Application of Capital Asset Pricing CAPM and Arbitrage Pricing Theory APT Models in Athens Exchange Stock Market is popular PDF and ePub book, written by Eleftherios Giovanis in 2010-03, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Application of Capital Asset Pricing CAPM and Arbitrage Pricing Theory APT Models in Athens Exchange Stock Market can be Read Online from any device for your convenience.
Application of Capital Asset Pricing CAPM and Arbitrage Pricing Theory APT Models in Athens Exchange Stock Market Book PDF Summary
Seminar paper from the year 2007 in the subject Business economics - Investment and Finance, grade: 90.0%, language: English, abstract: This paper examines the estimating and forecasting performance of the different and various Generalized Autoregressive Conditional Heteroscedasticity-GARCH's models in relation to Capital Asste Pricing Model (CAPM) model. We apply the CAPM model with ordinary least squares (OLS) method to investigate if an ARCH (Autoregressive Conditional Heteroscedasticity) is presented and we are trying to decide and to analyze which GARCH model is the most appropriate and the best fitted for the financial time series that we have chosen. We apply CAPM model in the financial time series of the share prices of Technology-Software Sector in Athens Exchange stock market for the period January 1st of 2002 to October 30th of 2007 for the enterprises "Unibrain" "MLS Informatics" and "Dionic" respectively, from April 2nd of 2002 to 30th October of 2007 for the enterprise "Compucon", from August 2nd of 2002 to 30th October of 2007 for the enterprise "Centric", and finally from February 2nd of 2004 to 30th October of 2007 for the enterprise "Ilyda". Additionally, we apply roiling regressions, where the full programming routines in EVIEWS and MATLAB are described detailed. We conclude that the slope β coefficient of CAPM model is not constant through the time period of rolling regressions we apply. In the final part we examine a simple Arbitrage Pricing Theory (APT) model.
Detail Book of Application of Capital Asset Pricing CAPM and Arbitrage Pricing Theory APT Models in Athens Exchange Stock Market PDF
- Author : Eleftherios Giovanis
- Release : 01 March 2010
- Publisher : GRIN Verlag
- ISBN : 9783640576593
- Genre : Business & Economics
- Total Page : 101 pages
- Language : English
- PDF File Size : 10,9 Mb
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