Modelling of capital asset pricing by considering the lagged effects

The Indonesian Operations Research Association (IORA) - International Conference on Operations Research 2016

Sukono^1 ; Hidayat, Y.^2 ; Talib Bin Bon, A.^3 ; Supian, S.^1

Department of Mathematics, Universitas Padjadjaran, Indonesia^1

Department of Statistics, Universitas Padjadjaran, Indonesia^2

Department of Production and Operations, Universiti Tun Hussein Onn Malaysia, Malaysia^3

关键词: Asset returns;    Capital asset;    Capital asset pricing model;    Market returns;    Regression equation;    Risk free;    Three parameters;   

Others  :  https://iopscience.iop.org/article/10.1088/1757-899X/166/1/012001/pdf
DOI  :  10.1088/1757-899X/166/1/012001

来源: IOP

【 摘 要 】

In this paper the problem of modelling the Capital Asset Pricing Model (CAPM) with the effect of the lagged is discussed. It is assumed that asset returns are analysed influenced by the market return and the return of risk-free assets. To analyse the relationship between asset returns, the market return, and the return of risk-free assets, it is conducted by using a regression equation of CAPM, and regression equation of lagged distributed CAPM. Associated with the regression equation lagged CAPM distributed, this paper also developed a regression equation of Koyck transformation CAPM. Results of development show that the regression equation of Koyck transformation CAPM has advantages, namely simple as it only requires three parameters, compared with regression equation of lagged distributed CAPM.