Ποιο υπόδειγμα asset pricing κυβερνά τις αγορές;
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Τιμολόγηση ; Περιουσιακά στοιχεία ; ΑγορέςAbstract
This dissertation focuses on the investigation and identification of the asset pricing model which “governs” the stock markets. For the derivation of an answer to this question, a set of selected asset pricing models are examined and compared. To this end, data from the ETF Mutual Funds market are used.
The study is conducted under the basic premise that one of the examined asset pricing models is superior to the others in terms of selection and use by the majority of investors, therefore it is defined as the model that holds the dominant position in the market. Specifically, four asset pricing models were examined in terms of their selection by investors, by observing the behavior of the mutual funds. The data used in this study were collected through the databases Data Stream and Bloomberg. The results outline the importance of the role played by the key features of asset pricing models with respect to which of them is being selected by investors, and conclude that the model of Sharpe is the one that "dominates" the markets.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για ΣτελέχηDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
59Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές