This article describes the Capital Asset Pricing Model from both theoretical and an empirical points of view. The sample is composed of 60 stock listed on the Italian Stock Exchange, its behaviour has been examined between 1993 and 2002 using the regression analysis. The beta, alfa and R-square valuation, allow us to weigh up Jensen's Alpha for a single stock and for six portfolios. Finally we show the difference between the CAPM and Market Model
CAPM E PERFORMANCE DEI TITOLI. UN'ANALISI EMPIRICA SUL MERCATO AZIONARIO ITALIANO
ROSSI F
2004-01-01
Abstract
This article describes the Capital Asset Pricing Model from both theoretical and an empirical points of view. The sample is composed of 60 stock listed on the Italian Stock Exchange, its behaviour has been examined between 1993 and 2002 using the regression analysis. The beta, alfa and R-square valuation, allow us to weigh up Jensen's Alpha for a single stock and for six portfolios. Finally we show the difference between the CAPM and Market ModelFile in questo prodotto:
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