Empirical Analysis of Securities listed on French Market Index CAC40 Using CAPM

Al Bouni Iyad (2021) Empirical Analysis of Securities listed on French Market Index CAC40 Using CAPM. Pénzügyi és Számviteli Kar.

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Absztrakt (kivonat)

Evaluating financial assets using CAPM was the main purpose of the study, like any other research, the study depends in the obtained data. The quality of the data is a major constraint. The results of the study are only a reflection of the data used to perform the analysis. What comes out of the study is that the Hypothesis H3 concerning the Sharpe Lintner condition did not hold true regression over the entire period and the slope showing non statistical significance disprove a main assumption for with CAPM. Mainly due to the crisis of subprime spanning from 2008-2011 Gathering securities in portfolios to minimize non systematic risk did not have the much different results than the individual securities study, adding the squared beta to the regression highly affect the alpha and the slope of the security market line, meaning that some risk is still not explained by the single factor model. the results came in line with some earlier researches such as Black, Jensen and Scholes(1972) where the value of the intercept becomes negative when beta is higher than one which is not in favor of the original model but still approve the model where there is not borrowing at risk free rate. The results of sub-study 2 consisting of analyzing returns of portfolios using the methodology of Fama & Mc Beth (1974) where they constructed 20 portfolios using two steps regression methods, The results of sub-study 2 showed a significant coefficient for α0 in line with Fama & McBeth results,  the coefficient for  risk premium was not significant during the first period and another explanatory variable like β2 has a significant effect on the return and the slope. In subperiod 2 for portfolios returns the risk-free rate was equal to the intercept, but linearity between risk and returns are not significant and the coefficient for the slope shows no positive tradeoff, unlike what assumed by CAPM. The results of this study show that using the obtained beta from the study to perform financial investments, to evaluate portfolios managers or to compute capital cost would lead to inaccurate decisions by the different companies. Due to the fact that market returns have no significant impact on financial assets’ returns, lack of linearity between markets return and securities.

Intézmény

Budapesti Gazdasági Egyetem

Kar

Pénzügyi és Számviteli Kar

Tanszék

Pénzügyi és Gazdálkodási Szaknyelvek Tanszék

Tudományterület/tudományág

NEM RÉSZLETEZETT

Szak

Pénzügy és Számvitel szak angol nyelven

Mű típusa:	diplomadolgozat (NEM RÉSZLETEZETT)
Kulcsszavak:	corporate finance, finance, financial markets, investment, investment analysis
SWORD Depositor:	Archive User
Felhasználói azonosító szám (ID):	Archive User
Rekord készítés dátuma:	2021. Már. 01. 14:02
Utolsó módosítás:	2021. Már. 01. 14:02

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