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[RBB07] Estimation of Capital Asset Pricing Model at Different time Scales Application to French Stock Market.
Revue Internationale avec comité de lecture : Journal International Journal of Applied Eco, vol. 1(2), pp. 79-87, 2007
motcle:
Résumé:
In this research focus is in the estimation of the Capital Asset Pricing Model (CAPM)at Different time Scales for French's Stock Market.The proposed methods makes possible to quantify the correlation between the return of the stock and its beta at different time Scales Application to French Stock Market.Our sample is composed of twenty six stokes tha were actively traded over 2002-2005. The empricl result show that the relationship between the return of the stock and its beta becomes stronger as the scale increas,but the test of the linearity between the tow variables show there is an important ambiguity.Therefore, the predictions of the CAPM are more relevant at a medium-term horizon in multi-scale framework as compared to short time horisons.
BibTeX
| @article { | |||
| RBB07, | |||
| title | = | "{ Estimation of Capital Asset Pricing Model at Different time Scales Application to French Stock Market.}", | |
| author | = | "N. Rhaiem and S. Benammou and A. Ben Mabrouk", | |
| journal | = | "International Journal of Applied Eco", | |
| year | = | 2007, | |
| volume | = | 1, | |
| number | = | 2, | |
| pages | = | "79-87", | |
| } | |||
