An empirical study on asset pricing models for the Italian stock market: a capital asset pricing model and fama French three factor model comparison
Pugnotti, Enrico (A.A. 2020/2021) An empirical study on asset pricing models for the Italian stock market: a capital asset pricing model and fama French three factor model comparison. Tesi di Laurea in International financial economics, Luiss Guido Carli, relatore Ugo Zannini, pp. 72. [Master's Degree Thesis]
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Abstract/Index
Theoretical framework. Stock risk-return. Portfolio return-variance. Modern portfolio theory. CAPM. CAPM criticism and empirical testing. Fama & French three factor model. Literature review. International asset pricing literature overview. Studies conducted on the Italian stock market. The contribution of this thesis. Empirical studies. Data. Findings and interpretations. Regression analysis results. Testing models and predictive power comparison.
References
Bibliografia: pp. 53-55.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | International financial economics |
| Thesis Supervisor: | Zannini, Ugo |
| Thesis Co-Supervisor: | Marzioni, Stefano |
| Academic Year: | 2020/2021 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 10 May 2022 13:51 |
| Last Modified: | 10 May 2022 13:51 |
| URI: | https://tesi.luiss.it/id/eprint/32224 |
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