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Author: Παναγιώτου, Θωμάς
Title: An empirical evaluation of the capital asset pricing model: evidence from Garch models.
Date Issued: 2011
Department: Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στη Διοίκηση Επιχειρήσεων
Supervisor: Παπαναστασίου, Ιωάννης
Abstract: This essay tests the performance of the Capital Asset Pricing model using competitive OLS and GARCH models. Furthermore, the use of additional factors in the CAPM equation will be employed. Two factors will be used, the GARCH-in-mean coefficient (δ) and the lag of excess returns. The OLS estimated coefficients (alpha and beta) will be compared with rolling and recursive OLS estimates, testing the time-varying nature of the CAPM coefficients. The findings can lead to significant conclusions about the validity of CAPM model.
Keywords: Capital asset pricing model
Capital generalized autoregressive conditional heteroskedasticity
Information: Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2011.
Appears in Collections:ΔΠΜΣ Διοίκηση Επιχειρήσεων (M)

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