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An empirical evaluation of CAPM’s validity in the British stock exchange

Loukeris Nikolaos, Matsatsinis Nikolaos

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URIhttp://purl.tuc.gr/dl/dias/43B0F006-C2CF-471F-B1A1-2AFE029664C0-
Identifierhttp://universitypress.org.uk/journals/ami/19-092.pdf-
Languageen-
Extent8 pagesen
TitleAn empirical evaluation of CAPM’s validity in the British stock exchangeen
CreatorLoukeris Nikolaosen
CreatorΛουκερης Νικολαοςel
CreatorMatsatsinis Nikolaosen
CreatorΜατσατσινης Νικολαοςel
Content SummaryThe CAPM under the means of the two step regression procedure indicated that the cross section of average excess security return is positively related to beta. Under a frame of Computational Econometrics the two step regression procedure is implemented into CAPM, concluding that the strict CAPM test rejects the second H0 hypothesis on the market risk premium, hence the slope of the Security Market Line (SML) is different from the slope of SML indicated by CAPM. Consequently the CAPM has not a statistical significance in Portfolio Selection.en
Type of ItemPeer-Reviewed Journal Publicationen
Type of ItemΔημοσίευση σε Περιοδικό με Κριτέςel
Licensehttp://creativecommons.org/licenses/by/4.0/en
Date of Item2015-11-03-
Date of Publication2009-
SubjectCapability, Financial (Financial literacy)en
SubjectFinancial capability (Financial literacy)en
SubjectLiteracy, Financialen
Subjectfinancial literacyen
Subjectcapability financial financial literacyen
Subjectfinancial capability financial literacyen
Subjectliteracy financialen
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