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|Time-varying betas and the Athens Stock Excange market.
|Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμη
|It has been argued that the Capital Asset Pricing Model fails to price some forms of systematic risk. In addition, numerous studies have demonstrated evidence against beta constancy, proving that estimating time varying betas and including them in the CAPM model gives a better presentation of the market, as all economic prices vary over time. It is generally confirmed that Dynamic Model of Capital Pricing outperforms the static Capital Asset Pricing Model. Aim of this paper is to describe the theory of the CAPM model, report the new form of CAPM model, the conditional CAPM, which includes time varying betas, analyze the role of beta as risk in the market and report ways to estimate dynamic betas. Athens Stock Exchange Market and two stocks of bank sector are chosen, in order to estimate time varying betas and discuss their performance in the market, as main point of this coursework is to account for the parameter of time variation, in order to develop a pricing model that more accurately describes the behaviour of returns. Additionally, previous literature concerning dynamic betas is presented and finally, GARCH models are applied in the estimation of time varying betas, as OLS estimators seem to be inaccurate in our case, where variances are not static.
Athens Stock Exchange market
|Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2010.
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|ΔΠΜΣ Οικονομική Επιστήμη (M)
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