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.

scholarly journals A efetividade da governança corporativa sobre o risco dos ativos da BM&FBovespa

2017 ◽  
Vol 16 (3) ◽  
pp. 933-956 ◽  
Author(s):  
Cássio Nóbrega Besarria ◽  
Herickson Santos Silva
Keyword(s):  
Corporate Governance ◽  
Asset Pricing ◽  
Financial Risk ◽  
Minimum Variance ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
First Moment

Com este artigo teve-se o propósito de verificar se a utilização dos métodos de governança corporativa adotados pelas empresas listadas na Bolsa de Valores, Mercadorias e Futuros de São Paulo (BM&FBovespa) diminui o risco nos ativos. Utilizando cotações do período de 01 de junho de 2012 a 04 de julho de 2016, este estudo se divide em três etapas: no primeiro momento, as cotações são otimizadas e analisadas quanto ao desempenho das três carteiras de variância mínima referentes aos diferentes níveis de governança corporativa: Nível 1 (N1), Nível 2 (N2) e Novo Mercado (NM). Na segunda etapa é estimado por MQO o modelo de precificação de ativos de Sharpe-Lintner-Black, o Capital Asset Pricing Model (CAPM). Na terceira etapa são comparados os desempenhos de carteiras representativas para as ações classificadas em diferentes níveis de governança com índices de governança propostos pela BM&FBovespa. De acordo com os resultados obtidos, foi observado que os ativos que possuem maior nível de transparência tendem a apresentar menores níveis de variância ou risco.Palavras-chave: Governança corporativa. Mercado financeiro. Risco financeiro. Abstract The purpose of this article was to verify if the use of the corporate governance methods adopted by the BM&FBovespa listed companies reduces the risk in the assets. Using prices from June 1, 2012 to July 4, 2016, this study is divided into three stages: at the first moment, the three minimum variance portfolios referring to the different corporate governance levels are optimized and analyzed: 1 (N1), Level 2 (N2) and Novo Mercado (NM). In the second stage, the asset pricing model of Sharpe-Lintner-Black, the Capital Asset Pricing Model (CAPM), is estimated by MQO. In the third step, the performance of representative portfolios is compared to the shares rated at different levels of governance with governance indexes proposed by BM & FBovespa. According to the results obtained, it is observed that the assets with the highest level of transparency tend to have lower levels of variance or risk.Keywords: Corporate governance. Financial market. Financial risk.

Mathematical modelling of a shariah-compliant capital asset pricing model

2020 ◽  
Vol 11 (1) ◽  
pp. 90-109 ◽  
Author(s):  
Mohamad Hafiz Hazny ◽  
Haslifah Mohamad Hasim ◽  
Aida Yuzy Yusof
Keyword(s):  
Asset Pricing ◽  
Variance Analysis ◽  
Islamic Finance ◽  
Capital Asset Pricing ◽  
Financial Assets ◽  
Pricing Model ◽  
Capital Asset ◽  
Content Type ◽  
Asset Pricing Model ◽  
Mean Variance

Purpose The capital asset pricing model (CAPM) is the most widely used asset pricing model that measures risk–return relationship. The CAPM is based on Markowitz’s mean variance analysis. The advancement of Islamic finance leads to the question whether or not the practice of modern investment theories and analyses such as the Markowitz’s mean variance analysis and CAPM are in accordance to shariah and could be used in pricing Islamic financial assets. Therefore, this paper aims to present a review of the CAPM and to discourse the set of assumptions underlying the model in terms of shariah compliance. Design/methodology/approach Although most of the assumptions are not contradictory to shariah principles, there are Islamic variables such as prohibition of short selling, purification and zakat that should be taken into consideration when pricing Islamic financial assets. We then develop a mathematical model which is a modification of the traditional CAPM that incorporates principles of Islamic finance and integrating zakat, purification of return and exclusion of short sales. Findings As a proof-of-concept, this paper presents the results of an empirical study on the proposed shariah-compliant CAPM in comparison to the traditional CAPM. The results show that the proposed Islamic CAPM is appropriate and applicable in examining the relationship between risk and return in the Islamic stock market. Originality/value This study contributes to existing body of knowledge by presenting an algorithm and mathematical derivation of the shariah-compliant CAPM which has been lacking in the literature of Islamic finance. The paper offers a novel approach in pricing Islamic financial assets in accordance to shariah, advocated by modern investment theories of Markowitz’s mean variance analysis and CAPM.

scholarly journals On the validity of the Capital Asset Pricing Model

2000 ◽  
Vol 5 (1) ◽  
pp. 73-92
Author(s):  
Hassan Naqvi
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Specific Level ◽  
Asset Pricing Model ◽  
The Subject ◽  
Mean Variance ◽  
Level Of Risk

One of the most important developments of modern finance is the Capital Asset Pricing Model (CAPM) of Sharpe, Lintner and Mossin. Although the model has been the subject of several academic papers, it is still exposed to theoretical and empirical criticisms. The CAPM is based on Markowitz’s (1959) mean variance analysis. Markowitz demonstrated that rational investors would hold assets, which offer the highest possible return for a given level of risk, or conversely assets with the minimum level of risk for a specific level of return.

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