allocation: Portfolio Choice for Long Term Investors". Clarendon Lectures in Economics, 2002.
2383:
2276:
2179:
1459:
1384:
293:
53:
100:
5434:
359:
17:
2601:
of their risk-return profile. It also assumes that all assets are infinitely divisible as to the amount which may be held or transacted.
72:
5338:
4182:
3500:
869:{\displaystyle \beta _{i}={\frac {\mathrm {Cov} (R_{i},R_{m})}{\mathrm {Var} (R_{m})}}=\rho _{i,m}{\frac {\sigma _{i}}{\sigma _{m}}}}
247:
3565:
Breeden, Douglas (September 1979). "An intertemporal asset pricing model with stochastic consumption and investment opportunities".
2590:
a strategy for reliably beating the market). The puzzling empirical relationship between risk and return is also referred to as the
79:
2445:
comprise every asset, (assuming no trading costs) with each asset value-weighted to achieve the above (assuming that any asset is
2327:
which is also known as idiosyncratic risk or diversifiable risk. Systematic risk refers to the risk common to all securities—i.e.
3103:
Daniel, Kent D.; Hirshleifer, David; Subrahmanyam, Avanidhar (2001). "Overconfidence, Arbitrage, and
Equilibrium Asset Pricing".
1223:
505:
1738:
2679:
2646:
Empirical tests show market anomalies like the size and value effect that cannot be explained by the CAPM. For details see the
5038:
4980:
4175:
3518:
2957:
2866:
2841:
86:
4420:
68:
3923:(1965). "The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets".
2690:
2647:
2586:
but makes CAPM wrong), or it is irrational (which saves CAPM, but makes the EMH wrong – indeed, this possibility makes
3353:
Stambaugh, Robert (1982). "On the exclusion of assets from tests of the two-parameter model: A sensitivity analysis".
2490:
Deal with securities that are all highly divisible into small parcels (All assets are perfectly divisible and liquid).
2409:
2302:
2205:
1917:
1485:
1410:
319:
119:
2391:
2284:
2187:
1467:
1392:
301:
5508:
4445:
2230:, the CAPM is consistent with intuition—investors (should) require a higher return for holding a more risky asset.
340:
The CAPM is a model for pricing an individual security or portfolio. For individual securities, we make use of the
3171:
Baltussen, Guido; van Vliet, Bart; van Vliet, Pim (2024-06-11). "The Cross-Section of Stock
Returns before CRSP".
2711:
2513:
argue that "the failure of the CAPM in empirical tests implies that most applications of the model are invalid".
3476:
5523:
3415:
Doeswijk, Ronald; Lam, Trevin; Swinkels, Laurens (2014). "The global multi-asset market portfolio, 1960-2012".
2387:
2280:
2183:
1463:
1388:
297:
57:
4439:
203:
5477:
5312:
4922:
4862:
4658:
4564:
3824:, pp. 79–121 in M. Jensen ed., Studies in the Theory of Capital Markets. New York: Praeger Publishers.
2541:
pay to take on more risk. The CAPM can be extended to include co-skewness as a priced factor, besides beta.
137:
3000:
4648:
4616:
4474:
4457:
4410:
2636:
2583:
1911:
using CAPM, sometimes called the certainty equivalent pricing formula, is a linear relationship given by
725:
93:
2742:
5528:
5513:
5011:
4433:
4427:
3450:
Doeswijk, Ronald; Lam, Trevin; Swinkels, Laurens (2019). "Historical returns of the market portfolio".
2669:
2640:
1510:-axis represents the expected return. The market risk premium is determined from the slope of the SML.
3686:
Fama, Eugene F.; French, Kenneth R. (1993). "Common Risk
Factors in the Returns on Stocks and Bonds".
3065:
5518:
5439:
5383:
5102:
5029:
4973:
4119:
2674:
2453:
2449:). All such optimal portfolios, i.e., one for each level of return, comprise the efficient frontier.
2332:
978:
921:
235:
165:
3700:
3614:
3380:
Ibbotson, Roger; Siegel, Lawrence; Love, Kathryn (1985). "World wealth: Market values and returns".
5276:
5146:
4822:
4497:
3737:
2664:
2372:
2265:
2168:
1448:
1373:
349:
282:
199:
688:
5378:
5286:
5281:
5245:
5142:
5106:
4776:
4637:
4532:
4415:
2706:
2437:
2376:
2269:
2219:
2172:
1452:
1377:
1346:
1165:
1113:
1066:
1035:
286:
239:
46:
2988:
2729:
612:
206:), the CAPM still remains popular due to its simplicity and utility in a variety of situations.
5388:
5185:
5058:
5034:
5019:
4664:
3732:
3695:
3609:
2701:
2591:
2557:
880:
4064:
3180:
1673:
466:
174:
The model takes into account the asset's sensitivity to non-diversifiable risk (also known as
5413:
5071:
5043:
5024:
4802:
4611:
2815:
2527:
2446:
3655:"Maslowian Portfolio Theory: An alternative formulation of the Behavioural Portfolio Theory"
2331:. Unsystematic risk is the risk associated with individual assets. Unsystematic risk can be
656:
5467:
5318:
5230:
5066:
5048:
4966:
4937:
4857:
4622:
4606:
4569:
4451:
4394:
4362:
4156:
3723:
Fama, Eugene F.; French, Kenneth R. (1992). "The Cross-Section of
Expected Stock Returns".
3194:
de Silva, Harindra (2012-01-20). "Exploiting the
Volatility Anomaly in Financial Markets".
2587:
2340:
2120:
1887:
1831:
1499:
341:
3276:
Blitz, David; Van Vliet, Pim; Baltussen, Guido (2019). "The volatility effect revisited".
2942:
Estimating Time-Varying Beta
Coefficients: An Empirical Study of US & ASEAN Portfolios
8:
5487:
5393:
5373:
5200:
5175:
4867:
4812:
4736:
4596:
4526:
4355:
4328:
4042:(1964). "Capital asset prices: A theory of market equilibrium under conditions of risk".
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195:
168:
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3547:
3432:
3397:
3293:
3258:
3148:
3131:
3046:
2743:"The Entrepreneur's Cost of Capital: Incorporating Downside Risk in the Buildup Method"
2695:
2624:
2613:
2549:
2433:
2423:
1718:
1196:
1190:
1144:
1138:
1092:
1072:
3768:
Dayala, Roger R.S. (2012). "The
Capital Asset Pricing Model: A Fundamental Critique".
5121:
5097:
5081:
4771:
4756:
4508:
4039:
3796:
3709:
3586:
3578:
3514:
3494:
3401:
3366:
3339:
3297:
3250:
3211:
3176:
3153:
3085:
3038:
2953:
2949:
2899:"Back to the Future Betas: Empirical Asset Pricing of US and Southeast Asian Markets"
2862:
2837:
2811:
2575:
2567:
2553:
219:
4073:
3639:
3262:
2975:(1952), "Safety-first and the holding of assets," Econometrica, 20, No. 3, 425-442.
728:
of the expected excess asset returns to the expected excess market returns, or also
5290:
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4792:
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3742:
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3574:
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3424:
3389:
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3335:
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3242:
3203:
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3112:
3081:
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3030:
2945:
2920:
2910:
2782:
2538:
2227:
4021:
The Capital Asset Pricing Model (CAPM), Short-sale Restrictions and Related Issues
3436:
5429:
5333:
5323:
5304:
5271:
5195:
5190:
5126:
5111:
4947:
4942:
4877:
4852:
4787:
4761:
4741:
4700:
4695:
4690:
4675:
4670:
4558:
4492:
4484:
4372:
4259:
4137:
4027:
3952:
2531:
2320:
2233:
Since beta reflects asset-specific sensitivity to non-diversifiable, i.e. market
345:
231:
215:
187:
175:
3903:, Journal of Investment Management, Vol. 1, No. 2, pp. 60–72. Available at
683:
is the risk-free rate of interest such as interest arising from government bonds
5328:
5308:
5076:
4902:
4897:
4797:
4782:
4543:
4538:
4503:
4302:
4269:
4215:
4207:
3976:
3849:
2510:
2457:
720:
191:
183:
157:
5502:
5403:
5368:
5294:
4766:
4751:
4726:
4680:
4632:
4335:
4292:
4279:
4230:
3781:
3254:
3231:"Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly"
3215:
3157:
3089:
3042:
2787:
2770:
2605:
2579:
2571:
2324:
255:
243:
3968:
3393:
3116:
1502:
graphs the results from the capital asset pricing model (CAPM) formula. The
5408:
5363:
5250:
5235:
5116:
4927:
4847:
4817:
4807:
4627:
4601:
4350:
4340:
4323:
4254:
4249:
4225:
3920:
3289:
3230:
2609:
2484:
Can lend and borrow unlimited amounts under the risk free rate of interest.
