A Study on Developing of Asset Pricing Models

Abstract

<p>This study introduces the development and modifications of the widely used standard capital asset pricing model (CAPM). Many modifications are applied to the model’s challenging financial variables such as: financial risk factors, liquidity risks, downside risks, risk of non expected events, and economic and operational risk factors. Efficiency of the model is increased when applying various challenging financial variables. As a result of the gradual CAPM developments, various new models will present better interpretations of market conditions in economic units and portfolio structure. Furthermore, this study will show the importance of applying the new models advantages and disadvantages for financial managers, financial analysts and investors.</p> po? c.?x ?w vant factors identified in this study showed that lenders took particular interest in risk when dealing with SMEs. This is not out of place, as every business seeks to make profit and thus they need to be sure of recouping their monies when they lend them out to small businesses. It is thus very necessary for SME borrowers to develop an understanding of the decision criteria used by financial institutions in order to increase the probability of getting their loan request approved by fulfilling the required criteria adequately.<p> </p

Asset pricing in global scenario: a bibliometric analysis

“…Various researchers have looked into multiple aspects of asset pricing theory, supplementing the field with better risk-return explanations like the efficient market hypothesis (Fama, 1970), arbitrage pricing theory (APT) (Roll & Ross, 1980) and the intertemporal capital asset pricing model (CAPM; Merton, 1973). Raei et al (2011) in his paper discussed the development of consumption-based CAPM (Breeden, Gibbons & Litzenberger, 2016;Chen, 2003;Darrat, Li & Park, 2011), downside-CAPM (Bawa & Lindenberg, 1977;Harlow & Rao, 1989), adjusted CAPM where liquidity risk estimated in investor's Beta (Amihud & Mendelson, 1989;P astor & Stambaugh, 2000;Acharya & Pedersen, 2005), revised CAPM in which Beta is revised including financial and operating leverage (Rahnamaie Roodposhti et al, 2009;Moradian et al, 2010), consumption CAPM in which Beta is explained in terms of growing consumption in the market (Iqbal & Brooks, 2007). The international asset pricing model (IAPM) has been popularised in recent years due to its innovative implementations.…”

ANALYSIS Of CAPITAL ASSET PRICING MODEL ACCORDING TO SHARIAH PRINCIPLE: INDONESIAN EVIDENCE

“…The inflation variable is included in the CAPM equation on the grounds that the government has responsibility for the welfare of the community and protects and guarantees the level of people's purchasing power from the influence of inflation. Raei et al (2011) developed and modified the standard CAPM model into several models. The results of the study show that CAPM modification shows a better interpretation of market conditions in units of economic units and portfolio structure.…”

Керування Нетиповими Внутрішніми Фінансовими Ризиками Фінансових Посередників

“…Ризик репутації визначають як ризик втрати частини доходів або капіталу в зв'язку з негативною суспільною думкою. Ризик репутації може призвести до судового процесу, фінансових втрат або напруженої ситуації з доходами чи негативно позначитися на одержанні ліцензії на право ведення банківської діяльності (Raei, 2011). Приклади управління ризиком репутації в рамках системи внутрішнього контролю:…”