Verifying Capital Asset Pricing Model in Greek Capital Market

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Verifying Capital Asset Pricing Model in Greek Capital Market

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Verifying Capital Asset Pricing Model in Greek Capital Market

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název periodika

Asian Social Science

ISSN

1911-2017

e-ISSN

—

Svazek periodika

11

Číslo periodika v rámci svazku

16

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

7

Strana od-do

55-61

Kód UT WoS článku

—

EID výsledku v databázi Scopus

—