Η σχέση μεταξύ αναμενόμενης απόδοσης και βήτα και η σχέση μεταξύ αναμενόμενης απόδοσης και downside βήτα

Λινάρδου, Γεωργία Ελένη Βαλεντίνη

The relation between expected return and beta and the relation between expected return and downside beta

Master Thesis

Author

Λινάρδου, Γεωργία Ελένη Βαλεντίνη

Date

2020

Abstract

The purpose of this dissertation is to explain the relationship between beta risk measures with the CAPM model and downside-beta with the Downside - CAPM model in relation to return. We will therefore present these models in detail and state the context in which the models are developed, along with the assumptions that are necessary for their validity. Then, referring to the studies of various researchers on the two models we are considering, as well as the beta risk measures and beta downside, we obtain a picture about the effectiveness of the models in various markets, as well as the importance of beta and the downside-beta as risk measures. So we applied the Fama-MacBeth layered analysis methodology to both models in order to get some results. The data concerns the German market, which was chosen among other European countries due to the adequacy and range of observations needed for the analysis of Fama-Macbeth in order not to alter our results. The above data are analyzed towards the end of the fifth chapter of this thesis . Moreover, we use the simple method of linear regression to very out our empirical study and explain the results we get from econometric data analysis. So according to our study, the models we researched are presented as ineffective, which leads to the questioning of the conditions we initially received for the two models of asset valuation. Finally, downside-beta does not a significant explanatory power and does not seem to be a good measure of risk like the traditional beta.

Postgraduate Studies Programme

Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική Διοικητική

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής

Number of pages

196

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/12951
http://dx.doi.org/10.26267/unipi_dione/374

Collections

Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής

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