Corpus ID: 221892493

A Note on Size-Based Capital Asset Pricing Model

@inproceedings{BoamahAddo2019ANO,
  title={A Note on Size-Based Capital Asset Pricing Model},
  author={Kwame Boamah-Addo and Brandon Flores and Jakob Lovato and A. Sarantsev},
  year={2019}
}
  • Kwame Boamah-Addo, Brandon Flores, +1 author A. Sarantsev
  • Published 2019
  • Economics
  • The purpose of this short note is to state the Capital Asset Pricing Model for size deciles from Center for Research in Securities Prices database, and construct a related continuous-time model for Stochastic Portfolio Theory with rank-based Levy particles. We regress equity premia for size deciles over the equity premium for the top decile, and modify the model for continuous time. We simulate the resulting capital distribution curve.