Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds

2002 ◽  
Author(s):  
Tom Arild Fearnley
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
International Capital ◽  
Capital Asset ◽  
Government Bonds ◽  
Asset Pricing Model

scholarly journals The Capital Asset Pricing Model

Encyclopedia ◽  
2021 ◽  
Vol 1 (3) ◽  
pp. 915-933
Author(s):  
James Ming Chen
Keyword(s):  
Asset Pricing ◽  
Financial Risk ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Financial Assets ◽  
Pricing Model ◽  
Capital Asset ◽  
Government Bonds ◽  
Asset Pricing Model ◽  
Mean Variance

The capital asset pricing model (CAPM) is an influential paradigm in financial risk management. It formalizes mean-variance optimization of a risky portfolio given the presence of a risk-free investment such as short-term government bonds. The CAPM defines the price of financial assets according to the premium demanded by investors for bearing excess risk.

Markov Switching International Capital Asset Pricing Model, an Emerging Market Case: Mexico

2018 ◽  
Vol 17 (1) ◽  
pp. 96-129 ◽  
Author(s):  
Humberto Valencia-Herrera ◽  
Francisco López-Herrera
Keyword(s):  
Asset Pricing ◽  
Regime Switching ◽  
Emerging Market ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
International Capital ◽  
Capital Asset ◽  
Markov Regime Switching ◽  
Asset Pricing Model

The article shows how the international capital asset pricing model (ICAPM) with Markov regime switching can model the asset returns in the emerging market of Mexico. For most assets, although significant, the international risk premium factor is not subject to regime switching, but the domestic factor is. The probabilities of regimes are correlated with the volatility of assets. A GARCH(1,1) Markov regime switching model offers better adjustment than a non-GARCH. JEL Classification: C58, F36, F65, G12, G15

scholarly journals Basileia III: Impacto para os Bancos no Brasil

2015 ◽  
Vol 26 (69) ◽  
pp. 345-361 ◽  
Author(s):  
Fernando Antonio Perrone Pinheiro ◽  
José Roberto Ferreira Savóia ◽  
José Roberto Securato
Keyword(s):  
Asset Pricing ◽  
Initial Public Offerings ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
International Capital ◽  
Capital Asset ◽  
Return On Equity ◽  
Public Offerings ◽  
Asset Pricing Model

RESUMO Este artigo avalia os possíveis impactos decorrentes da mudança do capital requerido dos bancos no Brasil, com a implantação do Acordo de Basileia III. Para tanto, foi utilizada uma amostra de 58 bancos, que compreende 80% dos ativos do Sistema Financeiro Nacional, segundo os balanços de dezembro de 2012. A metodologia adotada simulou a necessidade de capital regulatório que será exigida ao final do período de transição, em 2019, considerando a continuidade dos ativos ponderados pelo risco (APR) contido nesses balanços. Assumindo que alguns bancos irão recorrer ao mercado de capitais para elevar sua capitalização, foram analisados os retornos sobre o patrimônio (return on equity - ROE) nos últimos três anos, comparados ao custo de capital próprio, estimado pelo modelo internacional de precificação de ativos de capital (international capital asset pricing model - ICAPM). Constatou-se que 23 instituições apresentaram algum tipo de desenquadramento ao novo capital regulatório, dentre as quais os 3 maiores bancos públicos federais. Verificou-se, também, que 39 bancos apresentam ROE insuficiente para atrair novos investidores. A análise conjunta da adequação da estrutura de capital e do nível de retorno pode identificar eventuais vulnerabilidades. Conclui-se que a implantação do Acordo de Basileia III no Brasil pode intensificar a busca por maior eficiência e lucratividade. Em um futuro cenário, o sistema bancário brasileiro pode observar uma onda de fusões e aquisições e o crescimento do número de ofertas públicas iniciais (initial public offerings - IPOs).

scholarly journals Country Risk Analysis of Pakistan: Evidence from Karachi Stock Exchange

2017 ◽  
pp. 65-77
Author(s):  
Fauzia Mubarik Et al.,
Keyword(s):  
Asset Pricing ◽  
Foreign Exchange ◽  
Country Risk ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Economic Factors ◽  
Pricing Model ◽  
International Capital ◽  
Capital Asset ◽  
Asset Pricing Model

This study analyzes the country risk of Pakistan by employing the international capital asset pricing model (ICAPM) framework for the time period of July 2000 to June 2015. This study has used the country beta approach to examine the country risk based on the local as well as the global economic indicators. The study includes one domestic variable; foreign exchange reserves (cash holdings) and three global variables; real foreign exchange rate, gold prices, and oil prices to examine the impact of these economic factors on country risk by employing Beta market approach. The empirical results of this study conclude that time-varying beta in Pakistan is affected by the global economic factors as well as the domestic economic factors and hence support the international capital asset pricing model in case of Pakistan. The findings of the study suggest that the international investors can frame out the hedging policy against country risk in measuring investment return and that an effective monetary and fiscal policy can be designed by considering the relationship of macroeconomic factors with country risk.

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