Cournot oligopoly and systematic risk

Article Abstract:

The real determinants of systematic risk began receiving attention with the formulation of the capital asset pricing model. However, this single-firm model has been inconsistent with empirical observations. The Cournot model of oligopoly takes into account an oligopolistic environment while studying the real determinants of risk. The developed model demonstrates an inverse relation between market power and systematic risk when firms use the same production technology.

Risk (Economics), Oligopolies

---

An examination of the power of univariate tests of the CAPM: a simulation approach

Article Abstract:

An analysis of the capital asset pricing model (CAPM) is presented. The analysis focuses on the validity of the model by applying the Fama-Macbeth methodology for testing the CAPM. These tests have concluded the invalidity of the model. However, it is shown that the predictivepower of the methodology is conditioned by the length of test period. Thus, theabsence of testing significance may be more a result of low statistical power than of CAPM invalidity.

---

A multivariate test of the covariance-co-skewness restriction for the three moment CAPM

Article Abstract:

Co-skewness plays an important role in pricing risky assets. Using the multivariate testing approach, the covariance risk was found to be more important in the pricing of security returns than the co-skewness risk. Aside from the rejection of the share restriction, findings also reveal that the Kraus and Litzenberger model for the three moment CAPM has failed to describe the risky assets' pricing behavior.

Research, Economic aspects, Multivariate analysis, Analysis of covariance, Covariance analysis

Similar abstracts:

• Abstracts: Analytic derivatives of the matrix exponential for estimation of linear continuous-time models. Discrete-time continuous-state interest rate models
• Abstracts: Analytic derivatives of the matrix exponential for estimation of linear continuous-time models. part 2 Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
• Abstracts: Monetary policy targets and the stabilization objective: a source of tension in the EMS. Monetary policy, exchange rates, and investment in a Keynesian economy
• Abstracts: Asset pricing and the role of money in an intergenerational economy. The risk and price volatility of stock options in general equilibrium
• Abstracts: Theories of competition and market performance: multimarket competition and the source of potential entry. Multimarket competition: theory and evidence

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.