Estimation of expected return: CAPM vs. Fama and French
J Bartholdy, P Peare - International Review of Financial Analysis, 2005 - Elsevier
Most practitioners favour a one-factor model (CAPM) when estimating expected return for an
individual stock. For estimation of portfolio returns, academics recommend the Fama and …
individual stock. For estimation of portfolio returns, academics recommend the Fama and …
CAPM: an absurd model
P Fernandez - Business Valuation Review, 2015 - meridian.allenpress.com
The Capital Asset Pricing Model (CAPM) is about expected return. If you find a formula for
expected returns that works well in the real markets, would you publish it? Before or after …
expected returns that works well in the real markets, would you publish it? Before or after …
[HTML][HTML] Time dependence of CAPM betas on the choice of interval frequency and return timeframes: Is there an optimum?
Abstracts The traditional CAPM beta is almost exclusively calculated over a return period
that spans a window length of 60-months, at one-month return frequencies. It is one of the …
that spans a window length of 60-months, at one-month return frequencies. It is one of the …
Capital structure and the cost of equity capital in the property-liability insurance industry
JD Cummins, J Lamm-Tennant - Insurance: Mathematics and Economics, 1994 - Elsevier
Financial pricing models are now widely used in insurance pricing and price regulation.
However, most practical applications of these models have not taken into account either the …
However, most practical applications of these models have not taken into account either the …
Using comparable companies to estimate the betas of private companies
RG Bowman, SR Bush - Journal of Applied Finance, Forthcoming, 2007 - papers.ssrn.com
Comparable company analysis (CCA) has become the standard tool for measuring the beta
of a non-traded firm or division. The average beta of the comparable companies is taken as …
of a non-traded firm or division. The average beta of the comparable companies is taken as …
[BOOK][B] Betas used by Professors: a survey with 2,500 answers
P Fernandez - 2019 - media.iese.edu
We report 2,510 answers from professors from 65 countries and 934 institutions. 1,791
respondents use betas, but 107 of them do not justify the betas they use. 97.3% of the …
respondents use betas, but 107 of them do not justify the betas they use. 97.3% of the …
Isolating the systematic and unsystematic components of a single stock's (or portfolio's) standard deviation
CM Marshall - Applied Economics, 2015 - Taylor & Francis
This article revisits the roots of modern portfolio theory. Instead of isolating the systematic
component of risk by recasting the risk in terms of a stock's beta coefficient, I decompose the …
component of risk by recasting the risk in terms of a stock's beta coefficient, I decompose the …
The role of stock size and trading intensity in the magnitude of the" interval effect" in beta estimation: Empirical evidence from the Polish capital market
J Brzeszczyński, J Gajdka… - Emerging Markets Finance …, 2011 - Taylor & Francis
In this paper, we present empirical evidence about the" interval effect" in estimation of beta
parameters for stocks listed on the Warsaw Stock Exchange. We analyze models …
parameters for stocks listed on the Warsaw Stock Exchange. We analyze models …
The small firm effect: A financial mirage?
Active asset management involves the search for investments and strategies yielding high
alphas. In estimating alpha, it is necessary to find some way to measure the risk-adjusted …
alphas. In estimating alpha, it is necessary to find some way to measure the risk-adjusted …
[HTML][HTML] Beta dispersion and portfolio returns
KD Lahtinen, CM Lawrey, KJ Hunsader - Journal of Asset Management, 2018 - Springer
As any well-versed investor should know, there are many ways in which beta can be
calculated based on factors such as the choice of time interval and market proxy used in the …
calculated based on factors such as the choice of time interval and market proxy used in the …