scholarly journals Meanings Of Weighted Beta Capm Index And Beta Derminants Of Vietcombank In Vietnam During Pre-Low Inflation Time 2011-2016 In The Concept Of Sustainability

2021 ◽  
Vol 23 (08) ◽  
pp. 497-510
Author(s):  
Leng Thi Lan ◽  
◽  
Dinh Tran Ngoc Huy ◽  
Nguyen Dinh Trung ◽  
Nguyen Thi Hang ◽  
...  
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Pricing Models ◽  
Factors Affecting ◽  
Governmental Agencies ◽  
Study Results ◽  
Lending Rate ◽  
Potential Factors ◽  
Three Factor

The aim of this study is to figure out the meanings of weighted beta index in bank sector and beta determinants of Vietcombank -VCB during pre-low (L) inflation period 2011-2016. In reality Vietcombank has gained many achievements but also there are certain weaknesses. Hung and Liu (2005) tested the volatility of airline betas in the capital asset pricing and three-factor pricing models, as well as exploring the potential factors affecting their values. While Fama and Frech (2004) suggest to add firm size into traditional formula of beta CAPM. The study results tell us that Market risk can increased and This may be caused by the increase in lending rate and decrease in both CPI and G (from our regression OLS). Therefore, governmental agencies need to reduce lending rate and increase GDP growth and not decreasing much CPI.

Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models

2017 ◽  
Vol 42 (4) ◽  
pp. 653-672 ◽  
Author(s):  
Qi Shi ◽  
Bin Li ◽  
Adrian (Wai Kong) Cheung ◽  
Richard Chung
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Model Fit ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Pricing Models ◽  
Asset Pricing Models ◽  
Intertemporal Capm ◽  
Three Factor ◽  
Fitting Problem

Studies consistently find that inflation is an important augmented factor for intertemporal capital asset pricing models (ICAPMs) when pricing the Fama–French 25 size and book-to-market portfolios. We extend this line of research by investigating two alternative ICAPM models (from Michel; Hahn and Lee) and the three-factor model from Hou et al. We find significant evidence that both ICAPMs and Hou et al.’s three-factor model perform better when augmented with inflation than the original models. The augmented models achieve a good model fit with the fewest factors, thus avoiding or alleviating the over-fitting problem.

scholarly journals Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models

2012 ◽  
Author(s):  
Ulrich Horst ◽  
Michael Kupper ◽  
Andrea Macrina ◽  
Christoph Mainberger
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Pricing Models ◽  
Asset Pricing Models

Capital Asset Pricing Models

2021 ◽  
pp. 25-52
Author(s):  
James W. Kolari ◽  
Wei Liu ◽  
Jianhua Z. Huang
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Pricing Models ◽  
Asset Pricing Models

scholarly journals Continuous equilibrium in affine and information-based capital asset pricing models

2012 ◽  
Vol 9 (4) ◽  
pp. 725-755
Author(s):  
Ulrich Horst ◽  
Michael Kupper ◽  
Andrea Macrina ◽  
Christoph Mainberger
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Pricing Models ◽  
Asset Pricing Models
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