We study a rational expectations' competitive equilibrium in a production economy, i.e., a system of prices at which firms' profit maximizing production decisions and individuals' preferred affordable consumption choices equate supply and demand in every market. We derive the equilibrium price...

There is no consensus in the literature as to which model should be used to estimate stock returns and the cost of capital in the emerging markets. The Capital Asset Pricing Model (CAPM), which is most often used for this purpose in the developed markets, has a poor empirical record and is...

We use pre-World War I Brussels Stock Exchange (BSE) data to investigate the relation between average stock returns and market beta, size, momentum, dividend yield and total risk on the cross-section of stock returns. Based on portfolio sorts and Fama–MacBeth regressions, we find no...

We show that in the presence of non-zero pricing errors, the Fama–MacBeth (FM) cross-sectional regression test is very likely to either reject the Capital Asset Pricing Model (CAPM) when it (almost) holds or accept the model when it grossly fails. We investigate the case when pricing errors...

We investigate the relationship between changing correlation structure of returns, security risk, and mean return. According to our results, securities that were highly correlated with the market-wide risk factors in the past are likely to have high systematic and idiosyncratic risk at present....

The paper has two main objectives. The first is to test for the presence of the size and bookto- market value effects in the Visegrad countries. Such effects have been found in the United States and many other developed stock markets. The Visegrad countries consist of the Czech Republic,...

EXTRACTO: El objetivo de esta investigación es contrastar las dos metodologías que han sido utilizadas normalmente para el cálculo de beta de mercado. Ellas son: la “tradicional” propuesta por Black, Jensen y Scholes (1972) y por Fama y MacBeth (1973); y la denominada “impar-par”...

Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM en España. Específicamente, se han realizado variadas simulaciones históricas y regresiones de corte transversal de los retornos de las acciones componentes de la muestra...

En el campo de las Finanzas, uno de los tópicos de investigación más importantes en los últimos años, ha sido la Valuación de Activos de Capital. Esta pretende determinar los factores que explican la tasa de retorno de tales activos. El Capital Asset Pricing Model (CAPM) y el Arbitrage...

This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for the period of January 1995 to December 2006. The test, using linear regression method, was carried out on four models: the standard CAPM model with constant beta (Model I), the...