460:
223:
2472:
Aim to maximize economic utilities (Asset quantities are given and fixed).
1651:{\displaystyle \mathrm {SML} :E(R_{i})=R_{f}+\beta _{i}(E(R_{M})-R_{f}).~}
5240:
5180:
4932:
4912:
4892:
4887:
4832:
4721:
4653:
4084:
3828:
Black, F (1972). "Capital market equilibrium with restricted borrowing".
3428:
3246:
2506:
2328:
2238:
179:
3671:
3654:
3207:
2925:
2915:
2898:
2566:
Some data to this effect was presented as early as a 1969 conference in
136:
An estimation of the CAPM and the security market line (purple) for the
4989:
4917:
4837:
4514:
4377:
4159:(January–February 1982). "Does the capital asset pricing model work?".
4115:
4012:
3988:
3944:
3754:
3631:
3551:
3050:
3018:
1855:
is too low (the asset is currently undervalued), assuming that at time
227:
2496:
Assume all information is available at the same time to all investors.
5006:
4553:
4548:
4463:
4382:
3530:
Merton, R.C. (1973). "An Intertemporal Capital Asset Pricing Model".
2972:
2428:
5160:
4167:
4107:
4004:
3936:
3746:
3623:
3543:
3311:
Elton, E. J.; Gruber, M. J.; Brown, S. J.; Goetzmann, W. N. (2009).
3034:
2802:
French, Craig W. (2003). "The Treynor Capital Asset Pricing Model".
2740:
2361:
2254:
2157:
1437:
1362:
271:
156:) is a model used to determine a theoretically appropriate required
35:
4731:
4367:
3841:
3326:
Roll, R. (1977). "A Critique of the Asset Pricing Theory's Tests".
2886:(3. ed.). Harlow : Financial Times/Prentice Hall. p. 354.
2345:
449:{\displaystyle {\frac {E(R_{i})-R_{f}}{\beta _{i}}}=E(R_{m})-R_{f}}
3914:
3852:(1968). "Risk, Return and Equilibrium: Some Clarifying Comments".
1828:, a higher expected return than what CAPM suggests indicates that
4575:
3229:
Baker, Malcolm; Bradley, Brendan; Wurgler, Jeffrey (2010-12-22).
1513:
The relationship between β and required return is plotted on the
145:
3911:
Jack Treynor's 'Toward a Theory of Market Value of Risky Assets'
3600:
Shefrin, H.; Statman, M. (2000). "Behavioral Portfolio Theory".
2861:(7th International ed.). Boston: McGraw-Hill. p. 303.
4318:
4958:
3820:
Black, Fischer., Michael C. Jensen, and Myron Scholes (1972).
4241:
3102:
2730:
https://www.nobelprize.org/uploads/2018/06/sharpe-lecture.pdf
161:
3955:(1999). "The early history of portfolio theory: 1600–1960".
3170:
3001:"News and insight | Wealth Management | Barclays"
2741:
James Chong; Yanbo Jin; Michael Phillips (April 29, 2013).
2241:), therefore, expects performance in line with the market.
2234:
1314:{\displaystyle E(R_{i})-R_{f}=\beta _{i}(E(R_{m})-R_{f})\,}
596:{\displaystyle E(R_{i})=R_{f}+\beta _{i}(E(R_{m})-R_{f})\,}
132:
1821:{\displaystyle E(R_{t})={\frac {E(P_{t+1})-P_{t}}{P_{t}}}}
459:
The market reward-to-risk ratio is effectively the market
3310:
3064:
Post, Thierry; van Vliet, Pim; Levy, Haim (2008-07-01).
3904:
3275:
2582:. Either that fact is itself rational (which saves the
190:
of the market and the expected return of a theoretical
3722:
3685:
3019:"Skewness Preference and the Valuation of Risk Assets"
2771:"The Capital Asset Pricing Model: Theory and Evidence"
2478:
Are broadly diversified across a range of investments.
463:
and by rearranging the above equation and solving for
230:(1966) independently, building on the earlier work of
3822:
The Capital Asset Pricing Model: Some Empirical Tests
2944:. Research in Finance. Vol. 32. pp. 19–34.
2481:
Are price takers, i.e., they cannot influence prices.
2123:
1920:
1890:
1861:
1834:
1741:
1721:
1676:
1544:
1226:
1199:
1168:
1147:
1116:
1095:
1075:
1038:
981:
924:
883:
734:
691:
659:
615:
508:
469:
362:
499:, we obtain the capital asset pricing model (CAPM).
3981:
Fischer Black and the Revolutionary Idea of Finance
3449:
3414:
3228:
60:. Unsourced material may be challenged and removed.
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2136:
2106:
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1217:Restated, in terms of risk premium, we find that:
1205:
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1129:
1101:
1081:
1057:
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908:
868:
710:
675:
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491:
448:
3991:(1966). "Equilibrium in a Capital Asset Market".
3794:
3063:
3016:
2769:Fama, Eugene F; French, Kenneth R (Summer 2004).
2456:, the total risk of a portfolio can be viewed as
2147:
5500:
2764:
2762:
4150:Toward a Theory of Market Value of Risky Assets
4089:"Liquidity Preference as Behavior towards Risk"
3313:Modern portfolio theory and investment analysis
2856:
2631:(CCAPM) of Douglas Breeden and Mark Rubinstein.
2144:is the future price of the asset or portfolio.
2107:{\displaystyle P_{0}={\frac {1}{1+R_{f}}}\left}
1881:the asset returns to the CAPM suggested price.
3679:
3602:Journal of Financial and Quantitative Analysis
3599:
3196:CFA Institute Conference Proceedings Quarterly
344:(SML) and its relation to expected return and
186:(β) in the financial industry, as well as the
4974:
4183:
3875:"The Cross-Section of Expected Stock Returns"
3132:"The Cross-Section of Expected Stock Returns"
3017:Kraus, Alan; Litzenberger, Robert H. (1976).
2759:
164:, to make decisions about adding assets to a
3130:Fama, Eugene F.; French, Kenneth R. (1992).
2827:
2825:
2487:Trade without transaction or taxation costs.
1709:fundamental or technical analysis techniques
5458:Alternative investment management companies
5435:Standards Board for Alternative Investments
4155:
4144:. Vol. 95–209. Unpublished manuscript.
2857:Bodie, Z.; Kane, A.; Marcus, A. J. (2008).
2390:. Unsourced material may be challenged and
2283:. Unsourced material may be challenged and
2244:
2186:. Unsourced material may be challenged and
1466:. Unsourced material may be challenged and
1391:. Unsourced material may be challenged and
651:is the expected return on the capital asset
300:. Unsourced material may be challenged and
5483:
5339:Taxation of private equity and hedge funds
4981:
4967:
4190:
4176:
4034:. Hoboken, NJ: John Wiley & Sons, Inc.
4026:
3983:. Hoboken, NJ: John Wiley & Sons, Inc.
3872:
3652:
3129:
2903:International Journal of Financial Studies
2831:
2768:
2323:, also known as undiversifiable risk, and
1670:Once the expected/required rate of return
1506:-axis represents the risk (beta), and the
4063:
3951:
3890:
3873:Fama, Eugene F.; French, Kenneth (1992).
3736:
3699:
3670:
3613:
3352:
3147:
2924:
2914:
2822:
2786:
2612:in 1977, and is generally referred to as
2410:Learn how and when to remove this message
2303:Learn how and when to remove this message
2206:Learn how and when to remove this message
1486:Learn how and when to remove this message
1411:Learn how and when to remove this message
1310:
592:
320:Learn how and when to remove this message
120:Learn how and when to remove this message
3975:
3193:
2427:
131:
4136:
3919:
3901:The Treynor Capital Asset Pricing Model
3795:Lai, Tsong-Yue; Stohs, Mark H. (2015).
3564:
3558:
3066:"Risk aversion and skewness preference"
2218:The CAPM returns the asset-appropriate
1427:
14:
5501:
4038:
4032:A History of the Theory of Investments
3987:
3767:
3529:
3499:: CS1 maint: archived copy as title (
2939:
2896:
2881:
2801:
2680:Chance-constrained portfolio selection
250:for this contribution to the field of
5039:fixed-income relative-value investing
4962:
4197:
4171:
4083:
3827:
3315:. John Wiley & Sons. p. 347.
