Macelloni, Federica (A.A. 2021/2022) CAPM: should we cease using it? A test on the performance of the capital asset pricing model and the fama-French three factor model through an empirical analysis on the S&P 500 index between 2014-2019 and 2016-2021. Tesi di Laurea in Advanced corporate finance, Luiss Guido Carli, relatore Pierluigi Murro, pp. 109. [Master's Degree Thesis]

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Abstract/Index

Capital asset pricing model: basis and evolution. Capital asset pricing model: genesis and theories. Model variables. Empirical test on CAPM validity. Evolutions. Fama and French three factor model. Limitations and contradictions within the CAPM. Alternative theories to the CAPM. Fama and French three-factor model development: multifactor explanations of asset pricing anomalies. Main variables. Results and main evidences. Model validity and empirical evidences. CAPM versus three-factor model. Model comparison: applicative case. Methodology. Research questions. Method. Limitations of the analysis. Overview on the American stock market between 2014-2019 and 2016-2021. Empirical analysis on the S&P 500 index.

References

Bibliografia: pp. 107-109.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree Program in Management, English language (LM-77)
Chair:	Advanced corporate finance
Thesis Supervisor:	Murro, Pierluigi
Thesis Co-Supervisor:	Santella, Rosella
Academic Year:	2021/2022
Session:	Autumn
Deposited by:	Alessandro Perfetti
Date Deposited:	27 Feb 2023 14:23
Last Modified:	27 Feb 2023 14:23
URI:	https://tesi.luiss.it/id/eprint/35246

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