The cost of capital in internationally integrated markets: The case of Nestlé

This paper argues that the cost of capital for firms in small countries should be estimated using the global CAPM rather than a local CAPM. Two related formulas showing the mistake made when using a local CAPM rather than a global CAPM are presented. the global CAPM is implemented for the case of Nestlé and the results are compared to the cost of capital estimate one obtains for Nestlé using a local CAPM when the global CAPM is appropriate.     

基于沪深股市的CAPM适用性检验

利用投资组合理论化解非系统风险的关键条件是系统风险能够充分地被β所反映。本文采用最近八年的沪深股票交易数据。对CAPM在我国股市的适用性进行检验，检验结果是β仍然不能涵盖所有无法分散的风险。     

The Reversal of the Monday Effect: New Evidence from US Equity Markets

This article re-examines the Monday effect in the US stock market from 1964–1999 using daily returns from three large-cap indexes and two small-cap indexes. In the period before 1987, Monday returns are significantly negative in all five US stock indexes, confirming previous empirical findings. In the post-1987 period, we uncover a significant reversal of the Monday effect in the large-cap indexes (NYSE, S&38;P500 and DJCOMP), since Monday returns are significantly positive. Furthermore, significant differences in the persistence and reversal of the Monday effect are found between large-cap and small-cap stock indexes.     

Risk‐Adjusted Long‐Term Contrarian Profits: Evidence from Non‐S&P 500 High‐Volume Stocks

Can trading volume help unravel the long‐term overreaction puzzle? With portfolios of non‐S&P 500 NYSE stocks, we show that (1) both the high‐ and low‐volume (abnormal volume) contrarian portfolios earn a much higher market‐adjusted excess return than the normal‐volume contrarian portfolio, (2) however, when leverage‐induced risk is factored in, excess returns from contrarian portfolios with normal‐ and low‐volume stocks are insignificant, (3) only excess returns from high‐volume contrarian stocks are significant and cannot be explained by the time‐varying risk and return framework, and (4) such high‐volume, risk‐adjusted excess returns arise mainly from winner (glamour) stocks.     

Discounting Mean Reverting Cash Flows with the Capital Asset Pricing Model

Discounting cash flows requires an equilibrium model to determine the cost of capital. The CAPM of Sharpe and the intertemporal asset pricing model of Merton (1973) offer a theoretical justification for discounting at a constant risk adjusted rate. Two problems arise with this application. First, for mean reverting cash flows the risk adjustment is unknown, and second, if the present value is compounded forward then the distribution of future wealth is likely right skewed. I develop equilibrium discount rates for cash flows whose level or growth rate is mean reverting. Serial correlation also largely eliminates the skewness problem.     

The Determinants of REIT Institutional Ownership: Tests of the CAPM

This study examines the determinants of institutional investment demand for REIT common stock. We estimate the demand function for financial institutions using the mean return and CAPM risk measures (beta and standard error) for REIT stocks. The objective is to determine whether institutional investment decisions are influenced by CAPM model attributes. In addition, we examine the predicatability of REIT institutional ownership based on the factors in our model. We employ conventional OLS forecasting techniques, as well as two neural network models in order to deal with possible nonlinearities in the relationships.     

上海证券市场CAPM的实证检验

资本资产定价模型CAPM自诞生以来经历了无数次的检验,早期的实证检验多支持和肯定,后来更多的研究否定了它的有效性,认为β对股票没有解释能力。本分四个时间段对上海证券市场CAPM有效性进行检验,否定了CAPM在前三个时间段的有效笥,不能拒绝其在第四时间段有效。随着时间的推移,非系统风险对股票收益的解释能力越来越弱。     

The Impact of Single Stock Futures on Market Efficiency and Volatility: A Dynamic CAPM Approach

The concerns regarding regulations of futures markets and their destabilizing ability are unresolved in both developed and developing markets. Following stringent regulations of single stock futures (SSFs) for resumption episode after financial crises, this study addresses this concern and investigates the destabilizing impact of SSFs on the underlying stocks in an emerging economy using data of companies listed in the Karachi Stock Exchange between 1999 and 2008. Specifically, the study explores whether SSFs have caused a simultaneous increase in the volatility and operational efficiency of their underlying spot market counterparts. The results reported in the study show that the introduction of SSFs has no significant impact on market efficiency and volatility of SSFs underlying stocks and non-SSFs stocks. The results affirm that SSFs have, at least, no destabilizing impact on the underlying stocks.     

Currency risk premia and uncovered interest parity in the International CAPM

Zero-investment uncovered interest parity (UIP) portfolio positions provide perfect factor-mimicking portfolios for currency risk in the International CAPM context. Their returns are the currency risk premia. Since the UIP positions on average provide low returns, the currency risk premia must be low so that currency risk appears not to be priced in an unconditional model. However, previous research has shown that UIP returns are predictable and may be quite substantial conditionally. We use this observation to generate a specific conditional version of the International CAPM. A GMM approach shows that the conditional model performs well, while the unconditional International CAPM is (marginally) rejected. The paper thus argues that previous rejections of the International CAPM stem from the fact that currency risk premia are by nature low over extended periods of time and do not provide evidence against the International CAPM.     

金融资产定价异常与资产定价模型:理论与实证

通过委托-代理理论对传统资产定价模型进行的拓展,得出了信息不对称下的扩展资产定价和代理成本资产定价模型.据此,进一步通过因子分析设计出了反映逆向选择、道德风险和代理成本的相应变量,并运用上市公司的相应数据对传统的资产定价模型(CAPM)、羊群效应CAPM、FF三因素模型、扩展的CAPM和代理成本CAPM进行了对比分析.对比结果显示:在保证系数和模型准确性的前提下,运用二阶段最小二乘法(TSLS)对扩展的CAPM和代理成本CAPM的估计结果相较于上述三类模型显示了更强的解释力度.