Η σχέση μεταξύ αναμενόμενης απόδοσης και βήτα όταν δεν υπάρχει ανοιχτή πώληση μετοχών
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Keywords
Ανοιχτή πώληση μετοχών ; CAPM ; Διακογιάννης ; Θεωρία χαρτοφυλακίου ; Αποδοτικό σύνολοAbstract
The main purpose of this thesis at first point is to prove the inefficiency of the FTSE 100 index. Then to estimate the relationship between the expected return and beta when short sales aren’t available. To do so, we took daily and weekly data for a 3,5 year period starting from April 2015 to December 2018. Data were downloaded from Thomson Reuters from the Department of Banking & Finance of the University of Piraeus. We’ve made three different tests, to check whether the index is efficient or not. Schematically using the Roll’s, and Markowitz’s techniques and a statistical one. Finally we estimated the average return of these 101 equities using the three dimensional model based on the Diacogiannis & Feldman (2013) paper. The results firstly proved the inefficiency of the FTSE 100 index and then a variation ( underestimation or overestimation) when calculated the equity returns using the Diacogiannis & Feldman (2013) model, meaning that there is a false estimation of the cost of capital of each company.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
132Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές