TAILIEUCHUNG - Capital asset pricing model – Investigation and testing

This paper aims to develop testing model based on logistic regression with three factors to investigate the equity premium portion of CAPM model. It includes (1) literature review on equity premium of CAPM (Capital Asset Pricing Model) model; (2) Set up logistic regression model; (3) Data collection from Datastream; (4) Use of Matlab in regression; (5) Data input in logistic regression; (6) Create a homemade model to prove the nonexistence of equity premium puzzle. Together with investigating the proper definition of risk-free rate, this paper investigates and tests the basic model of CAPM. | Journal of Applied Finance Banking vol. 7 no. 6 2017 85-97 ISSN 1792-6580 print version 1792-6599 online Scienpress Ltd 2017 Capital Asset Pricing Model - investigation and Testing Huang Xian Yu1 Abstract This paper aims to develop testing model based on logistic regression with three factors to investigate the equity premium portion of CAPM model. It includes 1 literature review on equity premium of CAPM Capital Asset Pricing Model model 2 Set up logistic regression model 3 Data collection from Datastream 4 Use of Matlab in regression 5 Data input in logistic regression 6 Create a homemade model to prove the nonexistence of equity premium puzzle. Together with investigating the proper definition of risk-free rate this paper investigates and tests the basic model of CAPM. JEL classification numbers G1 Keywords CAPM model risk-free rate risk premium logistic regression volatility index. 1 Introduction This paper investigates the proxy for risk-free rate used in past researches and argues that the proxy for risk-free rate used in the past researches is underestimated. Historical return has shown abnormally high returns on S P 500 over that of . government bond which is generally accepted as risk-free. Gold has been considered as risk-free theoretically this risk-free rate proxy should be the larger of Treasury yield or return on gold. 1 Department of Finance Chu Hai College of Higher Education Hong Kong Article Info Received August 7 2017. Revised August 30 2017. Published online November 1 2017 86 Huang Xian Yu This paper also doubts that risk premium might be wrongly estimated in the past and went through the historical data related to the risk premium and made experiment on two main variables based on the basic formula of Capital Asset Pricing Model. We investigate the historical data related to the equity premium puzzle and made experiment on two main variables considered based on the basic formula of Capital Asset Pricing Model CAPM including the estimation .

• Ngân hàng - Tín dụng
• CAPM model
• Risk free rate
• Risk premium
• Logistic regression
• Volatility index
• BSE for Sensex stocks
• Suitability of CAPM
• Capital Asset Pricing Model
• Intrinsic value and Market price
• Indian Stock Market
• Multiple linear regression model
• Average spread
• Variability in the returns
• Outstanding shares
• Closing bid
• Momentum effect
• Emerging stocks’ markets
• Fama and French three factor model
• Tunisian stocks returns
• Lecture Money Banking and Finance
• Bài giảng Tiền tệ ngân hàng
• Capital Market Line
• Individual stock return
• Deriving the SML
• kế toán
• tài chính
• Mô hình xác định giá trị
• Tài sản vốn
• Mô hình tài chính
• Xác định giá trị tài sản
• Mô hình CAPM
• Định giá chứng khoán
• Low beta anomaly
• Post estimation realized return
• Beta estimation interval matters
• CAPM theorized relationship
• Historical volatility
• Index volatility
• Monetary policy
• Stock price
• Historical volatility influence stock prices
• Financial market stability
• Financial market volatility
• Stock index futures
• Stock index futures trading
• Volatility impact of stock index
• KLCI Futures
• Market volatility
• Empirical approach
• GST implementation
• Malaysian stock market index volatility
• Hilbert Huang algorithm
• Average oscillation cycle
• Hilbert huang transformation
• Stock index volatility based
• Periodic features
• GARCH model
• Student t with fixed DOF 10
• GED with fixed parameter 1 5
• SPA test
• Fixed parameter distributional assumption
• Volatility modeling
• Stock return
• Trading volume
• Stable TGARCH
• Return volatility relationship
• Istanbul stock exchange national
• Efficient market hypothesis
• Prospect theory
• Investor sentiment
• Herd behavior
• Index of Consumer Sentiment
• Behavioral finance
• Large price changes
• Stock price reversals
• Volatility expectations
• Stock returns following large price moves
• VIX index
• Information spillover effect
• Stock market
• Rates of return
• Volatility of return rate