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An empirical evaluation of CAPM’s validity in the British stock exchange

Loukeris Nikolaos, Matsatsinis Nikolaos

Πλήρης Εγγραφή

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Περίληψη

The CAPM under the means of the two step regression procedure indicated that the cross section of average excess security return is positively related to beta. Under a frame of Computational Econometrics the two step regression procedure is implemented into CAPM, concluding that the strict CAPM test rejects the second H0 hypothesis on the market risk premium, hence the slope of the Security Market Line (SML) is different from the slope of SML indicated by CAPM. Consequently the CAPM has not a statistical significance in Portfolio Selection.

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