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	<title><![CDATA[capital asset pricing model Resources | BNET]]></title>
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	<description><![CDATA[White papers, case studies, business articles, and blog posts relating to capital asset pricing model]]></description>
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		<title><![CDATA[Developing a Capital Asset Pricing Model]]></title>
		<link><![CDATA[http://www.bnet.com/2410-13240_23-66485.html]]></link>
		<description><![CDATA[CAPM describes the relationship between risk and expected return for an individual portfolio or security. Its underlying theory has prompted lively discussion about what "risk" actually means, asserting that only "systematic" (non-diversified) risk brings real reward to investors. Systematic risk is unavoidable, market-oriented risk that cannot be averaged out through...]]></description>
		<s:doctype><![CDATA[Articles]]></s:doctype>
		<pubDate>Fri, 12 Oct 2007 17:27:08 -0700</pubDate>
		<category domain="http://resources.bnet.com/topic/financial+accounting.html"><![CDATA[Financial accounting]]></category>
		<category domain="http://resources.bnet.com/topic/volatility.html"><![CDATA[volatility]]></category>
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		<category domain="http://resources.bnet.com/topic/capm.html"><![CDATA[CAPM]]></category>
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		<category domain="http://resources.bnet.com/topic/beta.html"><![CDATA[Beta]]></category>
		<category domain="http://resources.bnet.com/topic/risk.html"><![CDATA[Risk]]></category>
	</item>
	<item>
		<title><![CDATA[Cash-Flow Risk, Discount Risk, and the Value Premium]]></title>
		<link><![CDATA[http://jobfunctions.bnet.com/abstract.aspx?docid=158175]]></link>
		<description><![CDATA[Habit persistence, general equilibrium model with multiple assets matches both the time series properties of the market portfolio and the cross-sectional predictability of returns on price sorted portfolios, the value premium. Consistent with empirical evidence, the paper depicts about a model which shows that value stocks are those with higher...]]></description>
		<s:doctype><![CDATA[White papers]]></s:doctype>
		<pubDate>Thu, 01 Dec 2005 00:00:00 -0800</pubDate>
		<category domain="http://resources.bnet.com/topic/capital+asset+pricing+model.html"><![CDATA[Capital Asset Pricing Model]]></category>
		<category domain="http://resources.bnet.com/topic/national+bureau+of+economic+research.html"><![CDATA[National Bureau Of Economic Research]]></category>
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	<item>
		<title><![CDATA[Learning about Beta: A New Look at CAPM Tests]]></title>
		<link><![CDATA[http://jobfunctions.bnet.com/abstract.aspx?docid=111055]]></link>
		<description><![CDATA[This paper develops an equilibrium model of learning about time-varying beta. In the model, the capital asset pricing model CAPM works for investors' probability distribution. However, mispricing can be observed if econometricians estimate betas without accounting for the investors' learning process. The empirical implication for asset-pricing tests is that the...]]></description>
		<s:doctype><![CDATA[White papers]]></s:doctype>
		<pubDate>Wed, 01 Sep 2004 00:00:00 -0700</pubDate>
		<category domain="http://resources.bnet.com/topic/capital+asset+pricing+model.html"><![CDATA[Capital Asset Pricing Model]]></category>
		<category domain="http://resources.bnet.com/topic/federal+reserve+bank+of+new+york.html"><![CDATA[Federal Reserve Bank Of New York]]></category>
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	<item>
		<title><![CDATA[Pricing for Systematic Risk]]></title>
		<link><![CDATA[http://jobfunctions.bnet.com/abstract.aspx?docid=159775]]></link>
		<description><![CDATA[The financial methods have emerged as the dominant approach for establishing insurance profit loadings. Financial theory suggests that prices should reflect systematic risk only, with no reward for diversifiable risk. This principle is applied to the pricing of insurance exposures actively traded in a secondary market. The resulting Systematic Risk...]]></description>
		<s:doctype><![CDATA[White papers]]></s:doctype>
		<pubDate>Thu, 12 Aug 2004 00:00:00 -0700</pubDate>
