An empirical evaluation of CAPM’s validity in the British stock exchange
Authors: Loukeris, Nikolaos 
Issue Date: 1-Jan-2009
Journal: International Journal of Applied Mathematics and Informatics 
Volume: 3
Issue: 1
Keywords: Capital asset pricing model, Two step regressions procedure, Financial management
Abstract: 
The CAPM under the means of the two step regression procedure indicated that the cross section of average excess security return is positively related to beta. Under a frame of Computational Econometrics the two step regression procedure is implemented into CAPM, concluding that the strict CAPM test rejects the second H0 hypothesis on the market risk premium, hence the slope of the Security Market Line (SML) is different from the slope of SML indicated by CAPM. Consequently the CAPM has not a statistical significance in Portfolio Selection.
ISSN: 2074-1278
URI: https://uniwacris.uniwa.gr/handle/3000/2197
Type: Article
Department: Department of Business Administration 
School: School of Administrative, Economics and Social Sciences 
Affiliation: University of West Attica (UNIWA) 
Appears in Collections:Articles / Άρθρα

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