Empirical test of the CAPM using linear regression

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F12%3A00061449" target="_blank" >RIV/00216224:14560/12:00061449 - isvavai.cz</a>

Result on the web

—

DOI - Digital Object Identifier

—

Result language

angličtina

Original language name

Empirical test of the CAPM using linear regression

Original language description

This paper summarizes the results of series of empirical tests of the Capital Asset Pricing model (CAPM). The empirical tests were performed for the shares traded in the system SPAD of the Prague Stock Exchange. CAPM is the equilibrium model of the single-index model. Therefore we use test of linear regression for single-index model. The results indicate that the CAPM is not appropriate for modelling the return on the considered shares in the considered time interval.

Czech name

—

Czech description

—

Type

D - Article in proceedings

CEP classification

AH - Economics

OECD FORD branch

—

Project

—

Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2012

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

European Financial systems 2012

ISBN

9788021059405

ISSN

—

e-ISSN

—

Number of pages

5

Pages from-to

30-34

Publisher name

Masaryk University

Place of publication

Brno

Event location

Brno

Event date

Jan 1, 2012

Type of event by nationality

EUR - Evropská akce

UT code for WoS article

—