		<category domain="http://resources.bnet.com/topic/capital+asset+pricing+model.html"><![CDATA[Capital Asset Pricing Model]]></category>
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		<category domain="http://resources.bnet.com/topic/pricing.html"><![CDATA[Pricing]]></category>
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		<title><![CDATA[A Discussion of "Risk Load for Insurers" by Sholom Feldblum]]></title>
		<link><![CDATA[http://jobfunctions.bnet.com/abstract.aspx?docid=159846]]></link>
		<description><![CDATA[This paper discusses various methodologies for estimating the insurance risk load. According to this paper, traditional methods are inadequate. As such, the majority of the paper discusses a proposed methodology for applying modem portfolio theory and the Capital Asset Pricing Model CAPM to the insurance pricing problem. Unfortunately, the proposed...]]></description>
		<s:doctype><![CDATA[White papers]]></s:doctype>
		<pubDate>Wed, 10 Mar 2004 00:00:00 -0800</pubDate>
		<category domain="http://resources.bnet.com/topic/capital+asset+pricing+model.html"><![CDATA[Capital Asset Pricing Model]]></category>
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		<title><![CDATA[U.S. Investors’ Emerging Market Equity Portfolios: A Security-Level Analysis]]></title>
		<link><![CDATA[http://jobfunctions.bnet.com/abstract.aspx?docid=74860]]></link>
		<description><![CDATA[This article analyzes a unique data set and uncovers a remarkable result that casts a new light on the home bias phenomenon. The data are comprehensive, security-level holdings of emerging market equities by U.S. investors. It document that at a point in time U.S. portfolios are tilted towards firms that...]]></description>
		<s:doctype><![CDATA[White papers]]></s:doctype>
		<pubDate>Mon, 01 Dec 2003 00:00:00 -0800</pubDate>
		<category domain="http://resources.bnet.com/topic/u.s..html"><![CDATA[U.S.]]></category>
		<category domain="http://resources.bnet.com/topic/capital+asset+pricing+model.html"><![CDATA[Capital Asset Pricing Model]]></category>
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		<title><![CDATA[The Capital Asset Pricing Model: Theory and Evidence]]></title>
		<link><![CDATA[http://jobfunctions.bnet.com/abstract.aspx?docid=68613]]></link>
		<description><![CDATA[The capital asset pricing model CAPM of William Sharpe (1964) and John Lintner (1965) marks the birth of asset pricing theory (resulting in a Nobel Prize for Sharpe in 1990). Before their breakthrough, there were no asset pricing models built from first principles about the nature of tastes and investment...]]></description>
		<s:doctype><![CDATA[White papers]]></s:doctype>
		<pubDate>Fri, 01 Aug 2003 00:00:00 -0700</pubDate>
		<category domain="http://resources.bnet.com/topic/asset.html"><![CDATA[Asset]]></category>
		<category domain="http://resources.bnet.com/topic/capital+asset+pricing+model.html"><![CDATA[Capital Asset Pricing Model]]></category>
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		<title><![CDATA[Capital Asset Pricing Model Integrating both Firm and Market]]></title>
		<link><![CDATA[http://jobfunctions.bnet.com/abstract.aspx?docid=122067]]></link>
		<description><![CDATA[This paper proposes a theoretical framework to incorporate a firm's intrinsic value and market-trading value into asset pricing model. It shows that asset return can be decomposed into two components. The first component, called the firm factor, is related to the output of a firm and is proportional to return...]]></description>
		<s:doctype><![CDATA[White papers]]></s:doctype>
		<pubDate>Tue, 01 Jul 2003 00:00:00 -0700</pubDate>
		<category domain="http://resources.bnet.com/topic/capital+asset+pricing+model.html"><![CDATA[Capital Asset Pricing Model]]></category>
		<category domain="http://resources.bnet.com/topic/yale+university.html"><![CDATA[Yale University]]></category>
		<category domain="http://resources.bnet.com/topic/factor.html"><![CDATA[Factor]]></category>
		<category domain="http://resources.bnet.com/topic/asset+management.html"><![CDATA[Asset Management]]></category>
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	<item>
		<title><![CDATA[Taking Stock]]></title>
		<link><![CDATA[http://jobfunctions.bnet.com/abstract.aspx?docid=69992]]></link>
