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Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Παπαναστασίου, Ιωάννης | el |
dc.contributor.author | Παναγιώτου, Θωμάς | el |
dc.date.accessioned | 2011-10-13T07:29:55Z | - |
dc.date.available | 2011-10-13T07:29:55Z | - |
dc.date.issued | 2011 | el |
dc.identifier.uri | http://dspace.lib.uom.gr/handle/2159/14504 | - |
dc.description | Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2011. | el |
dc.description.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. | en |
dc.format.extent | 49 | el |
dc.format.extent | 1716236 bytes | - |
dc.format.extent | 1534352 bytes | - |
dc.format.mimetype | application/winzip | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | en |
dc.publisher | Πανεπιστήμιο Μακεδονίας Οικονομικών και Κοινωνικών Επιστημών | el |
dc.subject | Capital asset pricing model | en |
dc.subject | Capital generalized autoregressive conditional heteroskedasticity | en |
dc.title | An empirical evaluation of the capital asset pricing model: evidence from Garch models. | en |
dc.type | Electronic Thesis or Dissertation | en |
dc.type | Text | en |
dc.contributor.department | Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στη Διοίκηση Επιχειρήσεων | el |
Appears in Collections: | ΔΠΜΣ Διοίκηση Επιχειρήσεων (M) |
Files in This Item:
File | Description | Size | Format | |
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PanagiotouThomasMsc2011Data.zip | Data | 1.68 MB | zip | View/Open |
PanagiotouThomasMsc2011.pdf | 1.49 MB | Adobe PDF | View/Open |
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