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  2. Roll's critique - Wikipedia

    en.wikipedia.org/wiki/Roll's_critique

    The CAPM is tautological if the market is assumed to be mean-variance efficient. [2] 2. The market portfolio is unobservable: The market portfolio in practice would necessarily include every single possible available asset, including real estate, precious metals, stamp collections, jewelry, and anything with any worth. The returns on all ...

  3. Fama–MacBeth regression - Wikipedia

    en.wikipedia.org/wiki/Fama–MacBeth_regression

    The Fama–MacBeth regression is a method used to estimate parameters for asset pricing models such as the capital asset pricing model (CAPM). The method estimates the betas and risk premia for any risk factors that are expected to determine asset prices.

  4. Multiple factor models - Wikipedia

    en.wikipedia.org/wiki/Multiple_factor_models

    Torre resolved these difficulties by introducing a two-stage factor analysis. The first stage consists of fitting a series of local factor models of the familiar form resulting in a set of factor returns f(i,j,t) where f(i,j,t) is the return to factor i in the jth local model at t.

  5. Capital asset pricing model - Wikipedia

    en.wikipedia.org/wiki/Capital_asset_pricing_model

    An estimation of the CAPM and the security market line (purple) for the Dow Jones Industrial Average over 3 years for monthly data.. In finance, the capital asset pricing model (CAPM) is a model used to determine a theoretically appropriate required rate of return of an asset, to make decisions about adding assets to a well-diversified portfolio.

  6. Fama–French three-factor model - Wikipedia

    en.wikipedia.org/wiki/Fama–French_three-factor...

    In 2015, Fama and French extended the model, adding a further two factors — profitability and investment. Defined analogously to the HML factor, the profitability factor (RMW) is the difference between the returns of firms with robust (high) and weak (low) operating profitability; and the investment factor (CMA) is the difference between the returns of firms that invest conservatively and ...

  7. Factor theory - Wikipedia

    en.wikipedia.org/wiki/Factor_theory

    The original factor model is the capital asset pricing model (CAPM), which predicts that an asset's expected return in excess of the risk-free rate is wholly determined by its exposure to the market factor. More formally, an asset's expected excess return is linearly related its co-movement with the market portfolio.

  8. Trump now says bringing down grocery prices, as he promised ...

    www.aol.com/trump-now-says-bringing-down...

    President-elect Donald Trump campaigned relentlessly on grocery prices in the 2024 race, vowing to bring down costs quickly for American families if given four more years in the White House.

  9. Consumption-based capital asset pricing model - Wikipedia

    en.wikipedia.org/wiki/Consumption-based_capital...

    The foundations of this concept were laid by the research of Robert Lucas (1978) and Douglas Breeden (1979). [2] The model is a generalization of the capital asset pricing model (CAPM). While the CAPM is derived in a static, one-period setting, the CCAPM uses a more realistic, multiple-period setup.

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