Canegrati, Emanuele (2008): Testing the CAPM: Evidences from Italian Equity Markets.
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The aim of the following work is to exploit principal econometric tecniques to test the Capital Asset Pricing Model theory in Italian equity markets. CAPM is a financial model which describes expected returns of any assets (or asset portfolio) as a function of the expected return on the market portfolio. In this paper I will first explain the meaning of the market risk and I will measure it via the estimation of beta coeffcients, which are seen as a measure of assets sensitivity to market portfolio fluctuations. The theoretical framework is based on the Sharpe (1964) and Lintner (1965) version of the CAPM and on the Pettengill's hypothesis (1995) over the relationship between betas and returns. Secondly, I will test the presence of specific effects which usually occur in financial markets; in particular, I will check the presence of the well-known January effect and detect the existence of structural breaks over the considered period of time.
|Item Type:||MPRA Paper|
|Original Title:||Testing the CAPM: Evidences from Italian Equity Markets|
|Keywords:||CAPM, Structural breaks, January effect|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions
|Depositing User:||Emanuele Canegrati|
|Date Deposited:||08. Oct 2008 10:29|
|Last Modified:||13. Feb 2013 16:05|
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