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46 The Capital Asset Pricing Model: Theory and Evidence Eugene F. Fama and Kenneth R. French T he 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). Four decades later, the CAPM is still widely used in applications, such as estimating the cost of capital for firms and evaluating the performance of managed portfolios. It is the centerpiece of MBA investment courses. Indeed, it is often the only asset pricing model taught in these courses.1 The attraction of the CAPM is that it offers powerful and intuitively pleasing predictions about how to measure risk and the relation between expected return and risk. Unfortunately, the empirical record of the model is poor—poor enough to invalidate the way it is used in applications. The CAPM’s empirical problems may reflect theoretical failings, the result of many simplifying assumptions. But they may also be caused by difficulties in implementing valid tests of the model. For example, the CAPM says that the risk of a stock should be measured relative to a comprehensive “market portfolio” that in principle can include not just traded financial assets, but also consumer durables, real estate and human capital. Even if we take a narrow view of the model and limit its purview to traded financial assets, is it 1 Although every asset pricing model is a capital asset pricing model, the finance profession…

Estatística e Matemática na definição de um Mix de produtos que apresente o menor Risco possível quando confrontadas as suas Receitas e Custos prováveis. Tais conceitos, herdados dos Teoremas de Markowitz (aversão ao risco e portfólio ótimo) e da Diversificação, são trazidos das Finanças para a Contabilidade Gerencial, buscando diminuir as incertezas através da diversificação dos produtos. Estes pontos de abordagens são essenciais no universo competitivo e globali-zado, onde não só a…

Research Review of the Risk Perception Literature in Behavioral Accounting and Behavioral Finance by Victor Ricciardi Golden Gate University Adjunct Professor and Doctoral Candidate 4 Alexandra Drive Middle Island, NY 11953 Email Address: vricciardi@ggu.edu Preliminary Version: July 20, 2004 Comments and suggestions are always welcomed and appreciated. Note: Please do not “direct quote” any material from this document without first contacting the author for permission since this is…

DAMODARAM, Aswath. Corporate finance : theory and practice. 2. ed. New York: John Wiley, 2001. BRIGHAM, Eugene F.; GAPENSKI, Louis C.; EHRHARDT, Michael C. Administração financeira: teoria e prática. São Paulo: Atlas, 2001 BRIGHAM, Eugene F.; EHRHARDT, Michael C. Financial management:theory and practice. 10 th. Melbourne: Thomson Learning, c2002 Bases de dados PROQUEST e EBSCO. 5 Tema: Gestão de Tesouraria e Derivativos 1. Hedge e mitigação de riscos financeiros 2. Mercado…

EXPERT SERIES The “Expert Series” is a collection of articles, papers and writings by PM Solutions’ associates and other industry experts that provides insight into the practice and value of project management. Portfolio Management Linking Corporate Strategy to Project Priority and Selection by Bruce Miller, PMP AS ORGANIZATIONS PREPARE FOR THE 21ST CENTURY, being able to identify, justify, and prioritize your selection of Information Technology (IT) Projects will become more…

Ativos (CAPITAL ASSETS PRICING MODEL) – Aplicações. Revista de Administração de Empresas, v. 20, n. 3 p. 31-41, jun./set.1980. ALMEIDA, A.N. Teoria dos Jogos: As origens e os fundamentos da Teoria dos Jogos. Disponível em: > Acesso em : 04 abr. 2011. AZEVEDO, J.R. Contribuições de Hofstede para o estudo da cultura organizacional. In SIMPEP, 13, 2006, Bauru, 06 a 08 de novembro de 2006. 7 p. ______________. Capital Ideas: The Improbable Origins of Modern Wall Street. United…

Centres of Information and Recruitment of volunteers for the Portuguese Armed Forces: A decision-analysis case-study Carlos A. Bana e Costa1,2 João P.C.F.Thomaz2,3 1 2 3 Department of Operational Research, London School of Economics Instituto Superior Técnico (CEG-IST), Technical University of Lisbon Portuguese Army & Autonomous Polytechnic Institute (IPA-Lisbon) The end of conscript military service in Portugal and the option for a volunteer based military service require a…

Desmascarando o Valuation dirigido pelo mercado (Debunking the Market-Driven Valuation) Paulo Buchsbaum (pbuchsbaum@globo.com) Última revisão: 21 de abril de 2014. ABSTRACT The title of the article is inspired by the book "Debunking Economics", well-founded rebuttal of classical Economics tenets. This daring article intends to do the same in relation to traditional Valuation practices, attacking classical dogmas that exist for many years. This paper aims to propose SADUF…

...................................................................................................................16 Limitações do Estudo 17 Estrutura do Trabalho 17 1. ELEMENTOS DOS MERCADOS DE CAPITAIS 18 1.1 DESCRIÇÃO DO MERCADO DE CAPITAIS 18 1.1.1 Bolsas de Valores 21 1.1.2 Bolsa de Valores no Brasil 22 1.1.3 Sociedade por ações 23 1.2 OS FENÔMENOS, INCERTEZAS E RISCO 24 1.2.1 Medidas do risco 29 1.2.2 Tipos de riscos 30 1.3 ASPECTOS DE TOMADA DE DECISÃO EM CONDIÇÕES DE…

Exercício 2 Deliamento de experimentos de misturas na Otimização de Portfólios utilizando DOE (Projeto de experimentos) Nome: Maurício Sá Paixão Montagem, Otimização e Controle. Este trabalho visa propor um novo método para a otimização de portfólios de carteiras de investimento, onde leva em conta a maximização do retorno de diferentes ações ao mesmo tempo em que considera a minimização do seu risco. Este método…