Over the last 40 years, CAPM has been widely rejected by empirical data and at least two other theories arbitrage pricing theory (APT) and risk-neutral pricing theory have solved theoretical problems inherent in CAPM. And yet CAPM remains the dominant asset pricing model in valuation practice. An exploration of the theoretical and empirical problems with CAPM relative to APT will be presented, and conclusions will be drawn with respect to
(1) conditions under which CAPM is likely to be adequate for valuation,
(2) how APT can help solve problems related to absence of observable capital asset market prices for privately-traded assets,
(3) how APT can be used to price risk factors not priced within CAPM, and
(4) why APT is likely optimal relative to CAPM in both arbitraging asset markets and estimating market values.
El seminario se dictará en inglés sin traducción simultánea
Malcolm McLelland: Partner in McLelland + Palazzi | Financial economics, which provides international capital markets advisory services, which involve economic and financial modeling, econometric analysis, asset pricing and valuation, M&A and PE transaction advisory services, and commercial litigation and reorganization services to companies in the Americas and Asia. During his academic career he has taught courses in finance and accounting at major universities including University of Illinois at Chicago, Purdue University, Indiana University, and Stuttgart Institution of Management & Technology. He is an active researcher and has published articles in academic and professional journals, and a recent book titled International cost of capital estimation: Methods based on modern asset pricing theory. He holds a Bachelor of Science degree in Business (Accounting) from Indiana University, and a Ph.D. in Business Administration (Accounting and Econometrics) from Michigan State University
Guillermo López Dumrauf: Director de T-INSAT Comunicação Satelital. Asesor financiero de compañías y entidades financieras en Latinoamérica y EE.UU. Autor de 11 libros sobre finanzas,economía y matemática aplicada.Conferencista internacional, autor y revisor de artículos para journals indexados. Jurado y director de tesis doctorales.Consejero de Doctorados y Maestrías de universidades argentinas y extranjeras. Su tesis doctoral fue desarrollada sobre un modelo de estructura de capital óptima que plantea un Bond-Rating Trade-off.