1 / 17

THE EMPIRICAL TESTING OF CAPITAL ASSET PRICING MODEL AND OF THE ARBITRAGE PRICING THEORY

THE EMPIRICAL TESTING OF CAPITAL ASSET PRICING MODEL AND OF THE ARBITRAGE PRICING THEORY. ADRIAN COJOCARU . Market Data. Perio d Octob er 1998 – Septemb er 2002.

christina
Download Presentation

THE EMPIRICAL TESTING OF CAPITAL ASSET PRICING MODEL AND OF THE ARBITRAGE PRICING THEORY

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. THE EMPIRICAL TESTING OF CAPITAL ASSET PRICING MODEL AND OF THE ARBITRAGE PRICING THEORY ADRIAN COJOCARU

  2. Market Data Period October 1998 – September 2002 SelectionI have selected 20 shares: All from the BET market indexand the rest from the Composite BET index, to insure diversification among different sectors of the economy End of the month returns, a total of 48 observations

  3. Normality Test

  4. 2.4 4 2.0 3 1.6 1.2 2 0.8 1 0.4 0.0 0 -.4 -.3 -.2 -.1 .0 .1 .2 .3 .4 .5 .6 .7 -1.2 -0.8 -0.4 0.0 0.4 0.8 I N X E L J

  5. CAPM Sharpe (1964) APT Ross (1976)

  6. „Cross-section” • Fama (1973) • Chen (1983) CAPM

  7. Principal Component Analysis Correlation Matrix=X’ X X’ X W = Λ W P=XW W’ = W-1 P’ P = W’ X’ X W = W’ W Λ = Λ X=PW-1

  8. Kaiser Criterion

  9. Cattell Test

  10. APT

  11. .07 .06 .05 .04 .03 .02 .01 .00 -.01 5 10 15 20 25 30 35 40 45 RENTMED RENTCAPM RENTAPT

  12. Residue Analysis A. APT residue analysis B. CAPM residue analysis

More Related