Εμπειρικός έλεγχος του διπλού βήτα υποδείγματος αποτίμησης κεφαλαιακών στοιχείων
The relation between expected return and downside beta
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Abstract
The purpose of this study is to examine the relation between expected
return and downside beta lying in the stock markets of France, with
various methods deployed in the past, while reviewing the theoretical and
empirical literature on Portfolio Theory and Capital Asset Pricing Model
and downside beta. This study is not in favor of the sufficiency of
downside beta on the validity of expected returns for the stock market
examined , because the estimation of the model parameters does not
meet the required assumptions. Possibly other risk factors interpret the
results that have not been included in the model.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
97Language
GreekCollections
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές