CAPM and a new investment decision method

Research output: Contribution to journalArticlepeer-review

Abstract

The traditional CAPM explains the return on each security, while the current study suggests a new methodology for “picking” a broad index, based on regression trees. Analysts’ recommendations on market prices are analyzed, and a one to three-stage method is employed. The analysis suggests a few rules of thumb (only one to three stages) for buying or selling the CRSP US market index. The findings are robust, and the rules are reliable. Researchers and practitioners may benefit greatly from the new rules.

Original languageEnglish
Pages (from-to)78-85
Number of pages8
JournalJournal of Corporate Accounting and Finance
Volume35
Issue number2
DOIs
StatePublished - Apr 2024

Keywords

  • analysts' recommendations
  • market prices
  • regression tree

All Science Journal Classification (ASJC) codes

  • Accounting
  • General Economics,Econometrics and Finance

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