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q-fin.ST2019
A Stock Market Model Based on CAPM and Market Size
Andrey Sarantsev, Blessing Ofori-Atta, Brandon Flores
We introduce a new system of stochastic differential equations which models dependence of market beta and unsystematic risk upon size, measured by market capitalization. We fit our…
q-fin.ST2019
A New Stock Market Valuation Measure with Applications to Retirement Planning
Andrey Sarantsev
We generalize the classic Shiller cyclically adjusted price-earnings ratio (CAPE) used for prediction of future total returns of the stock market. We treat earnings growth as exoge…