Verifying Capital Asset Pricing Model in Greek Capital Market

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F15%3A70042" target="_blank" >RIV/60460709:41110/15:70042 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.5539/ass.v11n16p55" target="_blank" >http://dx.doi.org/10.5539/ass.v11n16p55</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.5539/ass.v11n16p55" target="_blank" >10.5539/ass.v11n16p55</a>

Result language
angličtina
Original language name
Verifying Capital Asset Pricing Model in Greek Capital Market
Original language description
This article deals with capital asset valuation on Greek capital market using Capital Asset Pricing Model (CAPM). We examined 32 companies listed on the Athens Stock Exchange on a weekly basis for a period from June 2009 to December 2013 under this model. The CAPM model is tested by performing two-pass characteristic regression analyses. The first-pass characteristic line regression was used to estimate stocks of beta. Hence, the second-pass characteristic line regression was taken to analyze the intercept and the slope coefficients of stocks. The two characteristics of line regression verify the adequacy of the CAPM. According to our results, we came to a conclusion that there was a linear relationship between systematic risk and returns. The CAPM would be the verification of our major hypotheses from the time series tests. In order for this to be true, the intercept ought to be approximately equal to zero, supporting the theories for both individual assets and portfolios. However, th
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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