Asset pricing model

Asset pricing model

A model for determining the required or expected rate of return on an asset. Related: Capital asset pricing model and arbitrage pricing theory.

Asset Pricing Model

Any of several models used to determine the appropriate price or return on an asset at a given level of risk. Prominent examples include the capital asset pricing model and the arbitrage pricing theory.
References in periodicals archive ?
This finding was counter to the EMH and the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), and the Black-Scholes option pricing model, which are quantitative models derived from the EMH.
In the examples of production technologies, a pure consumption endowment is utilized as the required specification to create a linear-quadratic version of Lucas's asset pricing model.
None other than the Father of Beta and the Capital Asset Pricing Model, and holder of a Nobel Prize for his creation, Bill Sharpe declared, "Smart Beta makes me sick.
Combining quantitative treatment with conceptual discussion, the author presents fourteen chapters on the nature of financial markets, the efficient market theory, return and volatility estimates, diversification benefits and correlation estimates, the Capital Asset Pricing Model and Arbitrage Pricing Theory, the equity fundamental multifactors model, financial derivatives, fixed income and interest rate risk, liquidity risk, active management versus passive management, stress testing and back testing, and the third Basel Accord on banking supervision.
Then the Capital Asset Pricing Model, CAPM, and Black Scholes models introduced the measurement of risk to a portfolio.
Gurdip Bakshi, Xiaohui Gao, and Alberto Rossi, University of Maryland, "A Better Specified Asset Pricing Model to Explain the Cross-section and Time-series of Commodity Returns"
It focuses on the mathematics and scientific approach of physics as applied to financial analysis, examining how physicists contributed to the development of the capital asset pricing model, efficient market theory, and other topics.
The failure of the traditional capital asset pricing model (CAPM) to explain the cross section of stock returns has motivated financial economists to search for additional factors that, ideally, also bear economic meanings.
The basic capital asset pricing model (CAPM), developed independently by Sharpe (1964), Lintner (1965) and Mossin (1966), building on the earlier work of Markowitz (1952) on mean-variance portfolio theory, has been the corner-stone of modern finance for the last four decades.
With classes like "food chemistry" mixed in with accounting and finance courses, one minute McConnell was cooking an omelette, the next he was learning about net present value and the capital asset pricing model.
Subsequently, Capital Asset Pricing Model (CAPM) has been developed by Sharpe (1964), Linter (1965) and Mossin (1966).
Under the framework of Fisher's hypothesis and the real capital asset pricing model, we investigated stumpage prices' ability to hedge against inflation in 12 US southern timber regions using Timber Mart-South data.