2351:
182:), often represented by the quantity
3848:
3325:
2734:
2388:adding citations to reliable sources
2355:
2281:adding citations to reliable sources
2248:
2184:adding citations to reliable sources
2151:
1464:adding citations to reliable sources
1431:
1389:adding citations to reliable sources
1356:
916:is the expected return of the market
298:adding citations to reliable sources
265:
58:adding citations to reliable sources
29:
24:
4065:10.1111/j.1540-6261.1964.tb02865.x
4056:10.1111/j.1540-6261.1964.tb02865.x
3925:Review of Economics and Statistics
3892:10.1111/j.1540-6261.1992.tb04398.x
3866:10.1111/j.1540-6261.1968.tb02996.x
3149:10.1111/j.1540-6261.1992.tb04398.x
2627:(ICAPM) of Robert Merton, and the
2076:
2073:
2070:
1996:
1993:
1990:
1552:
1549:
1546:
800:
797:
794:
758:
755:
752:
25:
5540:
3801:International Journal of Business
2505:In their 2004 review, economists
2452:Because the unsystematic risk is
1352:
248:Nobel Memorial Prize in Economics
5482:
5473:
5472:
5463:
5462:
5453:
5452:
5159:
4446:Electronic communication network
3070:Journal of Banking & Finance
2950:10.1108/S0196-382120160000032002
2804:Journal of Investment Management
2775:Journal of Economic Perspectives
2360:
2253:
2156:
1665:
1436:
1361:
270:
34:
4988:
3915:http://ssrn.com/abstract=628187
3814:
3788:
3761:
3716:
3646:
3593:
3523:
3507:
3462:
3452:Review of Asset Pricing Studies
3443:
3408:
3382:Journal of Portfolio Management
3373:
3346:
3319:
3304:
3278:Journal of Portfolio Management
3269:
3222:
3187:
3164:
3123:
3096:
3057:
3010:
2993:
2981:
2966:
1020:{\displaystyle E(R_{i})-R_{f}~}
963:{\displaystyle E(R_{m})-R_{f}~}
45:needs additional citations for
4096:The Review of Economic Studies
4023:, Journal of Finance, 32 (177)
3688:Journal of Financial Economics
3567:Journal of Financial Economics
3355:Journal of Financial Economics
3328:Journal of Financial Economics
3082:10.1016/j.jbankfin.2006.02.008
2933:
2890:
2884:Corporate financial management
2875:
2850:
2795:
2723:
2691:Fama–French three-factor model
2648:Fama–French three-factor model
2493:Have homogeneous expectations.
2463:
2148:Asset-specific required return
2093:
2080:
2064:
2048:
2035:
2029:
2026:
2000:
1980:
1967:
1789:
1770:
1758:
1745:
1693:
1680:
1639:
1623:
1610:
1604:
1575:
1562:
1307:
1291:
1278:
1272:
1243:
1230:
998:
985:
941:
928:
900:
887:
817:
804:
788:
762:
632:
619:
589:
573:
560:
554:
525:
512:
486:
473:
430:
417:
382:
369:
331:
140:over 3 years for monthly data.
13:
1:
4440:Multilateral trading facility
2717:
2475:Are rational and risk-averse.
69:"Capital asset pricing model"
5313:security characteristic line
4863:Returns-based style analysis
4659:Post-modern portfolio theory
4565:Security characteristic line
4142:Market Value, Time, and Risk
3710:10.1016/0304-405X(93)90023-5
3579:10.1016/0304-405X(79)90016-3
3367:10.1016/0304-405X(82)90002-2
3340:10.1016/0304-405X(77)90009-5
2712:Roy's safety-first criterion
1345:For the full derivation see
711:{\displaystyle \beta _{i}~~}
209:
138:Dow Jones Industrial Average
7:
5301:Capital asset pricing model
5020:Capital structure arbitrage
4617:Efficient-market hypothesis
4521:Capital asset pricing model
4458:Straight-through processing
3659:Journal of Asset Management
2836:. Oxford University Press.
2658:
2637:behavioral portfolio theory
2584:efficient-market hypothesis
2500:
1182:{\displaystyle \sigma _{m}}
1130:{\displaystyle \sigma _{i}}
1058:{\displaystyle \rho _{i,m}}
214:The CAPM was introduced by
150:capital asset pricing model
18:Capital Asset Pricing Model
10:
5545:
5103:Commodity trading advisors
4434:Alternative Trading System
3957:Financial Analysts Journal
3417:Financial Analysts Journal
3235:Financial Analysts Journal
2990:. Retrieved June 20, 2021.
2978:. Retrieved June 20, 2021.
2832:Luenberger, David (1997).
2641:Maslowian portfolio theory
2421:
1711:, including P/E, M/B etc.
970:is sometimes known as the
644:{\displaystyle E(R_{i})~~}
261:
246:jointly received the 1990
204:Merton's portfolio problem
5448:
5440:Managed Funds Association
5422:
5384:High-net-worth individual
5356:
5264:
5218:
5209:
5168:
5157:
5135:
5090:
5057:
5005:
4996:
4709:
4584:
4483:
4403:
4311:
4278:
4239:
4205:
4148:Treynor, Jack L. (1962).
4019:Ross, Stephen A. (1977).
3913:(December). Available at
3909:French, Craig W. (2002).
3899:French, Craig W. (2003).
3770:Business Valuation Review
2675:Carhart four-factor model
909:{\displaystyle E(R_{m})~}
5277:Arbitrage pricing theory
4498:Arbitrage pricing theory
3782:10.5791/BVR-D-12-00001.1
3653:De Brouwer, Ph. (2009).
2788:10.1257/0895330042162430
2665:Arbitrage pricing theory
2245:Risk and diversification
1699:{\displaystyle E(R_{i})}
492:{\displaystyle E(R_{i})}
242:. Sharpe, Markowitz and
200:arbitrage pricing theory
5509:Financial risk modeling
5389:Institutional investors
5282:Assets under management
5107:managed futures account
4777:Initial public offering
4638:Modern portfolio theory
4533:Dividend discount model
4416:List of stock exchanges
4161:Harvard Business Review
3969:10.2469/faj.v55.n4.2281
3394:10.3905/jpm.1985.409036
3117:10.1111/0022-1082.00350
2940:French, Jordan (2016).
2897:French, Jordan (2016).
2707:Modern portfolio theory
2438:capital allocation line
1347:Modern portfolio theory
1326:individual risk premium
1069:between the investment
1067:correlation coefficient
1029:individual risk premium
240:modern portfolio theory
5414:Sovereign wealth funds
5186:High-frequency trading
5035:Fixed income arbitrage
4665:Random walk hypothesis
3290:10.3905/jpm.2019.1.114
3136:The Journal of Finance
3023:The Journal of Finance
2702:Low-volatility anomaly
2592:low-volatility anomaly
2558:Avanidhar Subrahmanyam
2528:coherent risk measures
2441:
2138:
2108:
1905:
1875:
1849:
1822:
1729:
1700:
1652:
1324:which states that the
1315:
1207:
1183:
1155:
1131:
1103:
1083:
1059:
1021:
964:
910:
870:
712:
677:
676:{\displaystyle R_{f}~}
645:
597:
493:
450:
141:
5524:Corporate development
5256:Structured securities
5072:Distressed securities
5044:Statistical arbitrage
5030:Equity market neutral
5025:Convertible arbitrage
4803:Market capitalization
4612:Dollar cost averaging
4157:Mullins Jr., David W.
3284:(1): jpm.2019.1.114.
2882:Arnold, Glen (2005).
2436:. CAL stands for the
2431:
2139:
2137:{\displaystyle P_{T}}
2109:
1906:
1904:{\displaystyle P_{0}}
1876:
1850:
1848:{\displaystyle P_{t}}
1823:
1730:
1701:
1653:
1316:
1208:
1184:
1156:
1132:
1104:
1084:
1060:
1027:is also known as the
1022:
965:
911:
871:
713:
678:
646:
598:
494:
451:
135:
27:Model used in finance
5374:Financial endowments
5319:Fundamental analysis
5067:Shareholder activism
5049:Volatility arbitrage
4623:Fundamental analysis
4607:Contrarian investing
4570:Security market line
4475:Liquidity aggregator
4452:Direct market access
4363:Quantitative analyst
3905:http://www.joim.com/
3429:10.2469/faj.v70.n2.1
3247:10.2469/faj.v67.n1.4
2588:volatility arbitrage
2447:infinitely divisible
2384:improve this section
2277:improve this section
2180:improve this section
2121:
1918:
1888:
1859:
1832:
1739:
1719:
1674:
1542:
1515:security market line
1460:improve this section
1428:Security market line
1385:improve this section
1224:
1197:
1166:
1145:
1114:
1093:
1073:
1036:
979:
922:
881:
732:
689:
657:
613:
506:
467:
360:
350:reward-to-risk ratio
342:security market line
294:improve this section
54:improve this article
5488:List of hedge funds
5478:Hedge fund managers
5394:Insurance companies
5379:Fund of hedge funds
5287:Black–Scholes model
5201:Proprietary trading
5176:Algorithmic trading
5143:Fund of hedge funds
4868:Reverse stock split
4813:Market manipulation
4737:Dual-listed company
4597:Algorithmic trading
4527:Capital market line
4329:Inter-dealer broker
3953:Markowitz, Harry M.
