Capital asset pricing model

dc.contributor.author	Φράγκος, Χρήστος Κ. (1949-)	el
dc.contributor.author	Αρσένος, Παναγιώτης Ι.	el
dc.contributor.author	Φράγκος, Κωνσταντίνος Κ.	el
dc.date.accessioned	2014-12-17T21:16:33Z
dc.date.available	2014-12-17T21:16:33Z
dc.date.issued	2014-12-17
dc.identifier.uri	http://hdl.handle.net/11400/2936
dc.rights	Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ηνωμένες Πολιτείες	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/us/	*
dc.subject	Capital assets pricing model
dc.subject	Bootstrap method
dc.title	Capital asset pricing model	en
heal.type	journalArticle
heal.secondaryTitle	nonparametric estimation of beta parameter by the bootstrap statistical methodology	en
heal.classification	Social sciences
heal.classification	Κοινωνικές επιστήμες
heal.classification	Finance
heal.classification	Οικονομία
heal.classificationURI	http://id.loc.gov/authorities/subjects/sh85124003
heal.classificationURI	N/A-Finance
heal.classificationURI	N/A-Κοινωνικές επιστήμες
heal.classificationURI	http://skos.um.es/unesco6/530701
heal.classificationURI	N/A-Οικονομία
heal.keywordURI	http://id.loc.gov/authorities/subjects/sh85019932
heal.keywordURI	http://zbw.eu/stw/descriptor/19569-5
heal.language	en
heal.access	campus
heal.recordProvider	Τεχνολογικό Εκπαιδευτικό Ίδρυμα Αθήνας. Σχολή Διοίκησης και Οικονομίας. Τμήμα Διοίκησης Επιχειρήσεων. Κατεύθυνση Διοίκησης Επιχειρήσεων	el
heal.publicationDate	2007
heal.bibliographicCitation	Frangos, C.C., Arsenos, P. & Frangos, K.C. (2007) Capital asset pricing model: nonparametric estimation of beta parameter by the bootstrap statistical methodology. "Αρχείον Οικονομικής Ιστορίας". 2. p. 305-316.	en
heal.abstract	Investors are interested in receiving the highest return on a portfolio, subject on some constraint in the risk involved. The Capital Asset Pricing Model (CAPM) is a linear model of the form: r s = a + prm + e, where rs, rm, are the returns of a particular security (s) and of the market as a whole correspondingly, and e is a random error with E(e) = 0 and var(e) = o2. The above model states that the risk for any security cun be separated into two parts: the systematic risk from the market as a whole and the specific risk of the particular security. The systematic risk is measured by the coefficient (i (beta) in the CAPM model and the specific risk by the standard error of estimation Se. 1716 parameter beta of a security measures its responsiveness to changes in the market. It is very important for an investor to estimate, as accurately as possibly, the parameter beta because he can assess the competitiveness of a company. An investor holding stocks with beta values greater than 1 is taking an aggressive stance: holding stocks with beta values less than 1 represents a defensive stance. In this paper, a nonparametric method, called Bootstrap, (Efron, 1982), is employed to estimate the parameters beta of seven assets of London Stock Exchange. The coefficients a and p, the standard errors of the estimates a and b and the 95% Confidence Intervals for the parameter \|i are estimated by the Classical Least Squares and Weighted Least Squares Methods, as well as, by the Bootstrap Method. The findings are: (i) The Bootstrap Method produces 95% Confidence intervals for fi which are shorter in length than the Confidence Intervals produced by the more Classical Methods.(ii) The estimate of the Standard Error for beta is similar for the Classical and Bootstrap Methods, (iii) The computer intensive method of Bootstrap frees the researcher from the need to assume the Normality of the errors in the CAPM model, because of its nonparametric nature.	en
heal.publisher	Ελληνική Εταιρία Οικονομικής Ιστορίας	el
heal.publisher	Greek Economic History Society	en
heal.journalName	Αρχείον Οικονομικής Ιστορίας	el
heal.journalName	Archives of Economic History	en
heal.journalType	peer-reviewed
heal.fullTextAvailability	true