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THE USE AND THE RELIABILITY OF THE CAPITAL ASSET PRICING MODEL AS A MEANS OF SHARE VALUATION

eBook (PDF), 50 Pages
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The Capital Asset Pricing Model ( is a multidimensional model which can be used in the pricing procedure of many risky assets. One of these dimensions where we try to approach is the share valuation process. Our starting point is the risk-adjusted rate of return valuation formula where after careful transformations we obtain three testable regression equations. The first one is a regression equation of the form "P actual on P predicted". The evidence do not support the CAPM in most cases. The second one is a regression equation of the form "next period's cash payoff on today's price and on today's price adjusted for a risk factor, that is, beta". This specification suffers by multicollinearity and the log-transformation is necessary. The newly specified model do not suffer by multicollinearity and gives results half in favour of the CAPM and half against it.
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Product Details

Edition
1
Publisher
IOANNIS CHADOLIAS
Published
October 1, 2011
Language
Greek, Modern (1453-)
Pages
50
File Format
PDF
File Size
1001.47 KB

Formats for this Ebook

PDF
Required Software Any PDF Reader, Apple Preview
Supported Devices Windows PC/PocketPC, Mac OS, Linux OS, Apple iPhone/iPod Touch... (See More)
# of Devices Unlimited
Flowing Text / Pages Pages
Printable? Yes
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