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Capital asset pricing model

Known as: CAPM, Capital Asset Price Model 
In finance, the capital asset pricing model (CAPM) is a model used to determine a theoretically appropriate required rate of return of an asset, to… Expand
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Papers overview

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2014
2014
The notion of drawdown is central to active portfolio management. Conditional Drawdown-at-Risk (CDaR) is defined as the average… Expand
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Highly Cited
2007
Highly Cited
2007
In this paper we examine whether and how accounting information about a firm manifests in its cost of capital, despite the forces… Expand
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Highly Cited
2004
Highly Cited
2004
The Capital Asset Pricing Model (CAPM) revolutionized modern finance. Developed in the early 1960s by William Sharpe, Jack… Expand
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Highly Cited
2003
Highly Cited
2003
History generally accords the development of the single-period, discrete-time Capital Asset Pricing Model (CAPM) to the works of… Expand
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Highly Cited
2001
Highly Cited
2001
Amihud and Mendelson’s (1986) ground-breaking model predicts an increasing and concave relation between expected return and… Expand
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Highly Cited
1989
Highly Cited
1989
The extent to which specification error can explain rejection of the intertemporal capital asset pricing model is investigated… Expand
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Highly Cited
1989
Highly Cited
1989
This paper provides conditions on the primitives of a continuous-time economy under which there exist equilibria obeying the… Expand
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Highly Cited
1979
Highly Cited
1979
This paper derives a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods… Expand
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Highly Cited
1973
Highly Cited
1973
An intertemporal model for the capital market is deduced from the portfolio selection behavior by an arbitrary number of… Expand
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Highly Cited
1972
Highly Cited
1972
Considerable attention has recently been given to general equilibrium models of the pricing of capital assets. Of these, perhaps… Expand
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