Application of Capital Asset Pricing (CAPM) and Arbitrage Pricing Theory (APT) Models in Athens Exchange Stock Market

Business & Finance, Finance & Investing, Finance
Cover of the book Application of Capital Asset Pricing (CAPM) and Arbitrage Pricing Theory (APT) Models in Athens Exchange Stock Market by Eleftherios Giovanis, GRIN Publishing
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Eleftherios Giovanis ISBN: 9783640576791
Publisher: GRIN Publishing Publication: March 26, 2010
Imprint: GRIN Publishing Language: English
Author: Eleftherios Giovanis
ISBN: 9783640576791
Publisher: GRIN Publishing
Publication: March 26, 2010
Imprint: GRIN Publishing
Language: English

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 ? 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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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 ? 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.

More books from GRIN Publishing

Cover of the book Ironie -Theorie und Praxis by Eleftherios Giovanis
Cover of the book About the Symbol in Cassirer´s: Essay on Man by Eleftherios Giovanis
Cover of the book Was ist wichtig an Unternehmenskultur? - Eine Analyse wichtiger Kulturmerkmale anhand einer empirischen Untersuchung by Eleftherios Giovanis
Cover of the book In search of beauty by Eleftherios Giovanis
Cover of the book Metaphor and Literariness by Eleftherios Giovanis
Cover of the book Why Is the Issue Raised in Romans 9-11 So Important for Paul and How Does He Respond? by Eleftherios Giovanis
Cover of the book An inconvenient woman - The character of Madame Wu from 'Pavilion of Women' by Pearl S. Buck by Eleftherios Giovanis
Cover of the book Virginia Woolf´s 'The Waves' by Eleftherios Giovanis
Cover of the book Possible directions that South Africa needs to follow regarding urban development, in view of the experiences in Chile and the Urban Development Strategy of the South African Government by Eleftherios Giovanis
Cover of the book Budgeting process, is it really necessary? by Eleftherios Giovanis
Cover of the book Ein Fußballthriller nicht nur für Jungs: 'Ausgewechselt' von Ulli Schuberth by Eleftherios Giovanis
Cover of the book Discuss the distribution of genetic diversity found in human and chimpanzee populations by Eleftherios Giovanis
Cover of the book Cockney and Estuary English. A comparison by Eleftherios Giovanis
Cover of the book The role of small and medium-sized enterprises (SMEs) in Europe's economy by Eleftherios Giovanis
Cover of the book Jessie's Quest for Autonomy through Suicide in Marsha Norman's night Mother by Eleftherios Giovanis
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy