Capm Estimates Through Regression

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.

Autorentext

Manager Finance: Solution of Business & Technology (Pvt) LtdIslamabad Pakistan, Research Associate: COMSATS Institute of Information Technology, Islamabad Pakistan, MS(Finance):CIIT, Islamabad Pakistan