Many researchers have supported the
Capital Asset Pricing Model through their research studies.
An equilibrium rate of return on underwriting is derived from the
Capital Asset Pricing Model (CAPM).
Rather, the paper has used value perspective of returns using an international version of
Capital Asset Pricing Model (CAPM, known as Global CAPM to calculate the equity returns for respective BRIC countries Indices.
The
Capital Asset Pricing Model (CAPM), developed independently by Sharpe (1964) and Lintner (1965), is the first theoretical model built to determine the expected rate of returns on risky assets.
They built a model that is consistent with the
Capital Asset Pricing Model and which explicitly allows for multiple securities whose cash flows are correlated.
The
Capital Asset Pricing Model (CAPM) determines the assets price given that optimal investment decisions are made when the market is in equilibrium.
Combining quantitative treatment with conceptual discussion, the author presents fourteen chapters on the nature of financial markets, the efficient market theory, return and volatility estimates, diversification benefits and correlation estimates, the
Capital Asset Pricing Model and Arbitrage Pricing Theory, the equity fundamental multifactors model, financial derivatives, fixed income and interest rate risk, liquidity risk, active management versus passive management, stress testing and back testing, and the third Basel Accord on banking supervision.
The
Capital Asset Pricing Model (CAPM) developed by Sharpe (1964), Lintner (1965) and Mossin (1966) is one of the most important asset pricing models (Fama & French, 2004).
The methods regarded in the literature as being the most relevant for establishing the cost of capital are: Gordon-Shapiro model of constant growth, differentiated growth patterns: DCF method (Discounted cash-flow), Bates model, Holt model, Molodovski model, CAPM (
Capital asset pricing model) [Tobin (1958), Treynor (1961), Shape (1964), Lintner (1965), Mossin(1966), Brennan (1970), Black, Jensen, Scholes, Mayers (1972), Treynor, Black, Fama, MacBeth, Blume and Friend (1973), Solnik and Black (1974), Roll (1977),Ross (1977),Stambaugh (1982), Shanken, Kandel and Stambaugh (1987), Fama and French (1996), Dimson and Mussavian (1998)], APT method (Arbitrage pricing theory) [Ross (1976), Roll and Ross (1980), Chen, Roll si Ross (1986)].