Εμπειρικός έλεγχος του διπλού βήτα υποδείγματος αποτίμησης κεφαλαιακών στοιχείων
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Subject
Διαχείριση χαρτοφυλακίου -- Μαθηματικά μοντέλα ; Κεφαλαιαγορά -- Μαθηματικά μοντέλα ; Portfolio management -- Mathematical models ; Capital market -- Mathematical modelsAbstract
Harry Markowitz in 1952 founded the modern portfolio theory, based on the assumption that the behavior and investors' choices are determined by the context of mean-variance. However, both himself Markowitz, and numerous empirical studies have found that the context of the mean-semi variance seems to be more effective and realistic in order to explain the behavior of investors, for both shares and equity portfolios. This thesis aims to verify the validity of the D-CAPM model, defined under the mean-semi variance for bull and bear markets. The empirical assessment is based on the methodology of Faff (2001) for individual stocks for the markets of Germany, France, Italy and Greece for the period 1993-2013. In addition, the total period was split into two sub-periods, 1993-2003 and 2004-2013. The results show that portfolios with lower beta coefficients can result in sufficient diversification and retain relatively low systematic risk, even in bear markets, despite the fact that the beta coefficients do not remain stable over time. At the same time, it seems that the aggressive (defensive) stocks remain aggressive (defensive) regardless of the market trend (bull or bear), for the four 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
182Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές