Empirical assessment of the three-dimensional model between expected return and betas & comparison to multi-factor asset pricing models
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Keywords
FTSE 100 Index ; Αποδοτικό σύνορο ; Θεωρία χαρτοφυλακίου ; CAPM ; Αποτίμηση περιουσιακών στοιχείων ; Χώρος αναμενόμενης απόδοσης τυπικής απόκλισης ; Roll ; Διακογιάννης ; Feldman ; Χαρτοφυλάκια ελαχίστου κινδύνουAbstract
The purpose of this thesis is to prove the inefficiency of the FTSE 100 Index. In order to test it, we used the 3D Model of Dr. George Diacogiannis. We took daily, weekly and monthly data for the FTSE 100 Index and for every constituent of the Index, for an 8-year period starting from 2010 up to 2018. The data were downloaded from the Thomson Reuters Datastream database from the Department of Banking & Financial Management of the University of Piraeus. Our results indicate that the FTSE 100 Index is an inefficient portfolio and this result was proven schematically by creating the Efficient Frontier following Roll’s Methodology (1977) and statistically by using the methodology of George E.P. Box.