CAPM


Also found in: Financial, Acronyms, Wikipedia.

CAPM

Abbreviation for:
Capital Asset Pricing Model (Medspeak-UK)
continuous airway pressure monitoring
Segen's Medical Dictionary. © 2012 Farlex, Inc. All rights reserved.
References in periodicals archive ?
In this model (CAPM) a stock's risk is summarized by its beta with the market portfolio of all invested wealth".3
Stulz (1984) reports that capital asset pricing models (CAPM) play a central role in finance theory.
Comparably, in the context of Pakistan, Shaikh, Shaikh, and Shaique, (2017); Syed, Imtiaz, and Fahim (2011), conducted a test on validity of CAPM in PSX (Pakistan Stock Exchange) and found CAPM as a valid model to accurately predict the security returns in the short term investment as compared to the long term investment.
Further, we find that the differences in the costs of equity from broadening the market portfolio proxy are at least as large as the differences that result from changing the underlying asset pricing model from the CAPM to FF3M.
The one-factor model is the CAPM with the return on a value-weighted stock market portfolio (MKT) as the risk factor.
As, Roll (1977) argues that market risk premium proxy of difference between market return and risk free rate is not capture true and complete market information and leads CAPM being invalid.
In consistent with the findings of Acharya and Pedersen (2005) in the USA, these authors also report evidence that the liquidity-adjusted CAPM is superior to standard CAPM but they only obtain weak evidence for the argument that liquidity risk is priced in addition to the liquidity level and the market risk.
The aim of this paper is to compare on the basis of Estrada's work (2000; 2007) the classical CAPM model with asset pricing models in which risk measures are based on standard deviation, downside risk and downside beta in order to determine the most appropriate risk measure and corresponding asset pricing model for Slovenian, Croatian and Serbian capital markets.
To overcome this limitation paper construct a portfolio using a theoretical asset pricing model, namely Global CAPM.