Capm Estimates Through Regression - Syed Jawad Hussain Shahzad
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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 regarde ... Pilns apraksts
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Aprašymas
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.
Vairāk informācijas
| Autors | Syed Jawad Hussain Shahzad |
|---|---|
| Izdevējs | LAP LAMBERT Academic Publishing |
| Izlaides gads | 2014 |
| Vāka tips | Mīkstais vāks |
| EAN | 9783848424610 |