Asset Pricing Models

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  • Created by: OBrett96
  • Created on: 04-05-17 15:16
Who established Modern Portfolio Theory?
Markowtiz (1952)
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What is the concern of MPT?
how an optimising investor would behave
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what is measure of risk in MPT?
variance
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Who theories the CAPM?
Shape (1964), Litner (1965) and Mossin (1966)
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who published early supportive evidence for the CAPM?
Fama and MacBeth (1973) and Black et al., (1972)
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Who did first in-depth time series test of the CAPM?
Black et al., (1972)
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What are the assumptions of the CAPM?
1. Markowitz 2. Lend/Borrow 3. Homogeneous Expectations 4. One period time horizon 5. Assets infinitely divisible 6. No taxes or transaction costs 7. No inflation or interest rate changes 8. capital markets in equilbrium
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who challenged the assumption of no taxes or transaction costs?
Brennan and Subramanyam (1996)
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Who stated that the assumptions are stylised and simplistic
Cochrane (1999)
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Who first found the Value effect?
Basu (1977)
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What year was the Roll Critique?
1977
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What did Miller and Scholes (1972) criticise?
econometric problems could lead to rejection of CAPM
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Who found the size effect?
Banz (1981)
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Who found evidence on growth and value stocks with relation to the CAPM?
Cochrane (1999)
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Who proposed prospect theory?
Kahenman and Trverky (1979)
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What is prospect theory a response to?
Assumption of neo-classical utility maximisation?
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What did Damodaran (2003) state?
underlying all investment philosophies is a view about human behaviour
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What was the first alterntative model to the CAPM?
Zero Beta Model
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Who established zero beta model?
Black (1972)
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Who proposed the CCAPM?
Breedom (1979) and Rubdenstein (1976)
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Who acknolwedge issues in measuring consumption flows?
Breeden et al., (1989)
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Who found poor empirical evidence attributing to CCAPM?
Hansesn and Singelton (1983) and Maikiw and Shapero (1986)
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What paper is this quote taken from? "the data we examine in the paper provide no support for the consumption CAPM"
Maikiw and Shapero (1986)
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Who concluded that consumption data is less informative than investment data?
Cochrane (1999)
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Who proposed ICAPM?
Merton (1973)
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What are two key differences of CAPM and ICAPM?
ICAPM is multi-factor and multi-period
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Who argued that preferences will change over time?
Fama (1970)
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What is the quote "fishing licence" in reference too?
definition of state varibales
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What paper is the quote "fishing license" taken from?
Fama (1991)
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Who argued for data mining?
Cochrans (2001)
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Whose empirical evidence for the ICAPM is said to be not conclusive?
Brennan et al., (2004)
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Card 2

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What is the concern of MPT?

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how an optimising investor would behave

Card 3

Front

what is measure of risk in MPT?

Back

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Card 4

Front

Who theories the CAPM?

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Preview of the front of card 4

Card 5

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who published early supportive evidence for the CAPM?

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