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2017 | OriginalPaper | Buchkapitel

5. Factor Asset Pricing Models: CAPM and APT

verfasst von : Emilio Barucci, Claudio Fontana

Erschienen in: Financial Markets Theory

Verlag: Springer London

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Abstract

In this chapter, on the basis of the general equilibrium theory developed in Chap. 4, we present some of the most important asset pricing models, including the Consumption Capital Asset Pricing Model (CCAPM), the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). The relations of these asset pricing models with the absence of arbitrage opportunities are also discussed. In this chapter, the theoretical presentation of the models and of their implications is accompanied by an overview of the empirical evidence reported in the literature. In particular, several asset pricing anomalies and puzzles are described and discussed.

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Vorheriges Kapitel General Equilibrium Theory and No-Arbitrage
Nächstes Kapitel Multi-Period Models: Portfolio Choice, Equilibrium and No-Arbitrage
Fußnoten
1
Recall that, if a random variable \(\tilde{x}\) is distributed according to \(\log (\tilde{x}) \sim \mathcal{ N}(\mu,\sigma ^{2})\), then it holds that \(\mathbb{E}[\tilde{x}] =\mathrm{ e}^{\mu +\sigma ^{2}/2 }\) and \(\mathop{\mathrm{Var}}\nolimits (\tilde{x}) =\mathrm{ e}^{2\mu +\sigma ^{2} }(\mathrm{e}^{\sigma ^{2} } - 1)\).
 
2
Similarly as in the previous chapter, with some abuse of notation we denote equivalently by \(\tilde{c}\) and \(c \in \mathbb{R}^{S}\) the random variable \(\tilde{c}\) with values \(c = (c_{1},\ldots,c_{S}) \in \mathbb{R}^{S}\). Moreover, we denote by \(\mathbb{E}[\hat{\ell}\tilde{c}]\) the expectation of the product between the random variable \(\tilde{c}\) and the random variable taking values \(\hat{\ell}\).
 
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Metadaten
Titel
Factor Asset Pricing Models: CAPM and APT
verfasst von
Emilio Barucci
Claudio Fontana
Copyright-Jahr
2017
Verlag
Springer London
Buch
Financial Markets Theory

Print ISBN: 978-1-4471-7321-2

Electronic ISBN: 978-1-4471-7322-9

Copyright-Jahr: 2017

DOI
https://doi.org/10.1007/978-1-4471-7322-9_5