3797:"Yes, CAPM is dead"
3672:10.1057/jam.2008.35
3208:10.2469/cp.v29.n1.2
2916:10.3390/ijfs4030015
1874:{\displaystyle t+1}
1141:for the investment
252:financial economics
196:normal distribution
5344:Technical analysis
4908:Stock market index
4747:Efficient frontier
4686:Technical analysis
4644:Momentum investing
4466:(private exchange)
4356:Proprietary trader
4298:Shares outstanding
4288:Authorised capital
4044:Journal of Finance
4040:Sharpe, William F.
3879:Journal of Finance
3854:Journal of Finance
3725:Journal of Finance
3173:SSRN Working Paper
3105:Journal of Finance
2834:Investment Science
2696:Intertemporal CAPM
2625:intertemporal CAPM
2550:behavioral finance
2442:
2434:efficient frontier
2424:Efficient frontier
2352:Efficient frontier
2134:
2104:
1901:
1871:
1845:
1818:
1725:
1696:
1648:
1311:
1203:
1191:standard deviation
1179:
1151:
1139:standard deviation
1127:
1099:
1079:
1055:
1017:
960:
906:
866:
708:
673:
641:
593:
489:
446:
142:
5529:Management theory
5514:Financial markets
5496:
5495:
5352:
5351:
5155:
5154:
5122:Long/short equity
5098:Convergence trade
5082:Special situation
4956:
4955:
4757:Flight-to-quality
4509:Buffett indicator
4199:Financial markets
4140:(8 August 1961).
3519:978-0-19-829694-2
2959:978-1-78635-156-2
2868:978-0-07-125916-3
2843:978-0-19-510809-5
2568:Buffalo, New York
2554:David Hirshleifer
2420:
2419:
2412:
2325:unsystematic risk
2313:
2312:
2305:
2216:
2215:
2208:
2097:
1957:
1816:
1728:{\displaystyle t}
1647:
1496:
1495:
1488:
1421:
1420:
1413:
1206:{\displaystyle m}
1154:{\displaystyle i}
1102:{\displaystyle m}
1082:{\displaystyle i}
1016:
959:
905:
864:
821:
707:
704:
672:
640:
637:
409:
338:
337:
330:
329:
322:
220:William F. Sharpe
130:
129:
122:
104:
16:(Redirected from
5536:
5519:Financial models
5486:
5485:
5476:
5475:
5466:
5465:
5456:
5455:
5399:Investment banks
5246:Foreign exchange
5216:
5215:
5163:
5003:
5002:
4983:
4976:
4969:
4960:
4959:
4873:Share repurchase
4585:Trading theories
4470:Crossing network
4428:Over-the-counter
4265:Restricted stock
4221:Secondary market
4192:
4185:
4178:
4169:
4168:
4164:
4145:
4138:Treynor, Jack L.
4133:
4131:
4130:
4124:
4118:. Archived from
4093:
4077:
4067:
4035:
4028:Rubinstein, Mark
4016:
3984:
3972:
3948:
3896:
3894:
3869:
3845:
3809:
3808:
3792:
3786:
3785:
3765:
3759:
3758:
3740:
3720:
3714:
3713:
3703:
3683:
3677:
3676:
3674:
3650:
3644:
3643:
3617:
3597:
3591:
3590:
3562:
3556:
3555:
3527:
3521:
3511:
3505:
3504:
3498:
3490:
3488:
3487:
3481:
3475:. Archived from
3474:
3466:
3460:
3459:
3447:
3441:
3440:
3412:
3406:
3405:
3377:
3371:
3370:
3350:
3344:
3343:
3323:
3317:
3316:
3308:
3302:
3301:
3273:
3267:
3266:
3226:
3220:
3219:
3191:
3185:
3184:
3168:
3162:
3161:
3151:
3127:
3121:
3120:
3100:
3094:
3093:
3076:(7): 1178–1187.
3061:
3055:
3054:
3029:(4): 1085–1100.
3014:
3008:
3007:
3005:
2997:
2991:
2985:
2979:
2970:
2964:
2963:
2937:
2931:
2930:
2928:
2918:
2894:
2888:
2887:
2879:
2873:
2872:
2854:
2848:
2847:
2829:
2820:
2819:
2799:
2793:
2792:
2790:
2766:
2757:
2756:
2754:
2752:
2747:
2738:
2732:
2727:
2685:Consumption beta
2635:portfolio — see
2629:consumption CAPM
2548:in the field of
2432:The (Markowitz)
2415:
2408:
2404:
2401:
2395:
2364:
2356:
2308:
2301:
2297:
2294:
2288:
2257:
2249:
2228:utility function
2211:
2204:
2200:
2197:
2191:
2160:
2152:
2143:
2141:
2140:
2135:
2133:
2132:
2113:
2111:
2110:
2105:
2103:
2099:
2098:
2096:
2092:
2091:
2079:
2067:
2063:
2062:
2047:
2046:
2025:
2024:
2012:
2011:
1999:
1987:
1979:
1978:
1958:
1956:
1955:
1954:
1935:
1930:
1929:
1910:
1908:
1907:
1902:
1900:
1899:
1884:The asset price
1880:
1878:
1877:
1872:
1854:
1852:
1851:
1846:
1844:
1843:
1827:
1825:
1824:
1819:
1817:
1815:
1814:
1805:
1804:
1803:
1788:
1787:
1765:
1757:
1756:
1734:
1732:
1731:
1726:
1707:based on either
1705:
1703:
1702:
1697:
1692:
1691:
1657:
1655:
1654:
1649:
1645:
1638:
1637:
1622:
1621:
1603:
1602:
1590:
1589:
1574:
1573:
1555:
1491:
1484:
1480:
1477:
1471:
1440:
1432:
1416:
1409:
1405:
1402:
1396:
1365:
1357:
1320:
1318:
1317:
1312:
1306:
1305:
1290:
1289:
1271:
1270:
1258:
1257:
1242:
1241:
1212:
1210:
1209:
1204:
1188:
1186:
1185:
1180:
1178:
1177:
1160:
1158:
1157:
1152:
1136:
1134:
1133:
1128:
1126:
1125:
1108:
1106:
1105:
1100:
1088:
1086:
1085:
1080:
1064:
1062:
1061:
1056:
1054:
1053:
1026:
1024:
1023:
1018:
1014:
1013:
1012:
997:
996:
969:
967:
966:
961:
957:
956:
955:
940:
939:
915:
913:
912:
907:
903:
899:
898:
875:
873:
872:
867:
865:
863:
862:
853:
852:
843:
841:
840:
822:
820:
816:
815:
803:
791:
787:
786:
774:
773:
761:
749:
744:
743:
717:
715:
714:
709:
705:
702:
701:
700:
682:
680:
679:
674:
670:
669:
668:
650:
648:
647:
642:
638:
635:
631:
630:
602:
600:
599:
594:
588:
587:
572:
571:
553:
552:
540:
539:
524:
523:
498:
496:
495:
490:
485:
484:
455:
453:
452:
447:
445:
444:
429:
428:
410:
408:
407:
398:
397:
396:
381:
380:
364:
332:
325:
318:
314:
311:
305:
274:
266:
166:well-diversified
125:
118:
114:
111:
105:
103:
62:
38:
30:
21:
5544:
5543:
5539:
5538:
5537:
5535:
5534:
5533:
5499:
5498:
5497:
5492:
5444:
5430:Fund governance
5418:
5348:
5272:Absolute return
5260:
5211:
5205:
5196:Program trading
5191:Prime brokerage
5164:
5151:
5131:
5127:Trend following
5112:Dedicated short
5086:
5053:
5010:
4998:
4992:
4987:
4957:
4952:
4943:Voting interest
4853:Public offering
4788:Mandatory offer
4762:Government bond
4742:DuPont analysis
4705:
4701:Value investing
4696:Value averaging
4691:Trend following
4676:Style investing
4671:Sector rotation
4586:
4580:
4559:Net asset value
4485:Stock valuation
4479:
4399:
4307:
4274:
4260:Preferred stock
4235:
4201:
4196:
4128:
4126:
4122:
4108:10.2307/2296205
4091:
4005:10.2307/1910098
3977:Mehrling, Perry
3937:10.2307/1924119
3850:Fama, Eugene F.
