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Projection pricing methods with applications to valuation of R&D ventures /Garcia Franco, José Carlos. January 2004 (has links) (PDF)
Calif., Univ., Dep. of Management Science and Engineering, Diss.--Stanford, 2004. / Kopie, ersch. im Verl. UMI, Ann Arbor, Mich.
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Essays on financial market risk premiums /Engstrom, Eric C. January 2005 (has links) (PDF)
NY, Columbia Univ., Graduate School of Arts and Sciences, Diss.--New York, 2005. / Kopie, ersch. im Verl. UMI, Ann Arbor, Mich.
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Empirical testing of implied cost of equity in the capital asset pricing model using JSE listed companiesKempff, Paul January 2013 (has links)
The capital asset pricing model (CAPM) has for half a century been considered a pillar of modern finance in describing the relationship that is deemed to exist between the risk of owning an asset and the expected future returns from that asset. The model has however been subject to criticisms and attacks in the literature and some doubt remains about the validity and successful application of the model. This research builds on previous empirical testing of the CAPM with a specific focus on the cost of equity of companies listed on the Johannesburg Stock Exchange.
The approach of this research was to use market values, as indicated by the share price of a listed company and discounted free cash-flow valuations to determine both an estimated and implied cost of equity. The aim was to test the validity of the CAPM empirically and potentially find an accurate, implied cost of equity for the South African equity market, by comparing the different rates and looking for statistical correlation between them. While no correlation could be found, this study did provide evidence that the cost of equity and the market risk premium in South Africa is potentially higher than previously thought. / Dissertation (MBA)--University of Pretoria, 2013. / ccgibs2014 / Gordon Institute of Business Science (GIBS) / MBA / Unrestricted
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The cost of equity of dual-listed South African companiesMaphumulo, Philile 24 July 2013 (has links)
M.Comm. (Financial Management) / Since the late 1990s South African companies have started to dual list their shares in different countries, mainly to source capital from larger and more developed economies. In addition to this the level of participation by foreigners in the buying and selling of South African shares has increased. This leads to the question: should a local or a global CAPM (capital asset pricing model) be used to value shares that are traded in integrated global capital markets? This study focuses on dual-listed South African shares as these shares are most likely to be traded by investors globally. This study replicated aspects of earlier studies conducted in the Unites States of America and the United Kingdom, which are developed economies. By applying the same principles within a South African context, valuable insights might be derived relating to companies from developing economies. The main purpose of this study is to investigate the impact of using a global CAPM instead of a local CAPM to determine the cost of equity of South African companies. To this end, a sample of 26 dual-listed South African companies was selected using non-probability judgement sampling. Descriptive research was undertaken using quantitative analysis of secondary data. The cost of equity using the local and global CAPM was calculated for each of the selected dual-listed South African companies. The historical monthly returns of the dual-listed shares as well as each of the local and global risk factors during the period from 1 January 2005 to 31 December 2009 were used to calculate the local and global beta coefficients. The estimates of the local and global cost of equity were compared to ascertain whether there were significant differences for individual shares, as well as across different market sectors. While the results from similar previous studies on shares of developed countries by Koedijk and van Dijk (2004:474); Koedijk et al (2002:911); and Mishra and O‟Brien (2001:28) indicated insignificant differences between the local and global CAPM, this study indicated differences of 400 basis points and above for the sample of dual-listed South African companies. The findings in this study therefore suggest that the findings from studies conducted in developed economies cannot be generalised for companies in developing economies. In the South African market, shares across different sectors behave differently towards global risk factors; therefore this study highlighted the need for financial analysts to carefully consider using the global CAPM instead of the local CAPM when valuing shares that are traded in globally integrated capital markets. Using the incorrect cost of equity may result in incorrectly valuing a company as well as incorrect decision making.
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Empirical tests of asset pricing modelsDavies, Philip R. 17 July 2007 (has links)
No description available.
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The conditional relationship between beta and returns: a re-assessment.Freeman, Mark C., Guermat, C. January 2006 (has links)
No / Several recent empirical tests of the Capital Asset Pricing Model have been based on the conditional relationship between betas and market returns. This paper shows that this method needs reconsideration. An adjusted version of this test is presented. It is then demonstrated that the adjusted technique has similar, or lower, power to the more easily implemented CAPM test of Fama and MacBeth (1973) if returns are normally distributed.
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Modelos CAPM e CCAPM aplicados ao mercado imobili??rio de S??o Paulo e Rio de JaneiroSeverino, L??lian Santos Marques 16 December 2016 (has links)
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Previous issue date: 2016-12-16 / This study aims to analyze the behavior of the real estate market in the Brazilian cities of S??o
Paulo and Rio de Janeiro from 2008 to 2016 as seen through the analysis of monthly pricing
data for both sales and rental markets, apparent consumption, stock of properties, and market
return (IBOVESPA). Two models were estimated, the first, the CAPM, aimed at analyzing
how return from investment in housing in both cities compared to the market return
(IBOVESPA). The second model, the CCAPM was modified to suit the presence of
preference for ownership of property. This study concludes that regarding the change-over of
the return rates in Rio de Janeiro and S??o Paulo, investment in the housing market in both
cities is negatively affected by the change-over of the return in investments on the whole
stock market. Moreover, when we include the consumption in the pricing model, there is an
intertemporal discount factor for consumption of roughly 0,98 per month for both cities,
which confirms that Brazilian real estate buyers are more impatient than their American
counterparts, and that the percentage of their income spent on consumption and investment in
housing varies from one city to another. / O presente trabalho trata do comportamento do mercado imobili??rio nas cidades de S??o Paulo
e Rio de Janeiro no per??odo de 2008 a 2016, analisando dados mensais de pre??os de venda e
de aluguel de im??veis, consumo aparente, estoque de im??veis e taxa de retorno de mercado
(IBOVESPA). Foram estimados dois modelos, o primeiro, o CAPM, visou analisar o
comportamento do retorno do investimento imobili??rio das duas localidades em rela????o ao
retorno de mercado e o segundo modelo, o CCAPM modificado para exist??ncia de
prefer??ncias pela propriedade de im??veis. O estudo conclui, em rela????o ??s taxas de retorno,
que a varia????o do investimento no mercado imobili??rio, tanto no Rio de Janeiro quanto em
S??o Paulo, ?? afetada de forma negativa pela varia????o do retorno de mercado. Al??m disso,
quando inclui o consumo no modelo de precifica????o, observa-se um fator de desconto
intertemporal do consumo em torno de 0,98 ao m??s para as duas cidades, confirmando que o
consumidor brasileiro ?? mais impaciente que o americano, e que os percentuais da sua renda
destinada ao consumo e ao investimento imobili??rio diferem de uma cidade para a outra.
