Capm Estimates Through Regression - Syed Jawad Hussain Shahzad - Books - LAP LAMBERT Academic Publishing - 9783848424610 - February 20, 2014
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Syed Jawad Hussain Shahzad
Capm Estimates Through Regression

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This book analyzes the sensitivity of Capital Asset Pricing Model (CAPM) estimates to selected data frequency and time frame using Ordinary Least Square Methodology (OLS). Analysis reveal that CAPM estimates are impacted by the these variables. Daily data as apposed to recommended monthly frequency and 1.5 year time period provide the best estimates. However, the predicting power of the model can be regarded poor as it explain only 8% variation in returns.

Media Books     Paperback Book   (Book with soft cover and glued back)
Released February 20, 2014
ISBN13 9783848424610
Publishers LAP LAMBERT Academic Publishing
Pages 104
Dimensions 150 × 6 × 225 mm   ·   173 g
Language German  

See all of Syed Jawad Hussain Shahzad ( e.g. Paperback Book )