3817:
3812:
3793:
3789:
3766:
3762:
3747:10.2307/2329112
3721:
3717:
3701:10.1.1.139.5892
3684:
3680:
3651:
3647:
3624:10.2307/2676187
3615:10.1.1.143.8443
3598:
3594:
3563:
3559:
3544:10.2307/1913811
3528:
3524:
3512:
3508:
3492:
3491:
3485:
3483:
3479:
3472:
3470:"Archived copy"
3468:
3467:
3463:
3448:
3444:
3413:
3409:
3378:
3374:
3351:
3347:
3324:
3320:
3309:
3305:
3274:
3270:
3227:
3223:
3192:
3188:
3169:
3165:
3128:
3124:
3101:
3097:
3062:
3058:
3035:10.2307/2326275
3015:
3011:
3003:
2999:
2998:
2994:
2986:
2982:
2971:
2967:
2960:
2938:
2934:
2895:
2891:
2880:
2876:
2869:
2855:
2851:
2844:
2830:
2823:
2800:
2796:
2767:
2760:
2750:
2748:
2745:
2739:
2735:
2728:
2724:
2720:
2670:Build-up method
2661:
2614:Roll's critique
2539:Casino gamblers
2532:Barclays Wealth
2503:
2468:All investors:
2466:
2426:
2416:
2405:
2399:
2396:
2381:
2365:
2354:
2321:systematic risk
2309:
2298:
2292:
2289:
2274:
2258:
2247:
2220:required return
2212:
2201:
2195:
2192:
2177:
2161:
2150:
2128:
2124:
2122:
2119:
2118:
2087:
2083:
2069:
2068:
2058:
2054:
2042:
2038:
2020:
2016:
2007:
2003:
1989:
1988:
1986:
1974:
1970:
1963:
1959:
1950:
1946:
1939:
1934:
1925:
1921:
1919:
1916:
1915:
1895:
1891:
1889:
1886:
1885:
1860:
1857:
1856:
1839:
1835:
1833:
1830:
1829:
1810:
1806:
1799:
1795:
1777:
1773:
1766:
1764:
1752:
1748:
1740:
1737:
1736:
1720:
1717:
1716:
1687:
1683:
1675:
1672:
1671:
1668:
1633:
1629:
1617:
1613:
1598:
1594:
1585:
1581:
1569:
1565:
1545:
1543:
1540:
1539:
1534:
1525:
1492:
1481:
1475:
1472:
1457:
1441:
1430:
1417:
1406:
1400:
1397:
1382:
1366:
1355:
1301:
1297:
1285:
1281:
1266:
1262:
1253:
1249:
1237:
1233:
1225:
1222:
1221:
1198:
1195:
1194:
1193:for the market
1173:
1169:
1167:
1164:
1163:
1146:
1143:
1142:
1121:
1117:
1115:
1112:
1111:
1094:
1091:
1090:
1089:and the market
1074:
1071:
1070:
1043:
1039:
1037:
1034:
1033:
1008:
1004:
992:
988:
980:
977:
976:
951:
947:
935:
931:
923:
920:
919:
894:
890:
882:
879:
878:
858:
854:
848:
844:
842:
830:
826:
811:
807:
793:
792:
782:
778:
769:
765:
751:
750:
748:
739:
735:
733:
730:
729:
696:
692:
690:
687:
686:
664:
660:
658:
655:
654:
626:
622:
614:
611:
610:
583:
579:
567:
563:
548:
544:
535:
531:
519:
515:
507:
504:
503:
480:
476:
468:
465:
464:
440:
436:
424:
420:
403:
399:
392:
388:
376:
372:
365:
363:
361:
358:
357:
346:systematic risk
326:
315:
309:
306:
291:
275:
264:
236:diversification
232:Harry Markowitz
212:
192:risk-free asset
188:expected return
176:systematic risk
126:
115:
109:
106:
63:
61:
51:
39:
28:
23:
22:
15:
12:
11:
5:
5542:
5532:
5531:
5526:
5521:
5516:
5511:
5494:
5493:
5491:
5490:
5480:
5470:
5460:
5449:
5446:
5445:
5443:
5442:
5437:
5432:
5426:
5424:
5420:
5419:
5417:
5416:
5411:
5406:
5404:Merchant banks
5401:
5396:
5391:
5386:
5381:
5376:
5371:
5369:Family offices
5366:
5360:
5358:
5354:
5353:
5350:
5349:
5347:
5346:
5341:
5336:
5331:
5329:Securitization
5326:
5321:
5316:
5298:
5284:
5279:
5274:
5268:
5266:
5262:
5261:
5259:
5258:
5253:
5248:
5243:
5238:
5233:
5228:
5222:
5220:
5213:
5207:
5206:
5204:
5203:
5198:
5193:
5188:
5183:
5178:
5172:
5170:
5166:
5165:
5158:
5156:
5153:
5152:
5150:
5149:
5139:
5137:
5133:
5132:
5130:
5129:
5124:
5119:
5114:
5109:
5100:
5094:
5092:
5088:
5087:
5085:
5084:
5079:
5077:Risk arbitrage
5074:
5069:
5063:
5061:
5055:
5054:
5052:
5051:
5046:
5041:
5032:
5027:
5022:
5016:
5014:
5012:relative value
5000:
4994:
4993:
4986:
4985:
4978:
4971:
4963:
4954:
4953:
4951:
4950:
4945:
4940:
4935:
4930:
4925:
4920:
4915:
4910:
4905:
4903:Stock exchange
4900:
4898:Stock dilution
4895:
4890:
4885:
4880:
4875:
4870:
4865:
4860:
4855:
4850:
4845:
4840:
4835:
4830:
4825:
4823:Mean reversion
4820:
4815:
4810:
4805:
4800:
4798:Market anomaly
4795:
4790:
4785:
4780:
4774:
4769:
4764:
4759:
4754:
4749:
4744:
4739:
4734:
4729:
4724:
4719:
4717:Bid–ask spread
4713:
4711:
4707:
4706:
4704:
4703:
4698:
4693:
4688:
4683:
4678:
4673:
4668:
4662:
4656:
4651:
4646:
4641:
4635:
4630:
4625:
4620:
4614:
4609:
4604:
4599:
4593:
4591:
4582:
4581:
4579:
4578:
4573:
4567:
4562:
4556:
4551:
4546:
4544:Earnings yield
4541:
4539:Dividend yield
4536:
4530:
4524:
4518:
4512:
4506:
4501:
4495:
4489:
4487:
4481:
4480:
4478:
4477:
4472:
4467:
4461:
4455:
4449:
4443:
4437:
4431:
4430:(off-exchange)
4425:
4424:
4423:
4418:
4407:
4405:
4404:Trading venues
4401:
4400:
4398:
4397:
4392:
4391:
4390:
4380:
4375:
4370:
4365:
4360:
4359:
4358:
4353:
4343:
4338:
4333:
4332:
4331:
4326:
4315:
4313:
4309:
4308:
4306:
4305:
4303:Treasury stock
4300:
4295:
4290:
4284:
4282:
4276:
4275:
4273:
4272:
4270:Tracking stock
4267:
4262:
4257:
4252:
4246:
4244:
4237:
4236:
4234:
4233:
4228:
4223:
4218:
4216:Primary market
4212:
4210:
4203:
4202:
4195:
4194:
4187:
4180:
4172:
4166:
4165:
4153:
4146:
4134:
4081:
4078:
4050:(3): 425–442.
4036:
4024:
4017:
3999:(4): 768–783.
3985:
3973:
3949:
3917:
3907:
3897:
3885:(2): 427–466.
3870:
3846:
3842:10.1086/295472
3836:(3): 444–455.
3825:
3816:
3813:
3811:
3810:
3787:
3760:
3738:10.1.1.556.954
3731:(2): 427–465.
3715:
3678:
3665:(6): 359–365.
3645:
3608:(2): 127–151.
3592:
3573:(3): 265–296.
3557:
3538:(5): 867–887.
3522:
3506:
3461:
3442:
3407:
3372:
3361:(3): 237–268.
3345:
3334:(2): 129–176.
3318:
3303:
3268:
3221:
3186:
3163:
3142:(2): 427–465.
3122:
3111:(3): 921–965.
