The capital asset pricing model in the 21st century: analytical, empirical, and behavioral perspectives
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass. [u.a.]
Cambridge Univ. Press
2012
|
| Edition: | 1. publ. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIII, 442 S. Ill., graph. Darst. |
| ISBN: | 9780521186513 9781107006713 |
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| 245 | 1 | 0 | |a The capital asset pricing model in the 21st century |b analytical, empirical, and behavioral perspectives |c Haim Levy |
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Record in the Search Index
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| adam_text | IMAGE 1
CONTENTS
PREFACE PAGE XI
1 INTRODUCTION 1
1.1. THE MEAN-VARIANCE RULE AND THE CAPITAL ASSET PRICING MODEL:
OVERVIEW 1
1.2. THE INTENSIVE USE OF THE MEAN-VARIANCE AND THE CAPITAL ASSET
PRICING MODEL AMONG PRACTITIONERS 7 1.3. THE ROLE OF THE MEAN-VARIANCE
AND THE CAPITAL ASSET PRICING MODEL IN ACADEMIA 18
1.4. SUMMARY 21
2 EXPECTED UTILITY THEORY 23
2.1. INTRODUCTION 23
2.2. THE AXIOMS AND EXPECTED UTILITY THEORY 25
A) THE AXIOMS 25
B) THE EXPECTED UTILITY PRINCIPLE 28
2.3. IS U(A) A PROBABILITY OR A UTILITY? 30
2.4. VARIOUS ATTITUDES TOWARD RISK 31
2.5. PREFERENCE WITH RISK AVERSION AND RISK SEEKING 37 2.6. CRITICISMS
OF THE EXPECTED UTILITY THEORY 38
A) ALLAIS PARADOX 39
B) CRITICISM OF THE COMMONLY EMPLOYED UTILITY FUNCTIONS 40
C) CUMULATIVE PROSPECT THEORY: EXPERIMENTAL FINDINGS THAT CONTRADICT
EXPECTED UTILITY THEORY 42 D) ROY S SAFETY-FIRST RULE 44
2.7. SUMMARY 44
3 EXPECTED UTILITY AND INVESTMENT DECISION RULES 46 3.1. INTRODUCTION 46
3.2. STOCHASTIC DOMINANCE RULES 47
IMAGE 2
VI CONTENTS
A) EXPECTED UTILITY AND THE CUMULATIVE DISTRIBUTIONS 47 B) THE
FIRST-DEGREE STOCHASTIC DOMINANCE DECISION RULE 51
C) THE SECOND-DEGREE STOCHASTIC DOMINANCE DECISION RULE 52
D) THE PROSPECT STOCHASTIC DOMINANCE DECISION RULE 53 E) THE MARKOWITZ
STOCHASTIC DOMINANCE DECISION RULE 54
3.3. GRAPHICAL ILLUSTRATIONS OF THE STOCHASTIC DOMINANCE CRITERIA 54
3.4. STOCHASTIC DOMINANCE RULES AND THE DISTRIBUTION S MEAN AND VARIANCE
58
A) MEAN, VARIANCE, AND STOCHASTIC DOMINANCE RULES 58 B) MEAN, VARIANCE,
AND RISK AVERSION 60
3.5. SUMMARY 61
4 THE MEAN-VARIANCE RULE (M-V RULE) 63
4.1. INTRODUCTION 63
4.2. THE MEAN-VARIANCE RULE: PARTIAL ORDERING 65
4.3. EXPECTED UTILITY AND DISTRIBUTION S MOMENTS: THE GENERAL CASE 68
4.4. THE QUADRATIC UTILITY FUNCTION AND THE MEAN-VARIANCE RULE 72
4.5. QUADRATIC UTILITY: ARE THERE SHARPER RULES THAN THE MEAN-VARIANCE
RULE? 76
DISCUSSION 79
4.6. NORMAL DISTRIBUTIONS AND THE MEAN-VARIANCE RULE 85 DISCUSSION 91
