The evolution of capital asset pricing models

The evolution of capital asset pricing models The capital asset pricing models (CAPM) has been the benchmark of asset pricing models and has been used to calculate asset returns and the cost of capital for more than four decades. Many researchers have tried to relax the original assumptions and generalize the static CAPM. We survey the important alternative theoretical models of capital asset pricing and provide a complete review of the evolution of asset pricing models. We also discuss the interrelationships among these models and suggest several possible directions for future research. Our results might be used as a guideline for future theoretical and empirical research in capital asset pricing. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

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Publisher
Springer US
Copyright
Copyright © 2013 by Springer Science+Business Media New York
Subject
Economics / Management Science; Finance/Investment/Banking; Accounting/Auditing; Econometrics; Operations Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-013-0348-x
Publisher site
See Article on Publisher Site

References

  • Asset pricing with liquidity risk
    Acharya, VV; Pedersen, LH
  • Productivity-based asset pricing: theory and evidence
    Balvers, RJ; Huang, D
  • Predicting stock returns in an efficient market
    Balvers, RJ; Cosimano, TF; McDonald, B
  • Stocks as lotteries: the implications of probability weighting for security prices
    Barberis, N; Huang, M
  • Asset pricing with heterogeneous beliefs
    Basak, S
  • An alternative test of the capital asset pricing model
    Cheng, PL; Grauer, RR

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