Matches in SemOpenAlex for { <https://semopenalex.org/work/W2399587989> ?p ?o ?g. }
Showing items 1 to 51 of
51
with 100 items per page.
- W2399587989 abstract "The CAPM is one of the basic models in finance, combining one-period ahead exogenously given (rational) expectations and mean-variance preferences. This combination results in implications that are heavily criticized, both empirically and theoretically, resulting in a rejection of mean-variance preferences. In this paper we consider the CAPM as an equilibrium model of interacting mean-variance investors where the investors' beliefs are not assumed to be given exogenously, but are determined endogenously, as part of the CAPM equilibrium. We postulate that according to these beliefs arbitrage opportunities are excluded and that these beliefs are rational, i.e., in line with the CAPM equilibrium, so that the standard way of testing the CAPM no longer applies. Instead, we derive clear one-period ahead predictions. When confronting such predictions with actual data, the one-factor CAPM performs quite well, much better than the traditional, alternative multi-factor models, when the comparable predictions according to these models are confronted with actual data." @default.
- W2399587989 created "2016-06-24" @default.
- W2399587989 creator A5033508635 @default.
- W2399587989 creator A5046162022 @default.
- W2399587989 creator A5082332981 @default.
- W2399587989 date "2008-01-01" @default.
- W2399587989 modified "2023-09-27" @default.
- W2399587989 title "The CAPM with Endogenous Beliefs" @default.
- W2399587989 cites W2737799282 @default.
- W2399587989 doi "https://doi.org/10.2139/ssrn.1102263" @default.
- W2399587989 hasPublicationYear "2008" @default.
- W2399587989 type Work @default.
- W2399587989 sameAs 2399587989 @default.
- W2399587989 citedByCount "0" @default.
- W2399587989 crossrefType "journal-article" @default.
- W2399587989 hasAuthorship W2399587989A5033508635 @default.
- W2399587989 hasAuthorship W2399587989A5046162022 @default.
- W2399587989 hasAuthorship W2399587989A5082332981 @default.
- W2399587989 hasConcept C106159729 @default.
- W2399587989 hasConcept C121955636 @default.
- W2399587989 hasConcept C149782125 @default.
- W2399587989 hasConcept C160623529 @default.
- W2399587989 hasConcept C162324750 @default.
- W2399587989 hasConcept C181236170 @default.
- W2399587989 hasConcept C196083921 @default.
- W2399587989 hasConcept C96016098 @default.
- W2399587989 hasConceptScore W2399587989C106159729 @default.
- W2399587989 hasConceptScore W2399587989C121955636 @default.
- W2399587989 hasConceptScore W2399587989C149782125 @default.
- W2399587989 hasConceptScore W2399587989C160623529 @default.
- W2399587989 hasConceptScore W2399587989C162324750 @default.
- W2399587989 hasConceptScore W2399587989C181236170 @default.
- W2399587989 hasConceptScore W2399587989C196083921 @default.
- W2399587989 hasConceptScore W2399587989C96016098 @default.
- W2399587989 hasLocation W23995879891 @default.
- W2399587989 hasOpenAccess W2399587989 @default.
- W2399587989 hasPrimaryLocation W23995879891 @default.
- W2399587989 hasRelatedWork W1506671705 @default.
- W2399587989 hasRelatedWork W1967249685 @default.
- W2399587989 hasRelatedWork W1980963441 @default.
- W2399587989 hasRelatedWork W1984117513 @default.
- W2399587989 hasRelatedWork W2013016444 @default.
- W2399587989 hasRelatedWork W2028112254 @default.
- W2399587989 hasRelatedWork W2750122606 @default.
- W2399587989 hasRelatedWork W2786471756 @default.
- W2399587989 hasRelatedWork W3121922271 @default.
- W2399587989 hasRelatedWork W3135210842 @default.
- W2399587989 isParatext "false" @default.
- W2399587989 isRetracted "false" @default.
- W2399587989 magId "2399587989" @default.
- W2399587989 workType "article" @default.