		<description><![CDATA[Since the stockmarket bubble burst more than three years ago, investors have had ample time to ponder where to put the remains of their money. Economists and analysts too have been revisiting old ideas. None has been dearer to them than the capital asset pricing model CAPM, a formula linking...]]></description>
		<s:doctype><![CDATA[White papers]]></s:doctype>
		<pubDate>Thu, 05 Jun 2003 00:00:00 -0700</pubDate>
		<category domain="http://resources.bnet.com/topic/capital+asset+pricing+model.html"><![CDATA[Capital Asset Pricing Model]]></category>
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		<category domain="http://resources.bnet.com/topic/economist.html"><![CDATA[Economist]]></category>
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		<title><![CDATA[Existence of Equilibrium and Zero-Beta Pricing Formula in the Capital Asset Pricing Model With Heterogeneous Beliefs]]></title>
		<link><![CDATA[http://jobfunctions.bnet.com/abstract.aspx?docid=127201]]></link>
		<description><![CDATA[The paper studies a mean-variance capital asset pricing model CAPM in which investors have different probability beliefs about assets returns and different attitudes towards risk, all assets are risky, short-selling is allowed and satiation is possible. First, it proves that there exists a competitive equilibrium in the model under a...]]></description>
		<s:doctype><![CDATA[White papers]]></s:doctype>
		<pubDate>Tue, 03 Jun 2003 00:00:00 -0700</pubDate>
		<category domain="http://resources.bnet.com/topic/capital+asset+pricing+model.html"><![CDATA[Capital Asset Pricing Model]]></category>
		<category domain="http://resources.bnet.com/topic/pricing+strategy.html"><![CDATA[Pricing Strategy]]></category>
		<category domain="http://resources.bnet.com/topic/peking+university.html"><![CDATA[Peking University]]></category>
		<category domain="http://resources.bnet.com/topic/pricing.html"><![CDATA[Pricing]]></category>
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		<category domain="http://resources.bnet.com/topic/marketing.html"><![CDATA[Marketing]]></category>
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	<item>
		<title><![CDATA[The Upside Potential Strategy: A Paradigm Shift in Performance Measurement]]></title>
		<link><![CDATA[http://jobfunctions.bnet.com/abstract.aspx?docid=75318]]></link>
		<description><![CDATA[The thesis of this paper is that popular performance measures, like the Sharpe ratio and information ratio, are not designed for the clients needs. The "one size fits all" approach of these ratios does not recognize the fact that the clients have different ages, different amounts of wealth and different...]]></description>
		<s:doctype><![CDATA[White papers]]></s:doctype>
		<pubDate>Wed, 01 Jan 2003 00:00:00 -0800</pubDate>
		<category domain="http://resources.bnet.com/topic/strategy.html"><![CDATA[Strategy]]></category>
		<category domain="http://resources.bnet.com/topic/capital+asset+pricing+model.html"><![CDATA[Capital Asset Pricing Model]]></category>
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		<title><![CDATA[The Capital Asset Pricing Model and the Three Actor Model of Fama and French Revisited in the Case of France]]></title>
		<link><![CDATA[http://jobfunctions.bnet.com/abstract.aspx?docid=122083]]></link>
		<description><![CDATA[This study tries to test the three factor model of Fama and French and the Capital Asset Pricing Model on the French Stock Market. It uses returns on the six Fama and French portfolios sorted by size and book to market ratio. The sample is taken from July 1976 to...]]></description>
		<s:doctype><![CDATA[White papers]]></s:doctype>
		<pubDate>Thu, 20 Jun 2002 00:00:00 -0700</pubDate>
		<category domain="http://resources.bnet.com/topic/capital+asset+pricing+model.html"><![CDATA[Capital Asset Pricing Model]]></category>
		<category domain="http://resources.bnet.com/topic/university+of+paris.html"><![CDATA[University Of Paris]]></category>
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	<item>
		<title><![CDATA[A Portfolio Selection and Capital Asset Pricing Model]]></title>
		<link><![CDATA[http://jobfunctions.bnet.com/abstract.aspx?docid=122069]]></link>
		<description><![CDATA[The aim of this paper is to improve the characterization of a capital market within the CAPM without losing its simplicity and explanatory power. To highlight the peculiarities of the model, the main steps in the development of the standard CAPM are briefly reviewed. The standard CAPM is extended so...]]></description>