4.7. THE MEAN-VARIANCE RULE AS AN APPROXIMATION TO EXPECTED UTILITY 93
A) THE VARIOUS MEAN-VARIANCE QUADRATIC APPROXIMATIONS 93
B) DISCUSSION: MEAN-VARIANCE APPROXIMATION AND MEAN-VARIANCE EFFICIENT
PROSPECTS 100
C) A GENERAL UTILITY FUNCTION WITH NO DARA ASSUMPTION , 101
D) A RISK-AVERSE UTILITY FUNCTION WITH DARA 105
E) THE QUALITY OF THE APPROXIMATION 108
4.8. SUMMARY 114
5 THE CAPITAL ASSET PRICING MODEL 117
5.1. INTRODUCTION 117
5.2. THE MEAN-VARIANCE EFFICIENT FRONTIER 120
A) THE MEAN-VARIANCE FRONTIER WITH ONE RISKY ASSET AND ONE RISKLESS
ASSET 120
IMAGE 3
CONTENTS VII
B) THE MEAN-VARIANCE FRONTIER WITH N-RISKY ASSETS 123 C) THE
MEAN-VARIANCE FRONTIER WITH N-RISKY ASSETS AND THE RISKLESS ASSET 128
5.3. THE DERIVATION OF THE CAPITAL ASSET PRICING MODEL 134 A) SHARPE S
CAPITAL ASSET PRICING MODEL DERIVATION 135 B) LINTNER S CAPITAL ASSET
PRICING MODEL DERIVATION 139 C) DISCUSSION 143
5.4. EQUILIBRIUM IN THE STOCK MARKET 149
5.5. SUMMARY 154
EXTENSIONS OF THE CAPITAL ASSET PRICING MODEL 156
6.1. INTRODUCTION 156
6.2. THE ZERO BETA MODEL 158
6.3. THE SEGMENTED CAPITAL ASSET PRICING MODEL 164
6.4. MERTON S INTERTEMPORAL CAPITAL ASSET PRICING MODEL 168
6.5. THE HETEROGENEOUS BELIEFS CAPITAL ASSET PRICING MODEL 171
6.6. THE CONDITIONAL CAPITAL ASSET PRICING MODEL 175 6.7. ROSS S
ARBITRAGE PRICING THEORY 179
6.8. SUMMARY 184
THE CAPITAL ASSET PRICING MODEL CANNOT BE REJECTED: EMPIRICAL AND
EXPERIMENTAL EVIDENCE 186
7.1. INTRODUCTION 186
7.2. THE EARLY TESTS OF THE CAPITAL ASSET PRICING MODEL: PARTIALSUPPORT
FOR THE CAPM 191
(I) THE FIRST-PASS REGRESSION (TIME-SERIES REGRESSION) 191
(II) THE SECOND-PASS REGRESSION (CROSS-SECTION REGRESSION) 191
A) THE STUDY BY LINTNER 192
B) THE STUDY BY MILLER AND SCHOLES 195
C) THE STUDY BY BLACK, JENSEN, AND SCHOLES 196
D) THE STUDY BY FAMA AND MACBETH 199
E) THE ROLE OF BETA AND THE VARIANCE AS EXPLANATORY VARIABLES 200
7.3. THE SECOND CYCLE OF TESTS: MAINLY REJECTION OF THE CAPM 202
A) THE SMALL FIRM EFFECT 203
B) THE THREE-FACTOR MODEL OF FAMA AND FRENCH 205 C) THE STUDY OF
GIBBONS, ROSS, AND SHANKEN: A MULTIVARIATE TEST OF ALPHAS 207
7.4. ROLL S CRITIQUE OF THE EMPIRICAL TESTS 209
IMAGE 4
VIII CONTENTS
7.5. SHORT POSITIONS EVERYWHERE ON THE FRONTIER: ALLEGEDLY PROVIDES
EVIDENCE AGAINST THE CAPITAL ASSET PRICING MODEL 212
7.6. THE CAPITAL ASSET PRICING MODEL CANNOT BE REJECTED ON EMPIRICAL
GROUND AFTER ALL 214
A) CONFIDENCE INTERVAL OF THE F3 APPROACH 215
B) A POSITIVE PORTFOLIO EXISTS WITH EX-ANTE MEANS 219 C) REVERSE
ENGINEERING: THE APPROACH OFM. LEVY AND R. ROLL 221
D) THE SMALL FIRM EFFECT AND THE INVESTMENT HORIZON 224 7.7.
EXPERIMENTAL STUDIES OF THE CAPITAL ASSET PRICING MARKET 233
7.8. SUMMARY 237
8 THEORETICAL AND EMPIRICAL CRITICISM OF THE MEAN-VARIANCE RULE 239
8.1. INTRODUCTION 239
8.2. DISTRIBUTION OF RETURNS: THEORETICAL APPROACH 242 8.3. THE
EMPIRICAL DISTRIBUTION OF RETURN: THE PARETIAN VERSUS THE NORMAL
DISTRIBUTION 249
8.4. A HORSE RACE BETWEEN VARIOUS RELEVANT DISTRIBUTIONS: THE
CHARACTERISTICS OF THE VARIOUS DISTRIBUTIONS AND THE METHODOLOGY 255
8.5. SHORT INVESTMENT HORIZON AND THE LOGISTIC DISTRIBUTION 261
A) THE EMPIRICAL RESULT FOR THE RELATIVELY SHORT HORIZON 262
B) THE HORIZON EFFECT ON VARIOUS PARAMETERS 265 C) THE LOGISTIC
DISTRIBUTION: THE M-V RULE IS OPTIMAL 270
8.6. GOODNESS OF FIT: INVESTMENT HORIZON LONGER THAN ONE YEAR 275
8.7. EMPLOYING THE MEAN-VARIANCE RULE: THE ECONOMIC LOSS 280
8.8. NORMAL DISTRIBUTION: IS MARKOWITZ S EFFICIENT SET TOO BIG? 286
8.9. SUMMARY 296
9 PROSPECT THEORY AND EXPECTED UTILITY 299
9.1. INTRODUCTION 299
9.2. PROSPECT THEORY AND EXPECTED UTILITY 303
A) PROSPECT THEORY AND EXPECTED UTILITY MAXIMIZATION 304
B) ASSET INTEGRATION 308
C) RISK AVERSION 311
IMAGE 5
CONTENTS IX
9.3. THE VALUE FUNCTION 316
A) THE SHAPE OF THE VALUE FUNCTION 316
B) LOSS AVERSION 317
9.4. THE DECISION WEIGHT FUNCTION 323
9.5. THE PROS AND CONS OF PROSPECT THEORY DECISION WEIGHTS 327
A) DRAWBACK: FIRST-DEGREE STOCHASTIC DOMINANCE VIOLATION 327
B) SOME ADVANTAGES 329
9.6. SUMMARY 330
10 CUMULATIVE DECISION WEIGHTS: NO DOMINANCE VIOLATION 333 10.1.
INTRODUCTION 333
10.2. RANK-DEPENDENT EXPECTED UTILITY 336
10.3. CUMULATIVE PROSPECT THEORY DECISION WEIGHTS 340 10.4. THE VALUE
AND THE DECISION WEIGHT FUNCTIONS AS SUGGESTED BY CUMULATIVE PROSPECT
THEORY 345
10.5. THE VARIOUS DECISION WEIGHTS: FORMULAS AND ESTIMATES 347
A) LEFT TAIL IRRELEVANCE 353
B) CUMULATIVE PROSPECT THEORY S UNREASONABLE DECISION WEIGHTS: THE
EQUALLY LIKELY OUTCOME CASE 354
C) IRRELEVANCY OF THE ALTERNATIVE PROSPECTS 356
10.6. THE SUGGESTED PROSPECT-DEPENDENT DECISION WEIGHTS MODEL 357
10.7. FIRST-DEGREE STOCHASTIC DOMINANCE VIOLATIONS DUE TO BOUNDED
RATIONALITY 366
10.8. SUMMARY 370
11 THE MEAN-VARIANCE RULE, THE CAPITAL ASSET PRICING MODEL, AND THE
CUMULATIVE PROSPECT THEORY: COEXISTENCE 372 11.1. INTRODUCTION 372
11.2. GAINS AND LOSSES VERSUS TOTAL WEALTH 374
A) THE WEALTH EFFECT ON THE MEAN-VARIANCE EFFICIENT FRONTIER 375
B) THE WEALTH EFFECT ON THE CAPITAL ASSET PRICING MODEL 378
11.3. RISK AVERSION VERSUS THE S-SHAPE VALUE FUNCTION 380 A)
DIVERSIFICATION IS NOT ALLOWED 380
B) DIVERSIFICATION BETWEEN RISKY ASSETS IS ALLOWED 383 C)
DIVERSIFICATION IS ALLOWED AND A RISKLESS ASSET EXISTS 390
|
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
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| indexdate | 2024-07-10T00:10:21Z |
| institution | BVB |
| isbn | 9780521186513 9781107006713 |
| language | English |
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| spelling | Levy, Haim 1939- Verfasser (DE-588)170156605 aut The capital asset pricing model in the 21st century analytical, empirical, and behavioral perspectives Haim Levy 1. publ. Cambridge, Mass. [u.a.] Cambridge Univ. Press 2012 XIII, 442 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Empirische Wirtschaftsforschung (DE-588)4014609-1 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Empirische Wirtschaftsforschung (DE-588)4014609-1 s b DE-604 SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024596722&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Levy, Haim 1939- The capital asset pricing model in the 21st century analytical, empirical, and behavioral perspectives Empirische Wirtschaftsforschung (DE-588)4014609-1 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| subject_GND | (DE-588)4014609-1 (DE-588)4121078-5 |
| title | The capital asset pricing model in the 21st century analytical, empirical, and behavioral perspectives |
| title_auth | The capital asset pricing model in the 21st century analytical, empirical, and behavioral perspectives |
| title_exact_search | The capital asset pricing model in the 21st century analytical, empirical, and behavioral perspectives |
| title_full | The capital asset pricing model in the 21st century analytical, empirical, and behavioral perspectives Haim Levy |
| title_fullStr | The capital asset pricing model in the 21st century analytical, empirical, and behavioral perspectives Haim Levy |
| title_full_unstemmed | The capital asset pricing model in the 21st century analytical, empirical, and behavioral perspectives Haim Levy |
| title_short | The capital asset pricing model in the 21st century |
| title_sort | the capital asset pricing model in the 21st century analytical empirical and behavioral perspectives |
| title_sub | analytical, empirical, and behavioral perspectives |
| topic | Empirische Wirtschaftsforschung (DE-588)4014609-1 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| topic_facet | Empirische Wirtschaftsforschung Capital-Asset-Pricing-Modell |
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