Asset pricing in a multifactor setting

Cayirli, Omer; Kayalıdere, Koray; Aktaş, Hüseyin

doi:10.1016/j.bir.2022.08.001

Cited by 5 publications

(5 citation statements)

References 13 publications

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“…A securities or portfolio's volatility, or systematic risk, as contrasted to the market as a whole (often the S&P 500), is measured by its beta. The weighted average of each asset's beta makes up the beta of a portfolio, and by definition, the beta of a market portfolio should be one [3]. Generally speaking, stocks with betas greater than 1.0 are thought to be more volatile than the S&P 500.…”

Section: Leverage = Market Value Of Debt / Market Value Of Equity (1)mentioning

confidence: 99%

Comparative Analysis of Development Strategies of Real Estate Companies in Different Fields

Shen

2024

Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024)

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With the rapid development of the real estate industry, people's interest in real estate investment is increasing, and its industry value is also rising. But the real estate industry is not what people usually think, it has many branches, including the medical and health field, apartment housing field, entertainment real estate field and so on. Investment in different fields of real estate has become a major problem for people, and which field to choose for investment has become a problem for investors. This paper mainly studies the development and operation of real estate in three different fields, compares and analyzes the data of real estate enterprises in three different fields, and gives investors investment advice. This study mainly analyzes the market conditions of three companies by investigating the financial report data of three companies located in different real estate fields, calculating the leverage, WACC and beta of asset of the three companies, so as to compare the situation of different real estate fields. After calculations and data analysis, it was finally concluded that Welltower is in the best position among the three companies, but investors are still allowed to reasonably choose the companies and companies to invest in according to their own risk tolerance. These three companies are all well-run enterprises, and Welltower's data also reflects the advantages of the real estate field of health care and pension in the real estate industry, which is not only the impact of policies, but also the results of the company's own efforts.

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Section: Leverage = Market Value Of Debt / Market Value Of Equity (1)mentioning

confidence: 99%

Comparative Analysis of Development Strategies of Real Estate Companies in Different Fields

Shen

2024

Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024)

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“…• ai stands for the intercept. [1] This formula outlines the intricate relationship involving a stock's return and the wide range of factors impacting its value, making it a valuable tool for financial study and portfolio development. The beta measures a security's risk profile in connection to the stock marketplace overall.…”

Section: +βI(n)×fn+eimentioning

confidence: 99%

“…It provides a thorough understanding by considering the simultaneous influence of several elements on the results of specific assets or portfolios. Essentially, a multivariate model uses financial modeling to examine the complexities of asset price [1]. The method stands out because it incorporates many variables, allowing for a more in-depth analysis of the relationships among the parameters in question and how those relationships impact market circumstances [2].…”

Section: Introduction To Multi-factor Models In Financementioning

confidence: 99%

Multi-factor Models in Finance

Liang

2024

AEMPS

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This literature review explores the significance of multi-factor models in finance, emphasizing their dynamic nature and pivotal role in understanding global market patterns. The multi-factor framework, adept at capturing the complexities of asset pricing, incorporates various variables, enabling a comprehensive analysis of relationships impacting market conditions. The Fama-French Three-Factor Model, an influential extension of traditional models, introduces size and value components, enriching the understanding of asset valuations. Assumptions underpinning multi-factor models, such as market efficiency and rational investor behavior, form essential foundations. Despite their advantages, these models face challenges, including the risk of overfitting and the complexity of incorporating numerous variables. The study underscores the need to recognize these limitations while appreciating the models' contributions to portfolio management and risk assessment, ultimately contributing to the ongoing evolution of financial analysis.

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“…Además, la metodología propuesta permite el riesgo sistemático variable en el tiempo y ofrece una forma simple de estimar el exceso de rendimiento esperado en un entorno multifactorial. La crítica principal a los modelos multifactoriales es que, si al menos un activo en la cartera de mercado es sensible a un factor con precio, entonces la cartera de mercado también debería ser sensible a este factor los autores son de Turquía (Cayirli, Kayalidere & Aktas 2023).…”

Section: Revisión De La Literaturaunclassified

El modelo de fijación de precios de activos de capital aplicado en grandes empresas

Ordoñez-Avila,

Sauza-Avila,

Cruz-Domínguez

et al. 2023

ESCS

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La finalidad de este escrito es realizar el comparativo al aplicar el modelo CAPM en los diferentes activos de empresas que cotizan en la Bolsa de Valores, antes y después de la pandemia del COVID-19 para una adecuada toma de decisiones, en primer lugar se consultó información de artículos en la base de datos de Scopus, en segunda instancia la información obtenida fue procesada en el software VOSviewerse en donde se obtuvieron imágenes como por ejemplo, los principales autores, los países en donde se han realizado las investigaciones, las fuentes de publicado, y las palabras clave, en tercer lugar se obtuvo información relacionada con el valor de las acciones de las empresas, generada en la base de datos de Yahoo! finanzas, las entidades consultadas fueron: Tapestry Inc, Ralph Lauren, Cummins Inc., John Deere, Pfizer Inc, por último se calculo el CAPM, haciendo uso del programa Excel y realizando su respectivo análisis. Los resultados obtenidos muestran que la empresa Deere & Company alcanzó un rendimiento anual antes de la pandemia del 16.50% y después de la pandemia del 27.91% siendo la más alta de las empresas en estudio.

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Asset pricing in a multifactor setting

Cited by 5 publications

References 13 publications

Comparative Analysis of Development Strategies of Real Estate Companies in Different Fields

Comparative Analysis of Development Strategies of Real Estate Companies in Different Fields

Multi-factor Models in Finance

El modelo de fijación de precios de activos de capital aplicado en grandes empresas

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