		<s:doctype><![CDATA[White papers]]></s:doctype>
		<pubDate>Wed, 06 Feb 2002 00:00:00 -0800</pubDate>
		<category domain="http://resources.bnet.com/topic/capital+asset+pricing+model.html"><![CDATA[Capital Asset Pricing Model]]></category>
		<category domain="http://resources.bnet.com/topic/capital+market.html"><![CDATA[Capital Market]]></category>
		<category domain="http://resources.bnet.com/topic/universit%25c3%2583%25c2%25a0+carlo+cattaneo.html"><![CDATA[UniversitÃ  Carlo Cattaneo]]></category>
		<category domain="http://resources.bnet.com/topic/capm.html"><![CDATA[CAPM]]></category>
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		<category domain="http://resources.bnet.com/topic/finance.html"><![CDATA[Finance]]></category>
	</item>
	<item>
		<title><![CDATA[The Perception Of Time, Risk And Return During Periods Of Speculation]]></title>
		<link><![CDATA[http://jobfunctions.bnet.com/abstract.aspx?docid=74187]]></link>
		<description><![CDATA[This paper has derived the consequences of two hypotheses for the relationship between risk and return. The first hypothesis states that assets with the same risk must have the same expected return. From this, one derives the well-known invariance of the Sharpe ratio for uncorrelated stocks, as well as the...]]></description>
		<s:doctype><![CDATA[White papers]]></s:doctype>
		<pubDate>Thu, 10 Jan 2002 00:00:00 -0800</pubDate>
		<category domain="http://resources.bnet.com/topic/capital+asset+pricing+model.html"><![CDATA[Capital Asset Pricing Model]]></category>
		<category domain="http://resources.bnet.com/topic/goldman+sachs+group+inc..html"><![CDATA[Goldman Sachs Group Inc.]]></category>
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	<item>
		<title><![CDATA[Capital Asset Pricing Model, Bear, Usual and Bull Market Conditions and Beta Instability: A Value-At-Risk Approach]]></title>
		<link><![CDATA[http://jobfunctions.bnet.com/abstract.aspx?docid=127200]]></link>
		<description><![CDATA[This paper defines three market scenarios, namely, bad, usual and good, conditional on the quantiles of the market returns distribution. It investigates the asymmetric response of beta to these market conditions by modeling the mean and the volatility of CAPM as nonlinear threshold models with three regimes. The results are...]]></description>
		<s:doctype><![CDATA[White papers]]></s:doctype>
		<pubDate>Mon, 25 Jun 2001 00:00:00 -0700</pubDate>
		<category domain="http://resources.bnet.com/topic/capital+asset+pricing+model.html"><![CDATA[Capital Asset Pricing Model]]></category>
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		<category domain="http://resources.bnet.com/topic/finance.html"><![CDATA[Finance]]></category>
	</item>
	<item>
		<title><![CDATA[Risk Aversion Versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption Capital Asset Pricing Model]]></title>
		<link><![CDATA[http://jobfunctions.bnet.com/abstract.aspx?docid=127170]]></link>
		<description><![CDATA[The white paper deals with the disparate estimates of the fundamental parameter not to failures of instrument admissibility as do Hall (1988) and Hansen-Singleton (1996), but rather to failures of instrument relevance. That is, the disparate estimates reflect near non-identification due to the unpredictability of asset returns and consumption growth....]]></description>
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		<pubDate>Tue, 07 Mar 2000 00:00:00 -0800</pubDate>
		<category domain="http://resources.bnet.com/topic/capital+asset+pricing+model.html"><![CDATA[Capital Asset Pricing Model]]></category>
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		<title><![CDATA[New Facts in Finance]]></title>
		<link><![CDATA[http://jobfunctions.bnet.com/abstract.aspx?docid=61781]]></link>
		<description><![CDATA[The last 15 years have seen a revolution in the way financial economists understand the world around us. We once thought that stock and bond returns were essentially unpredictable. Now we recognize that stock and bond returns have a substantial predictable component at long horizons. We once thought the capital...]]></description>
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		<pubDate>Tue, 01 Jun 1999 00:00:00 -0700</pubDate>
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