Asset Pricing Theories

Frank J. Fabozzi and Francesco A. Fabozzi

Chapter 9 in Fundamentals of Institutional Asset Management, 2020, pp 233-261 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Asset pricing models, the subject of this chapter, describe the relationship between risk and expected return. When we refer to asset pricing models in this chapter, we mean the expected return investors require given the risk associated with an investment. The most well-known equilibrium pricing models are the capital asset pricing model (CAPM) developed in the 1960s and its subsequent extensions. We also describe the arbitrage pricing theory (APT), an asset pricing model developed in the mid-1970s.

Keywords: Investment Risks; Investment Vehicles; Portfolio Theory; Asset Pricing Theory; Mean-Variance Analysis; Measuring Return; Measuring Risk; Company Equity Analysis; Equity Valuation Models; Common Stock Alpha Strategies; Common Stock Beta Strategies; Smart Beta Strategies; Factor Investing; Equity Indexing; Equity Derivatives; Bond Analytics; Bond Pricing; Interest Rate Risk; Duration; Interest Rate Derivatives; Credit Derivatives; Multi-Asset Portfolio Strategies; Collective Investment Vehicles; Alternative Assets (search for similar items in EconPapers)
JEL-codes: G1 G11 G3 G30 (search for similar items in EconPapers)
Date: 2020
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