3095:
3056:
3009:
2992:
2980:
2965:
2958:
2932:
2889:
2874:
2867:
2849:
2842:
2821:
2794:
2758:
2733:
2721:
2719:
2716:
2715:
2714:
2709:
2704:
2699:
2693:
2688:
2682:
2677:
2672:
2667:
2660:
2657:
2652:
2651:
2644:
2632:
2621:
2617:
2602:
2598:
2595:
2576:Michael Jensen
2570:in a paper by
2564:
2561:
2545:
2542:
2535:
2523:
2519:
2511:Kenneth French
2502:
2499:
2498:
2497:
2494:
2491:
2488:
2485:
2482:
2479:
2476:
2473:
2465:
2462:
2422:Main article:
2418:
2417:
2368:
2366:
2359:
2353:
2350:
2315:The risk of a
2311:
2310:
2261:
2259:
2252:
2246:
2243:
2214:
2213:
2164:
2162:
2155:
2149:
2146:
2131:
2127:
2115:
2114:
2102:
2095:
2090:
2086:
2082:
2078:
2075:
2072:
2066:
2061:
2057:
2053:
2050:
2045:
2041:
2037:
2034:
2031:
2028:
2023:
2019:
2015:
2010:
2006:
2002:
1998:
1995:
1992:
1985:
1982:
1977:
1973:
1969:
1966:
1962:
1953:
1949:
1945:
1942:
1938:
1933:
1928:
1924:
1898:
1894:
1870:
1867:
1864:
1842:
1838:
1813:
1809:
1802:
1798:
1794:
1791:
1786:
1783:
1780:
1776:
1772:
1769:
1763:
1760:
1755:
1751:
1747:
1744:
1724:
1695:
1690:
1686:
1682:
1679:
1667:
1664:
1659:
1658:
1644:
1641:
1636:
1632:
1628:
1625:
1620:
1616:
1612:
1609:
1606:
1601:
1597:
1593:
1588:
1584:
1580:
1577:
1572:
1568:
1564:
1561:
1558:
1554:
1551:
1548:
1530:
1521:
1494:
1493:
1444:
1442:
1435:
1429:
1426:
1419:
1418:
1369:
1367:
1360:
1354:
1353:Modified betas
1351:
1330:market premium
1322:
1321:
1309:
1304:
1300:
1296:
1293:
1288:
1284:
1280:
1277:
1274:
1269:
1265:
1261:
1256:
1252:
1248:
1245:
1240:
1236:
1232:
1229:
1215:
1214:
1202:
1176:
1172:
1161:
1150:
1124:
1120:
1109:
1098:
1078:
1052:
1049:
1046:
1042:
1031:
1011:
1007:
1003:
1000:
995:
991:
987:
984:
974:
972:market premium
954:
950:
946:
943:
938:
934:
930:
927:
917:
902:
897:
893:
889:
886:
876:
861:
857:
851:
847:
839:
836:
833:
829:
825:
819:
814:
810:
806:
802:
799:
796:
790:
785:
781:
777:
772:
768:
764:
760:
757:
754:
747:
742:
738:
699:
695:
684:
667:
663:
652:
634:
629:
625:
621:
618:
604:
603:
591:
586:
582:
578:
575:
570:
566:
562:
559:
556:
551:
547:
543:
538:
534:
530:
527:
522:
518:
514:
511:
488:
483:
479:
475:
472:
457:
456:
443:
439:
435:
432:
427:
423:
419:
416:
413:
406:
402:
395:
391:
387:
384:
379:
375:
371:
368:
336:
335:
328:
327:
278:
276:
269:
263:
260:
226:(1965a,b) and
218:(1961, 1962),
211:
208:
158:rate of return
128:
127:
42:
40:
33:
26:
9:
6:
4:
3:
2:
5541:
5530:
5527:
5525:
5522:
5520:
5517:
5515:
5512:
5510:
5507:
5506:
5504:
5489:
5481:
5479:
5471:
5469:
5461:
5459:
5451:
5450:
5447:
5441:
5438:
5436:
5433:
5431:
5428:
5427:
5425:
5421:
5415:
5412:
5410:
5409:Pension funds
5407:
5405:
5402:
5400:
5397:
5395:
5392:
5390:
5387:
5385:
5382:
5380:
5377:
5375:
5372:
5370:
5367:
5365:
5364:Vulture funds
5362:
5361:
5359:
5355:
5345:
5342:
5340:
5337:
5335:
5332:
5330:
5327:
5325:
5322:
5320:
5317:
5314:
5310:
5306:
5302:
5299:
5296:
5295:delta neutral
5292:
5288:
5285:
5283:
5280:
5278:
5275:
5273:
5270:
5269:
5267:
5263:
5257:
5254:
5252:
5251:Money markets
5249:
5247:
5244:
5242:
5239:
5237:
5234:
5232:
5229:
5227:
5224:
5223:
5221:
5217:
5214:
5208:
5202:
5199:
5197:
5194:
5192:
5189:
5187:
5184:
5182:
5179:
5177:
5174:
5173:
5171:
5167:
5162:
5148:
5147:Multi-manager
5144:
5141:
5140:
5138:
5134:
5128:
5125:
5123:
5120:
5118:
5115:
5113:
5110:
5108:
5104:
5101:
5099:
5096:
5095:
5093:
5089:
5083:
5080:
5078:
5075:
5073:
5070:
5068:
5065:
5064:
5062:
5060:
5056:
5050:
5047:
5045:
5042:
5040:
5036:
5033:
5031:
5028:
5026:
5023:
5021:
5018:
5017:
5015:
5013:
5008:
5004:
5001:
4995:
4991:
4984:
4979:
4977:
4972:
4970:
4965:
4964:
4961:
4949:
4946:
4944:
4941:
4939:
4936:
4934:
4931:
4929:
4926:
4924:
4921:
4919:
4916:
4914:
4911:
4909:
4906:
4904:
4901:
4899:
4896:
4894:
4891:
4889:
4886:
4884:
4881:
4879:
4878:Short selling
4876:
4874:
4871:
4869:
4866:
4864:
4861:
4859:
4856:
4854:
4851:
4849:
4846:
4844:
4841:
4839:
4836:
4834:
4831:
4829:
4826:
4824:
4821:
4819:
4816:
4814:
4811:
4809:
4806:
4804:
4801:
4799:
4796:
4794:
4791:
4789:
4786:
4784:
4781:
4778:
4775:
4773:
4770:
4768:
4767:Greenspan put
4765:
4763:
4760:
4758:
4755:
4753:
4752:Financial law
4750:
4748:
4745:
4743:
4740:
4738:
4735:
4733:
4730:
4728:
4727:Cross listing
4725:
4723:
4720:
4718:
4715:
4714:
4712:
4710:Related terms
4708:
4702:
4699:
4697:
4694:
4692:
4689:
4687:
4684:
4682:
4681:Swing trading
4679:
4677:
4674:
4672:
4669:
4666:
4663:
4660:
4657:
4655:
4652:
4650:
4649:Mosaic theory
4647:
4645:
4642:
4639:
4636:
4634:
4633:Market timing
4631:
4629:
4626:
4624:
4621:
4618:
4615:
4613:
4610:
4608:
4605:
4603:
4600:
4598:
4595:
4594:
4592:
4590:
4583:
4577:
4574:
4571:
4568:
4566:
4563:
4560:
4557:
4555:
4552:
4550:
4547:
4545:
4542:
4540:
4537:
4534:
4531:
4528:
4525:
4522:
4519:
4516:
4513:
4510:
4507:
4505:
4502:
4499:
4496:
4494:
4491:
4490:
4488:
4486:
4482:
4476:
4473:
4471:
4468:
4465:
4462:
4459:
4456:
4453:
4450:
4447:
4444:
4441:
4438:
4435:
4432:
4429:
4426:
4422:
4421:Trading hours
4419:
4417:
4414:
4413:
4412:
4409:
4408:
4406:
4402:
4396:
4393:
4389:
4386:
4385:
4384:
4381:
4379:
4376:
4374:
4371:
4369:
4366:
4364:
4361:
4357:
4354:
4352:
4349:
4348:
4347:
4344:
4342:
4339:
4337:
4336:Broker-dealer
4334:
4330:
4327:
4325:
4322:
4321:
4320:
4317:
4316:
4314:
4310:
4304:
4301:
4299:
4296:
4294:
4293:Issued shares
4291:
4289:
4286:
4285:
4283:
4281:
4280:Share capital
4277:
4271:
4268:
4266:
4263:
4261:
4258:
4256:
4253:
4251:
4248:
4247:
4245:
4243:
4238:
4232:
4231:Fourth market
4229:
4227:
4224:
4222:
4219:
4217:
4214:
4213:
4211:
4209:
4204:
4200:
4193:
4188:
4186:
4181:
4179:
4174:
4173:
4170:
4162:
4158:
4154:
4151:
4147:
4143:
4139:
4135:
4125:on 2020-11-27
4121:
4117:
4113:
4109:
4105:
4101:
4097:
4090:
4086:
4082:
4079:
4075:
4071:
4066:
4061:
4057:
4053:
4049:
4045:
4041:
4037:
4033:
4029:
4025:
4022:
4018:
4014:
4010:
4006:
4002:
3998:
3994:
3990:
3986:
3982:
3978:
3974:
3970:
3966:
3962:
3958:
3954:
3950:
3946:
3942:
3938:
3934:
3930:
3926:
3922:
3921:Lintner, John
3918:
3916:
3912:
3908:
3906:
3902:
3898:
3893:
3888:
3884:
3880:
3876:
3871:
3867:
3863:
3859:
3855:
3851:
3847:
3843:
3839:
3835:
3831:
3826:
3823:
3819:
3818:
3807:(2): 144–158.
