CAPM (Sharpe, Lintner) is a model of market equilibrium where pricing is determined by the asset correlation with systemic market risk. An informationally efficient market should set CAPM excess risk premium at zero. APT model (Ross) indicates the existence of an excess premium whenever other risk factors are not priced by CAPM. The aim of this work is to investigate whether the degree of product differentiation is a significant proxy for risk to be included within the pricing kernel.
Differentiation in the Cross-Section of Returns
Schincaglia, Michele
2022/2023
Abstract
CAPM (Sharpe, Lintner) is a model of market equilibrium where pricing is determined by the asset correlation with systemic market risk. An informationally efficient market should set CAPM excess risk premium at zero. APT model (Ross) indicates the existence of an excess premium whenever other risk factors are not priced by CAPM. The aim of this work is to investigate whether the degree of product differentiation is a significant proxy for risk to be included within the pricing kernel.File in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.14247/14498