Αποδόσεις μετοχών, βήτα, χρηματιστηριακή αξία και δείκτης χρηματιστηριακή αξία-προς-λογιστική αξία: υπάρχει σχέση;

Κωνσταντίνου, Πολυχρόνης

Share returns, beta, market value/book value ratio: is there a relation?

Master Thesis

Author

Κωνσταντίνου, Πολυχρόνης

Date

2018

Abstract

The purpose of this paper is to assess whether the Fama & Macbeth model, if specific factors are used, can sufficiently illustrate the Germany's Stock Market performance from 2007 to 2017.Starting with the basic financial model of CAPM, given the results of numerous previous studies, we deduced that the Beta coefficient used to explain the stock market performance is inadequate and unreliable. After this first attempt of a solid financial model, many later studies/models showed that there are other coefficients which could potentially explain the performance volatility of a stock portfolio or even a stock on its own. The current dissertation focuses on the market price value and the price to book value ratio (ME/BE) and tries to prove if these 2 coefficients give more precise results than the Beta coefficient by using the Fama & Macbeth model.

Postgraduate Studies Programme

Αναλογιστική Επιστήμη και Διοικητική Κινδύνου

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Number of pages

182

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/11344

Collections

Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

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