3806:
3802:
3798:
3791:
3783:
3779:
3775:
3771:
3764:
3756:
3752:
3748:
3744:
3739:
3734:
3730:
3726:
3719:
3711:
3707:
3702:
3697:
3693:
3689:
3682:
3673:
3668:
3664:
3660:
3656:
3649:
3641:
3637:
3633:
3629:
3625:
3621:
3616:
3611:
3607:
3603:
3596:
3588:
3584:
3580:
3576:
3572:
3568:
3561:
3553:
3549:
3545:
3541:
3537:
3533:
3526:
3520:
3516:
3510:
3502:
3496:
3482:on 2014-07-25
3478:
3471:
3465:
3457:
3453:
3446:
3438:
3434:
3430:
3426:
3422:
3418:
3411:
3403:
3399:
3395:
3391:
3387:
3383:
3376:
3368:
3364:
3360:
3356:
3349:
3341:
3337:
3333:
3329:
3322:
3314:
3307:
3299:
3295:
3291:
3287:
3283:
3279:
3272:
3264:
3260:
3256:
3252:
3248:
3244:
3240:
3236:
3232:
3225:
3217:
3213:
3209:
3205:
3201:
3197:
3190:
3182:
3178:
3174:
3167:
3159:
3155:
3150:
3145:
3141:
3137:
3133:
3126:
3118:
3114:
3110:
3106:
3099:
3091:
3087:
3083:
3079:
3075:
3071:
3067:
3060:
3052:
3048:
3044:
3040:
3036:
3032:
3028:
3024:
3020:
3013:
3002:
2996:
2989:
2984:
2977:
2974:
2969:
2961:
2955:
2951:
2947:
2943:
2936:
2927:
2922:
2917:
2912:
2908:
2904:
2900:
2893:
2885:
2878:
2870:
2864:
2860:
2853:
2845:
2839:
2835:
2828:
2826:
2817:
2813:
2809:
2805:
2798:
2789:
2784:
2780:
2776:
2772:
2765:
2763:
2744:
2737:
2731:
2726:
2722:
2713:
2710:
2708:
2705:
2703:
2700:
2697:
2694:
2692:
2689:
2686:
2683:
2681:
2678:
2676:
2673:
2671:
2668:
2666:
2663:
2662:
2656:
2649:
2645:
2642:
2638:
2633:
2630:
2626:
2622:
2618:
2615:
2611:
2607:
2606:human capital
2603:
2599:
2596:
2593:
2589:
2585:
2581:
2580:Myron Scholes
2577:
2573:
2572:Fischer Black
2569:
2565:
2562:
2559:
2555:
2551:
2546:
2543:
2540:
2536:
2533:
2529:
2524:
2520:
2516:
2515:
2514:
2512:
2508:
2495:
2492:
2489:
2486:
2483:
2480:
2477:
2474:
2471:
2470:
2469:
2461:
2459:
2455:
2454:diversifiable
2450:
2448:
2439:
2435:
2430:
2425:
2414:
2411:
2403:
2393:
2389:
2385:
2379:
2378:
2374:
2369:This section
2367:
2363:
2358:
2357:
2349:
2347:
2342:
2337:
2334:
2330:
2326:
2322:
2318:
2307:
2304:
2296:
2286:
2282:
2278:
2272:
2271:
2267:
2262:This section
2260:
2256:
2251:
2250:
2242:
2240:
2236:
2231:
2229:
2223:
2221:
2210:
2207:
2199:
2189:
2185:
2181:
2175:
2174:
2170:
2165:This section
2163:
2159:
2154:
2153:
2145:
2129:
2125:
2100:
2088:
2084:
2059:
2055:
2051:
2043:
2039:
2032:
2021:
2017:
2013:
2008:
2004:
1983:
1975:
1971:
1964:
1960:
1951:
1947:
1943:
1940:
1936:
1931:
1926:
1922:
1914:
1913:
1912:
1896:
1892:
1882:
1868:
1865:
1862:
1840:
1836:
1811:
1807:
1800:
1796:
1792:
1784:
1781:
1778:
1774:
1767:
1761:
1753:
1749:
1742:
1722:
1712:
1710:
1688:
1684:
1677:
1666:Asset pricing
1663:
1642:
1634:
1630:
1626:
1618:
1614:
1607:
1599:
1595:
1591:
1586:
1582:
1578:
1570:
1566:
1559:
1556:
1538:
1537:
1536:
1533:
1529:
1524:
1520:
1516:
1511:
1509:
1505:
1501:
1490:
1487:
1479:
1469:
1465:
1461:
1455:
1454:
1450:
1445:This section
1443:
1439:
1434:
1433:
1425:
1415:
1412:
1404:
1394:
1390:
1386:
1380:
1379:
1375:
1370:This section
1368:
1364:
1359:
1358:
1350:
1348:
1343:
1340:
1337:
1335:
1331:
1327:
1302:
1298:
1294:
1286:
1282:
1275:
1267:
1263:
1259:
1254:
1250:
1246:
1238:
1234:
1227:
1220:
1219:
1218:
1200:
1192:
1174:
1170:
1162:
1148:
1140:
1122:
1118:
1110:
1096:
1076:
1068:
1050:
1047:
1044:
1040:
1032:
1030:
1009:
1005:
1001:
993:
989:
982:
975:
973:
952:
948:
944:
936:
932:
925:
918:
895:
891:
884:
877:
859:
855:
849:
845:
837:
834:
831:
827:
823:
812:
808:
783:
779:
775:
770:
766:
745:
740:
736:
727:
723:
722:
697:
693:
685:
665:
661:
653:
627:
623:
616:
609:
608:
607:
584:
580:
576:
568:
564:
557:
549:
545:
541:
536:
532:
528:
520:
516:
509:
502:
501:
500:
481:
477:
470:
462:
441:
437:
433:
425:
421:
414:
411:
404:
400:
393:
389:
385:
377:
373:
366:
356:
355:
354:
351:
347:
343:
334:
333:
324:
321:
313:
303:
299:
295:
289:
288:
284:
279:This section
277:
273:
268:
267:
259:
257:
256:Fischer Black
253:
249:
245:
244:Merton Miller
241:
237:
233:
229:
225:
221:
217:
207:
205:
201:
197:
193:
189:
185:
181:
177:
172:
170:
167:
163:
159:
155:
151:
147:
139:
134:
124:
121:
113:
102:
99:
95:
92:
88:
85:
81:
78:
74:
71: –
70:
66:
65:Find sources:
59:
55:
49:
48:
43:This article
41:
37:
32:
31:
19:
5300:
5241:Fixed income
5117:Global macro
5059:Event-driven
4928:Tender offer
4848:Public float
4818:Market trend
4808:Market depth
4628:Growth stock
4602:Buy and hold
4520:
4511:(Cap-to-GDP)
4351:Floor trader
4341:Market maker
4324:Floor broker
4312:Participants
4255:Golden share
4250:Common stock
4226:Third market
4160:
4149:
4141:
4127:. Retrieved
4120:the original
4102:(1): 65–86.
4099:
4095:
4085:Tobin, James
4047:
4043:
4031:
4020:
3996:
3993:Econometrica
3992:
3980:
3960:
3956:
3931:(1): 13–37.
3928:
3924:
3910:
3900:
3882:
3878:
3860:(1): 29–40.
3857:
3853:
3833:
3829:
3821:
3815:Bibliography
3804:
3800:
3790:
3776:(1): 23–34.
3773:
3769:
3763:
3728:
3724:
3718:
3691:
3687:
3681:
3662:
3658:
3648:
3605:
3601:
3595:
3570:
3566:
3560:
3535:
3532:Econometrica
3531:
3525:
3509:
3484:. Retrieved
3477:the original
3464:
3455:
3451:
3445:
3423:(2): 26–41.
