A net beta test of asset pricing models

Guermat, Cherif; Freeman, Mark

doi:10.1016/j.irfa.2009.09.008

Cited by 7 publications

(2 citation statements)

References 57 publications

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“…The above regression equations are estimated using the ordinary least squares and applying the rolling regression approach to allow the factors to vary with time. Recently, Guermat and Freeman (2010) proposed an improvement of the conditional beta model that has lower standard errors than those generated by earlier models.…”

Section: The Capm Approachmentioning

confidence: 99%

Stock Markets and Energy Prices

Abul

2014

Reference Module in Earth Systems and Environmental Sciences

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Section: The Capm Approachmentioning

confidence: 99%

Stock Markets and Energy Prices

Abul

2014

Reference Module in Earth Systems and Environmental Sciences

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“…This model attracted the attention of many researchers. The model was examined in several studies (Kumar et al, 2008) New York Stock Exchange; (Palandri, 2009) Copenhagen Stock Exchange; (Lee, Tsai, and Lee, 2009), (Adrian and Franzoni, 2009) and (Guermat and Freeman, 2010) New York Stock Exchange. Another important development took place in CAPM when researchers were paying attention to the impact of financial, operational, combined and economic leverages in efficiency of portfolio management.…”

Section: Introductionmentioning

confidence: 99%

A Study on Developing of Asset Pricing Models

Raei¹,

Ahmadinia²,

Hasbaei³

2011

IBR

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This study introduces the development and modifications of the widely used standard capital asset pricing model (CAPM). Many modifications are applied to the model’s challenging financial variables such as: financial risk factors, liquidity risks, downside risks, risk of non expected events, and economic and operational risk factors. Efficiency of the model is increased when applying various challenging financial variables. As a result of the gradual CAPM developments, various new models will present better interpretations of market conditions in economic units and portfolio structure. Furthermore, this study will show the importance of applying the new models advantages and disadvantages for financial managers, financial analysts and investors.

po? c.?x ?w vant factors identified in this study showed that lenders took particular interest in risk when dealing with SMEs. This is not out of place, as every business seeks to make profit and thus they need to be sure of recouping their monies when they lend them out to small businesses. It is thus very necessary for SME borrowers to develop an understanding of the decision criteria used by financial institutions in order to increase the probability of getting their loan request approved by fulfilling the required criteria adequately.

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