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Capm Estimates Through Regression Syed Jawad Hussain Shahzad
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Capm Estimates Through Regression
Syed Jawad Hussain Shahzad
This book analyzes the sensitivity of Capital Asset Pricing Model (CAPM) estimates to selected data frequency and time frame using Ordinary Least Square Methodology (OLS). Analysis reveal that CAPM estimates are impacted by the these variables. Daily data as apposed to recommended monthly frequency and 1.5 year time period provide the best estimates. However, the predicting power of the model can be regarded poor as it explain only 8% variation in returns.
| Medios de comunicación | Libros Paperback Book (Libro con tapa blanda y lomo encolado) |
| Publicado | 20 de febrero de 2014 |
| ISBN13 | 9783848424610 |
| Editores | LAP LAMBERT Academic Publishing |
| Páginas | 104 |
| Dimensiones | 150 × 6 × 225 mm · 173 g |
| Lengua | Alemán |