3420:
3416:
3410:
3385:
3381:
3375:
3358:
3354:
3348:
3331:
3327:
3321:
3312:
3306:
3281:
3277:
3271:
3241:(1): 40–54.
3238:
3234:
3224:
3202:(1): 47–56.
3199:
3195:
3189:
3172:
3166:
3139:
3135:
3125:
3108:
3104:
3098:
3073:
3069:
3059:
3026:
3022:
3012:
2995:
2983:
2968:
2941:
2935:
2926:10419/167811
2906:
2902:
2892:
2883:
2877:
2858:
2852:
2833:
2810:(2): 60–72.
2807:
2803:
2797:
2781:(3): 25–46.
2778:
2774:
2749:. Retrieved
2736:
2725:
2653:
2610:Richard Roll
2504:
2467:
2451:
2443:
2406:
2397:
2382:Please help
2370:
2338:
2314:
2299:
2290:
2275:Please help
2263:
2232:
2224:
2217:
2202:
2193:
2178:Please help
2166:
2116:
1883:
1713:
1708:
1669:
1660:
1531:
1527:
1522:
1518:
1514:
1512:
1507:
1503:
1497:
1482:
1473:
1458:Please help
1446:
1422:
1407:
1398:
1383:Please help
1371:
1344:
1341:
1338:
1333:
1329:
1325:
1323:
1216:
1065:denotes the
1028:
971:
719:
605:
461:risk premium
458:
339:
316:
307:
292:Please help
280:
224:John Lintner
216:Jack Treynor
213:
173:
153:
149:
143:
116:
107:
97:
90:
83:
76:
64:
52:Please help
47:verification
44:
5468:Hedge funds
5231:Derivatives
5226:Commodities
5181:Day trading
5091:Directional
4990:Hedge funds
4933:Uptick rule
4913:Stock split
4893:Squeeze-out
4888:Speculation
4833:Open outcry
4722:Block trade
4654:Pairs trade
3989:Mossin, Jan
3963:(4): 5–16.
3694:(1): 3–56.
3388:(1): 4–23.
2859:Investments
2507:Eugene Fama
2464:Assumptions
2333:diversified
2329:market risk
2239:mutual fund
1328:equals the
726:sensitivity
180:market risk
5503:Categories
5423:Governance
4997:Investment
4938:Volatility
4918:Stock swap
4838:Order book
4589:strategies
4515:Book value
4383:Arbitrager
4378:Speculator
4163:: 105–113.
4129:2019-12-12
3486:2012-05-08
2718:References
2518:estimates.
2319:comprises
228:Jan Mossin
110:April 2021
80:newspapers
5357:Investors
5007:Arbitrage
4554:Fed model
4549:EV/EBITDA
4464:Dark pool
4395:Regulator
4240:Types of
4206:Types of
3733:CiteSeerX
3696:CiteSeerX
3610:CiteSeerX
3587:154918812
3402:154485834
3298:212976159
3255:0015-198X
3216:1930-2703
3158:1540-6261
3090:0378-4266
3043:0022-1082
2973:A. D. Roy
2909:(3): 15.
2400:June 2023
2371:does not
2317:portfolio
2293:June 2023
2264:does not
2196:June 2023
2167:does not
2052:−
1984:−
1793:−
1627:−
1596:β
1476:June 2023
1447:does not
1401:June 2023
1372:does not
1295:−
1264:β
1247:−
1171:σ
1119:σ
1041:ρ
1002:−
945:−
856:σ
846:σ
828:ρ
737:β
724:) is the
694:β
577:−
546:β
434:−
401:β
386:−
310:June 2023
281:does not
210:Inventors
169:portfolio
4999:strategy
4883:Slippage
4843:Position
4828:Momentum
4732:Dividend
4411:Exchange
4368:Investor
4087:(1958).
4074:36720630
4030:(2006).
3979:(2005).
3640:51947571
3495:cite web
3458:(X): XX.
3263:12706642
2659:See also
2501:Problems
2346:variance
1526:)−
222:(1964),
5219:Markets
5210:Related
5169:Trading
4772:Haircut
4576:T-model
4388:Scalper
4208:markets
4116:2296205
4013:1910098
3945:1924119
3755:2329112
3632:2676187
3552:1913811
3181:3969743
3051:2326275
2751:25 June
2698:(ICAPM)
2687:(CCAPM)
2560:(2001).
2392:removed
2377:sources
2285:removed
2270:sources
2188:removed
2173:sources
1468:removed
1453:sources
1393:removed
1378:sources
1189:is the
1137:is the
606:where:
302:removed
287:sources
262:Formula
146:finance
94:scholar
5291:Greeks
5236:Equity
4793:Margin
4661:(PMPT)
4523:(CAPM)
4373:Hedger
4346:Trader
4319:Broker
4242:stocks
4114:
4072:
4011:
3943:
3830:J. Bus
3753:
3735:
3698:
3638:
3630:
3612:
3585:
3550:
3517:
3437:704936
3435:
3400:
3296:
3261:
3253:
3214:
3179:
3156:
3088:
3049:
3041:
2956:
2865:
2840:
2816:447580
2814:
2620:agent.
2578:, and
2556:, and
2341:return
2117:where
1646:
1332:times
1015:
958:
904:
706:
703:
671:
639:
636:
160:of an
148:, the
96:
89:
82:
75:
67:
5334:Short
5324:Hedge
5305:alpha
5212:terms
5136:Other
4948:Yield
4923:Trade
4858:Rally
4779:(IPO)
4667:(RMH)
4640:(MPT)
4619:(EMH)
4572:(SML)
4561:(NAV)
4535:(DDM)
4529:(CML)
4500:(APT)
4493:Alpha
4460:(STP)
4454:(DMA)
4448:(ECN)
4442:(MTF)
4436:(ATS)
4123:(PDF)
4112:JSTOR
4092:(PDF)
4070:S2CID
4009:JSTOR
3941:JSTOR
3751:JSTOR
3636:S2CID
3628:JSTOR
3583:S2CID
3548:JSTOR
3480:(PDF)
3473:(PDF)
3433:S2CID
3398:S2CID
3294:S2CID
3259:S2CID
3047:JSTOR
3004:(PDF)
2746:(PDF)
2522:CAPM.
718:(the
162:asset
101:JSTOR
87:books
5309:beta
5265:Misc
4783:Long
4587:and
4517:(BV)
4504:Beta
3515:ISBN
3501:link
3251:ISSN
3212:ISSN
3177:SSRN
3154:ISSN
3086:ISSN
3039:ISSN
2954:ISBN
2863:ISBN
2838:ISBN
2812:SSRN
2753:2013
2639:and
2509:and
2458:beta
2375:any
2373:cite
2268:any
2266:cite
2235:risk
2171:any
2169:cite
1498:The
1451:any
1449:cite
1376:any
1374:cite
721:beta
285:any
283:cite
238:and
202:and
184:beta
154:CAPM
73:news
4104:doi
4060:hdl
4052:doi
4001:doi
3965:doi
3933:doi
3887:doi
3862:doi
3838:doi
3778:doi
3743:doi
3706:doi
3667:doi
3620:doi
3575:doi
3540:doi
3425:doi
3390:doi
3363:doi
3336:doi
3286:doi
3243:doi
3204:doi
3144:doi
3113:doi
3078:doi
3031:doi
2946:doi
2921:hdl
2911:doi
2783:doi
2386:by
2279:by
2182:by
1735:is
1500:SML
1462:by
1387:by
296:by
234:on
178:or
144:In
56:by
5505::
5311:/
5307:/
5293::
5145:/
5105:/
5037:/
4110:.
4100:25
4098:.
4094:.
4068:.
4058:.
4048:19
4046:.
4007:.
3997:34
3995:.
3961:55
3959:.
3939:.
3929:47
3927:.
3883:47
3881:.
3877:.
3858:23
3856:.
3834:45
3832:.
3805:20
3803:.
3799:.
3774:31
3772:.
3749:.
3741:.
3729:47
3727:.
3704:.
3692:33
3690:.
3661:.
3657:.
3634:.
3626:.
3618:.
3606:35
3604:.
3581:.
3569:.
3546:.
3536:41
3534:.
3497:}}
3493:{{
3454:.
3431:.
3421:70
3419:.
3396:.
3386:12
3384:.
3359:10
3357:.
3330:.
3292:.
3282:46
3280:.
3257:.
3249:.
3239:67
3237:.
3233:.
3210:.
3200:29
3198:.
3175:.
3152:.
3140:47
3138:.
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