Η σχέση μεταξύ αναμενόμενης απόδοσης και βήτα
Μαρίνου, Μαρία Δ.
SubjectΔιαχείριση χαρτοφυλακίου ; Capital assets pricing model -- Mathematical models ; Υπόδειγμα αποτίμησης κεφαλαιακών στοιχείων ; Ανάλυση παλινδρόμησης
In the past there have been many empirical studies to determine the validity of the Capital Asset Pricing Model (C.A.P.M.), but without clear results to emerge. Even today, this model may be one of the key tools in the field of Finance, however, many researchers have questioned its application. The following study investigated the relationship between expected returns and betas, essentially it checked the power of C.A.P.M. We used the closing prices of England, Germany and France for the period 2001-2012 and we followed the methodology proposed by Fama's - MacBeth's study (1973). The results showed that in all three countries, the relationship between expected returns and betas is not accurate. Also, in regards to Germany and France this relationship is linear, while in England not.