The Capital Asset Pricing Model: Theory and Evidence

By C. Peake. 2005

2,131 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e858e11ef95a0be5383bb7c8b1edc2555cc5ad33

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Citations in the corpus

Dynamic Stock Selection Strategies: A Structured Factor Model Framework (2012, methodology): “Empirical applications of the regression model associated to the CAPM have shown that it is a rather poor statistical model (see Fama and French, 2004, for a recent discussion on this issue) and, as a natural consequence, some other models have been suggested as alternatives.”
Capital structure decisions in family firms: empirical evidence from a bank-based economy (2011, positive): “For the U.S., Fama and French (2004) have argued that both the number and characteristics of new lists has changed dramatically in the U.S. Cross sectional characteristics of new lists show more left skewed profitability in combination with more right skewed growth options resulting in a sharp decli”
Empirical cross-sectional asset pricing: a survey (2011, background): “Early research, for example Fama and MacBeth (1973), finds no support for pricing of idiosyncratic risk.”
Stock Returns on Customer Satisfaction Do Beat the Market: Gauging the Effect of a Marketing Intangible (2016, methodology): “Adding risk factors proposed by Fama and MacBeth (1973) and Fama and French (1993, 2004), we specify a threefactor model: SATit = ait + b1MKTt + b2SMBt + b3HMLt + eit,(3) where the additional factors are SMBt (stock size risk premium) = the size risk-factor returns at time t and HMLt (stock growth…”
IPO Research in Management and Entrepreneurship: Moving the Agenda Forward (2009, background): “Using these ratios allows researchers to compare investor perceptions of IPO firms to perceptions regarding other IPO and non-IPO firms (Fama & French, 2004; Kim & Ritter, 1999).”
THE IMPACT OF MACROECONOMIC VARIABLES ON STOCK MARKET RETURNS IN KENYA (2014, neutral): “11: July 2014[01-31] (ISSN: 2225-2436)”
Transformational leadership, corporate social responsibility, organizational innovation, and organizational performance: Symmetrical and asymmetrical analytical approaches (2018, background): “Thus, we hypothesize: Hypothesis 3: Transformational leadership is ositively associated with organizational innovation 3.4 The mediation effect of CSR In literature, several models relating to CSR and profitability exist (Fama and French, 2004).”
Risk parity portfolios with risk factors (2016, background): “This index is composed of 10 subindexes: (1) convertible arbitrage, (2) dedicated short bias, (3) emerging markets, (4) equity market neutral, (5) event driven, (6) fixed income arbitrage, (7) global macro, (8) long/short equity, (9) managed futures and (10) multi-strategy.”
Multivariate Tests of Mean–Variance Efficiency With Possibly Non-Gaussian Errors (2007, methodology): “The capital asset pricing model (CAPM) is one of the most commonly used models in theoretical and applied finance; (for reviews and references, see Campbell, Lo, and MacKinlay 1997; Shanken 1996; Cochrane 2001; DeRoon and Nijman 2001; Fama and French 2004).”
Money flows like mercury: the geography of global finance (2005, background): “Even so, it is arguable that recent research has systematically undercut the plausibility of such assumptions (compare Fama (1970) with Fama and French (2004)).”