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 ... Full description
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Description
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.
More Information
| Author | Syed Jawad Hussain Shahzad |
|---|---|
| Publisher | LAP LAMBERT Academic Publishing |
| Release year | 2014 |
| Cover type | Softcover |
| EAN | 9783848424610 |