 Testing the CAPM: Evidences from Italian Equity MarketsMPRA Paper from University Library of Munich, Germany Abstract: The aim of the following work is to exploit principal econometric tecniques to test the Capital Asset Pricing Model theory in Italian equity markets. CAPM is a financial model which describes expected returns of any assets (or asset portfolio) as a function of the expected return on the market portfolio. In this paper I will first explain the meaning of the market risk and I will measure it via the estimation of beta coeffcients, which are seen as a measure of assets sensitivity to market portfolio fluctuations. The theoretical framework is based on the Sharpe (1964) and Lintner (1965) version of the CAPM and on the Pettengill's hypothesis (1995) over the relationship between betas and returns. Secondly, I will test the presence of specific effects which usually occur in financial markets; in particular, I will check the presence of the well-known January effect and detect the existence of structural breaks over the considered period of time. Keywords: CAPM; Structural breaks; January effect (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:10407 Access Statistics for this paper More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC. |
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