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Πλοήγηση ανά Επιβλέπων "Delaportas, Petros"

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  • Μικρογραφία εικόνας
    Τεκμήριο
    An empirical examination of greek stock returns based on CAPM and market model
    Kakoseou, Sotiria A.; Κακοσαίου, Σωτηρία Α.; Athens University of Economics and Business, Department of Statistics; Delaportas, Petros
    For as long as anyone can remember, people have been trying to estimate the future. This has been also happening in financial world. Scientists are trying to estimate the expected returns from a given asset or portfolio. The Capital Asset Pricing Model (CAPM) is an idealized portrayal of how financial markets price securities determine expected returns on capital investments. The model provides a methodology for quantifying risk and translating that risk into estimates of expected returns on equities.This dissertation begins by outlining the major assumptions underling the Capital Asset Pricing Model. It then goes on to describe its two main components the capital market line (CML) and the security market line (SML). we will also refer to the empirical evidence on the CAPM to see how well the model conforms to pragmatic world behavior.In chapter 3 of this dissertation the single-index model (SIM), which is the empirical counterpart of the theoretical CAPM will be analyzed. It will be illustrated how this model can be used as a practical method for analyzing the structure and important characteristics of a portfolio.In chapter 4 we will show how financial researchers and commercial portfolio analysis services have elaborated the basic single-index model in the quest for better estimates of betas for securities and portfolios. In chapter 5 we shall be using actual data from Athens Stock Exchange and we shall construct an optimal portfolio based on the SIM. In addition, adjusted estimates of future beta for this portfolio are calculated by using Vasicek technique. In the last part of this analysis, using the adjusted betas found earlier, an optimal portfolio formed again and a comparison between the two portfolios is made. We complete this dissertation with some brief conclusions in chapter 6.