In financial economics, asset pricing refers to a formal treatment and development of two interrelated pricing principles, outlined below, together with...

the existence of more modern approaches to asset pricing and portfolio selection (such as arbitrage pricing theory and Merton's portfolio problem), the...

The Japanese asset price bubble (バブル景気, baburu keiki; lit. 'bubble economy') was an economic bubble in Japan from 1986 to 1991 in which real estate and...

arbitrage pricing theory (APT) is a multi-factor model for asset pricing which relates various macro-economic (systematic) risk variables to the pricing of financial...

value Undervalued stock Valuation risk Specific pricing models Capital asset pricing model Arbitrage pricing theory Black–Scholes (for options) Fuzzy pay-off...

"production-based asset pricing model" based on the q-theory of investment. In two 1992 articles, Cochrane emphasized some features of asset prices which are...

Rational pricing is the assumption in financial economics that asset prices – and hence asset pricing models – will reflect the arbitrage-free price of the...

a speculative bubble or a financial bubble) is a period when current asset prices greatly exceed their intrinsic valuation, being the valuation that the...

In asset pricing and portfolio management, the Fama–French three-factor model is a statistical model designed in 1992 by Eugene Fama and Kenneth French...

individual investor. Asset pricing theory builds on this analysis, allowing MPT to derive the required expected return for a correctly priced asset in this context...

observed market prices as input. See: Valuation of options; Financial modeling; Asset pricing. The fundamental theorem of arbitrage-free pricing is one of the...

The fundamental theorems of asset pricing (also: of arbitrage, of finance), in both financial economics and mathematical finance, provide necessary and...

or sell an asset without causing a drastic change in the asset's price. Liquidity involves the trade-off between the price at which an asset can be sold...

one with the maximum Sharpe ratio. Roy’s work is the foundation of asset pricing under loss aversion. His work was followed by Lester G. Telser’s proposal...

capital asset pricing model (CAPM) assumes: that security distributions are symmetrical, and thus that downside and upside betas for an asset are the...

market hypothesis Portfolio Modern portfolio theory Capital asset pricing model Arbitrage pricing theory Passive management Index fund Activist shareholder...

Rational pricing is the assumption that asset prices (and hence asset pricing models) will reflect the arbitrage-free price of the asset, as any deviation...

department of economics, the Transactional Asset Pricing Approach (TAPA) is a general reconstruction of asset pricing theory developed in 2000s by a collaboration...

modern risk-based theories of asset prices, and frameworks such as consumption-based asset pricing and intermediary asset pricing can be thought of as the...

include, for example, the arbitrage pricing theory (APT) as well as the consumption-based capital asset pricing model (CCAPM). Furthermore, alternative...

necessary. This asset pricing model details how the expectations of future capital gains in the stock market are a key driver of actual stock price movements...

multiple factor models are asset pricing models that can be used to estimate the discount rate for the valuation of financial assets; they may in turn be used...

The consumption-based capital asset pricing model (CCAPM) is a model of the determination of expected (i.e. required) return on an investment. The foundations...

Alpha, along with beta, is one of two key coefficients in the capital asset pricing model used in modern portfolio theory and is closely related to other...

This definition is of fundamental importance in asset pricing. If there are n assets with initial prices p 1 , … , p n {\displaystyle p_{1},\ldots ,p_{n}}...

intertemporal capital asset pricing model, or ICAPM, created by Robert C. Merton, is an alternative to the Capital Asset Pricing Model (CAPM). It is a...

upside-down, with bondholders setting share prices and shareholders determining company leverage. The asset pricing formula only applies to debt-holding companies...

monetary stimulus to further raise asset prices and support growth, some observers perceived a disconnect between asset prices and the economy. Powell has responded...

assets provide reliable estimates of the value-at-risk in a portfolio of securities. In financial economics, MSM has been used to analyze the pricing...

information to investors than does only looking at the single Capital Asset Pricing Model (CAPM) beta. The comparison of upside to downside risk is necessary...