Please use this identifier to cite or link to this item:
Full metadata record
DC FieldValueLanguage
dc.contributor.advisorΠαπαναστασίου, Ιωάννηςel
dc.contributor.authorΠαναγιώτου, Θωμάςel
dc.descriptionΔιπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2011.el
dc.description.abstractThis 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.en
dc.format.extent1716236 bytes-
dc.format.extent1534352 bytes-
dc.publisherΠανεπιστήμιο Μακεδονίας Οικονομικών και Κοινωνικών Επιστημώνel
dc.subjectCapital asset pricing modelen
dc.subjectCapital generalized autoregressive conditional heteroskedasticityen
dc.titleAn empirical evaluation of the capital asset pricing model: evidence from Garch models.en
dc.typeElectronic Thesis or Dissertationen
dc.contributor.departmentΔιατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στη Διοίκηση Επιχειρήσεωνel
Appears in Collections:ΔΠΜΣ Διοίκηση Επιχειρήσεων (M)

Files in This Item:
File Description SizeFormat 
PanagiotouThomasMsc2011Data.zipData1.68 MBzipView/Open
PanagiotouThomasMsc2011.pdf1.49 MBAdobe PDFView/Open

Items in Psepheda are protected by copyright, with all rights reserved, unless otherwise indicated.