The application of technical trading rules developed from spot market prices on futures market prices using CAPM

Er, Hakan; Hushmat, Adnan

doi:10.1007/s40821-016-0056-2

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𝐸 (𝑟 𝑖 ) = 𝑟 𝑓 + 𝛽 * [𝐸 (𝑅 𝑚 ) − 𝑟 𝑓 ]1

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Cited by 7 publications

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“…This model has persevered and served for many years and is still both strongly backed by many supporters as well as criticized by many opponents. Er and Hushmat (2017) initiate technical trading rules on the futures market by using the CAPM. Zaremba (2016) shows that there are almost no risk-return relation in the CAPM beta at the inter-county level compared to the intracountry level.…”

Section: 𝐸 (𝑟 𝑖 ) = 𝑟 𝑓 + 𝛽 * [𝐸 (𝑅 𝑚 ) − 𝑟 𝑓 ]mentioning

confidence: 99%

New evidence on practical implications of the CAPM

Taussig

2021

J Corp Accounting Finance

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The Capital Asset Pricing Model (CAPM) has received tremendous attention since 1964. One of the main aspects of the model is a linear relationship between the coefficient of systematic risk, beta, and expected stock returns. This linear relationship is tested with non-parametric estimation. While the linear relationship is sustainable, the parabolic relationship is rejected significantly. The result is a strong support for the CAPM. Linear non-parametric estimation produces better predictions, which can benefit professionals.

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Section: 𝐸 (𝑟 𝑖 ) = 𝑟 𝑓 + 𝛽 * [𝐸 (𝑅 𝑚 ) − 𝑟 𝑓 ]mentioning

confidence: 99%