Nardoni, Francesca (A.A. 2019/2020) Validity of CAPM and APT: an empirical analysis with Fama-MacBeth regression methodology. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 53. [Master's Degree Thesis]

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Abstract/Index

From the mean-variance portfolio theory to the CAPM. The basis of the CAPM: the mean-variance portfolio theory. Sistematic vs idyosincratic risk: CAPM beta. Interpreting the alpha of empirical CAPM. CAPM anomalies and interpretations. From the CAPM to multifactor models and APT. Further criticisms to CAPM. The developments of multifactor models. The arbitrage pricing theory. CAPM vs APT. CAPM empirical analysis. Fama MacBeth two-stage regression: the method. Data selection. CAPM first-pass time series regression. CAPM second-pass cross sectional regression. APT empirical analysis with 4 factors. Data selection. APT first-pass time series regression. APT second-pass cross sectional regression. CAPM vs APT: a comparison of the results of the two models.

References

Bibliografia: pp. 51-52.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair:	Asset pricing
Thesis Supervisor:	Borri, Nicola
Thesis Co-Supervisor:	Porchia, Paolo
Academic Year:	2019/2020
Session:	Extraordinary
Deposited by:	Alessandro Perfetti
Date Deposited:	07 Jul 2021 13:34
Last Modified:	07 Jul 2021 13:34
URI:	https://tesi.luiss.it/id/eprint/30010

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