Αποτίμηση υψηλότερων ροπών των κατανομών μετοχών
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Keywords
Καναδάς ; Κορέα ; Downside beta ; Downside gamma ; Downside delta ; Beta ; Capital assets pricing model ; Κύρτωση ; Higher order co-moments ; ΑσυμμετρίαAbstract
The purpose of this thesis is to research the role of downside Beta, downside Gamma and downside Delta according to the calculation ways by Hogan & Warren, Harlow & Rao and Estrada.
The downside higher order co-moments mentioned above were applied in asset pricing models whose returns were not normally distributed.
As a result, we study the daily returns of Canadian companies from 1997 to 2007 and from 2008 to 2016, and the daily returns of South Korean companies from 1999 to 2007 and 2008 to 2016. We did this split so we could have a part without the effects of the 2018 global financial crisis, and one part with the effects.
The source of these data is the Thomson Reuters Datastream database. 98 regressions were made for the two countries in total. At first, we evaluated the models with one risk measure, and then the models who had in common 2 and 3 downside measures, in order to prove the inability of the Capital Asset Pricing Model (CAPM)
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
498Language
Greek
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Αναφορά Δημιουργού - Μη Εμπορική Χρήση - Παρόμοια Διανομή 4.0 Διεθνές
Αναφορά Δημιουργού - Μη Εμπορική Χρήση - Παρόμοια Διανομή 4.0 Διεθνές