Investigation of Asset Pricing Model on Stock Market

Jiayin Li and Ruiting Yi ()
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Jiayin Li: Fort Hays University, CIB
Ruiting Yi: Durham University, Van Mildert College

A chapter in Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022), 2022, pp 1045-1051 from Springer

Abstract: Abstract And after 1980, static asset pricing models were not very stable. There are also a number of factors that make the capital-asset pricing models used less useful. Inflation, rising interest rates, and Russia’s war in Ukraine are all clear factors for stock market falls. These elements are intertwined and appear to exacerbate each other. Investors were coping with the effects of increased interest rates earlier this year, which were needed to help with growing inflation but damaged the returns of highly valued bonds and leading corporations in the stock market. This article summarizes much literature about asset pricing to present the development of the factor model and Markowitz model. The theory and assumptions of Markowitz’s market model and the factor model are thoroughly examined in this article. The paper finds that the CAPM model then has a considerable impact on value evaluation and risk management, with its primary purpose being to establish the relationship between capital risk and return.

Keywords: Factor model; asset pricing; stock market (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-052-7_117

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DOI: 10.2991/978-94-6463-052-7_117

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