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Tag Archives: CAPM
Arbitrage Pricing Theory (APT)
Arbitrage Pricing Theory (APT) In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the concept of arbitrage portfolio, a pillar concept in asset pricing theory. This article is structured as follows: we present an … Continue reading
Posted in Contributors, Financial techniques
Tagged APT, Asset Pricing, CAPM, Factor Investing, Factors, Market factor
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Fama-MacBeth two-step regression method: the case of K risk factors
Fama-MacBeth two-step regression method: the case of K risk factors In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the Fama-MacBeth two-step regression method used to test asset pricing models in the case of … Continue reading
Posted in Contributors, Financial techniques
Tagged Asset Pricing, CAPM, Econometrics, Fama-MacBeth, Quantitative analysis
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Fama-MacBeth regression method: the stock approach vs the portfolio approach
Fama-MacBeth regression method: the stock approach vs the portfolio approach In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the Fama-MacBeth regression method used to test asset pricing models and addresses the difference when … Continue reading
Posted in Contributors, Financial techniques
Tagged Asset Pricing, CAPM, Econometrics, Fama-MacBeth, Quantitative analysis
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Fama-MacBeth regression method: Analysis of the market factor
In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the Fama-MacBeth two-step regression method used to test asset pricing models. The seminal paper by Fama and MacBeth (1973) was based on an investigation of … Continue reading
Posted in Contributors, Financial techniques
Tagged Asset Pricing, CAPM, Econometrics, Fama-MacBeth, Quantitative analysis
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Fama-MacBeth two-step regression method
In this article, Youssef Louraoui (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the Fama-MacBeth two-step regression method used to test asset pricing models. This article is structured as follow: we introduce the Fama-MacBeth testing method. Then, we … Continue reading
Posted in Contributors, Financial techniques
Tagged Asset Pricing, CAPM, Econometrics, Fama-MacBeth, Quantitative analysis
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Systematic risk and specific risk
In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the systematic risk and specific risk of financial assets, two fundamental concepts in asset pricing models and investment management theories more generally. This article is … Continue reading
Posted in Contributors, Financial techniques
Tagged CAPM, CML, Diversification, Portfolio, Risk, SML, Specific Risk, Systematic Risk
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Security Market Line (SML)
In this article, Youssef LOURAOUI (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the Security Market Line (SML), a key concept in asset pricing derived from the Capital Asset Pricing Model (CAPM). This article is structured as follows: … Continue reading
Posted in Contributors, Financial techniques
Tagged Beta, CAPM, CML, Expected return, Market risk, Risk, SML
2 Comments
Capital Asset Pricing Model (CAPM)
Capital Asset Pricing Model (CAPM) In this article, Jayati WALIA (ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) presents the Capital Asset Pricing Model (CAPM). Introduction The Capital Asset Pricing Model (CAPM) is a widely used metrics … Continue reading
Posted in Contributors, Financial techniques
Tagged Beta, CAPM, Market factor, Risk premium
1 Comment