1 / 12

CAPM Model and Beta

CAPM Model and Beta. By Hao Sun. Data. Financial and Food Stocks from S&P100 Index Include: BAC, BK, GS, JPM, MS, NYX, WFC, HNZ, KO, KFT, PEP Also used S&P100 Futures as the market index for CAPM model. Model. , where . , where , CAPM: , where . So,. Method.

daktari
Télécharger la présentation

CAPM Model and Beta

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. CAPM Model and Beta By Hao Sun

  2. Data • Financial and Food Stocks from S&P100 Index • Include: BAC, BK, GS, JPM, MS, NYX, WFC, HNZ, KO, KFT, PEP • Also used S&P100 Futures as the market index for CAPM model

  3. Model • , where . • , where , • CAPM: , where . • So, .

  4. Method • We construct a portfolio with equal weight of and , where is the return on stock i, and is the return on S&P100 Index.

  5. Similarly, • We have: • Since Bi-power measure is jump-robust, we can find the contribution of jump by subtracting from .

  6. Numerical Results

  7. Calculations vs. Regression

  8. JPM 3-mth Moving Avg. R-Beta

  9. Food&Beverages

  10. Conclusion • Jump Contributions are not significant to beta. • In other words, market systematic risks are not affected jumps in prices of individual stocks. • So CAPM model will not be affected by outliers in returns as some papers claim (Martin, Simin, 2003) • During periods of financial stress, Financial firms tend to have a beta above 1. • On the contrary, the beta of Food&Beverage Providers remain low during financial stress. (Some even decrease) • In general, financial firms have higher beta.

More Related