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Kapitalkosten zur Investitionsbewertung in der EnergiewirtschaftHöge, Christin 10 October 2014 (has links)
Die Wahl risikoadäquater Kapitalkosten ist Voraussetzung für eine Investitionsentscheidung im Interesse der Investoren. In der Energiewirtschaft wird die Ermittlung der Eigenkapitalkosten mit Hilfe des Capital Asset Pricing Models (CAPM) infolge fehlender Kapitalmarktdaten für Investitionen in regenerative Energien sowie durch die Existenz neuer Marktakteure mit eingeschränkter Risikostreuung allerdings mehr und mehr erschwert. Der vorliegende Beitrag beschreibt ein Forschungsvorhaben zur Entwicklung eines modellbasierten Ansatzes, der die veränderten Bedingungen durch den Wandel in der Energiewirtschaft aufgreifen und damit verbundene Problemfelder lösen soll.
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Estudo empírico sobre metodologias alternativas de aplicação do CAPM no mercado de ações brasileiro / Estudo empírico sobre metodologias alternativas de aplicação do CAPM no mercado de ações brasileiroMatias Filho, José 11 April 2006 (has links)
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Previous issue date: 2006-04-11 / Innumerous studies have being searching to measure the risk component involved in the expected return for capital investments, remarking decades of hard work of many relevant
Financial Theory authors worldwide, while being a common activity between analysts of financial institutions and other parts of the market. The object of this work is to contribute to this search, through the evaluation of alternative methodologies to calculate the CAPM (Capital Asset Pricing Model) when submitted to the Brazilian Stock Market conditions, through the application of four methodologies to
determine the Beta, three methodologies to calculate the CAPM and eight distinct macroeconomics scenarios. The purpose is to determine equal relations between a group of distinct expected returns obtained and the effective behavior of the asset returns studied in many periods of measurement.
It was used the statistic method known as test for differences in two means to compare many series of expected returns obtained and their respective effective returns, getting results that suggests the use of some methodologies and scenarios as valid tools to predict future returns to some financial assets of our market. / Inúmeros estudos têm sido feitos procurando mensurar o componente de risco envolvido no retorno esperado em investimentos de capital, cuja busca já remonta várias décadas e tem tido o envolvimento dos principais autores mundiais em teoria financeira, além de ser atividade obrigatória nas mesas de operações das instituições financeiras e demais participantes do mercado. O objetivo deste trabalho é de contribuir com essa busca, através da avaliação de metodologias alternativas de cálculo do CAPM (Capital Asset Pricing Model) quando submetidas às condições do mercado de ações brasileiro, através da aplicação de quatro metodologias de determinação do índice beta e três metodologias de cálculo do CAPM diferentes, em 8 cenários macro-econômicos distintos. Busca-se dessa forma determinar relações de igualdade entre o conjunto dos diversos retornos esperados obtidos e o efetivo comportamento de retornos dos ativos estudados em períodos diversos de medição. Foi utilizado o método estatístico conhecido como Teste de Hipóteses de Diferença de Médias para comparar as diversas séries de retornos esperados obtidos com os respectivos retornos efetivos, obtendo resultados que sugerem a indicação de algumas metodologias e cenários como ferramentas válidas na predição de retornos futuros de alguns ativos financeiros de nosso mercado.
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Multifactor Capital Asset Pricing Model in the Jordanian Stock MarketElshqirat, Mohammad Kamel 01 January 2018 (has links)
A valid and accurate capital asset pricing model (CAPM) may help investors and mutual funds managers in determining expected returns and thus, may increase profits which can be reflected on the community resources. The problem is that the traditional CAPM does not accurately predict the expected rate of return. A more accurate model is needed to help investors in determining the intrinsic price of the financial asset they want to sell or buy. The purpose of this study was to examine the validity of the single-factor CAPM and then develop and test the validity of a multifactor CAPM in the Jordanian stock market. The study was informed by the modern portfolio theory and specifically by the single-factor CAPM developed by Sharpe, Lintner, and Mossin. The research questions for the study examined the factors that may explain the variation in the expected rate of return on stocks in the Jordanian stock market and the relationship between the expected rate of return and factors of market return, company size, financial leverage, and operating leverage. A causal-comparative quantitative research design was employed to achieve the purpose of the study by testing the listed companies on the Amman stock exchange (ASE) for the period from 2000 to 2015. Data were collected from the ASE database and analyzed using the multiple regression model and t test. The results revealed that market return, company size, and financial leverage are not predictors of the expected rate of return while operating leverage is a predictor. The results of this study may contribute to positive social change by changing the way the individual investors and mutual funds managers select their investing portfolios which can lead to better resource distribution in the economy.
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