Resource type
Thesis type
(Thesis) M.Sc.
Date created
2006
Authors/Contributors
Author: Bavarian, Maryam
Abstract
In this project, I test the the mean-variance Capital Asset Pricing Model (CAPM) and the Fama-French Three-Factor Model. I employ two datasets which consist of 25 portfolios formed on size and the book equity to market equity ratio and 11 portfolios formed on dividend yield. I also divide the whole period into two to consider the sub-period effects. I employ the cross-sectional tests as well as the multivariate time-series tests for both of the models. The results do not unambiguously show that one model fits better than the other. Moreover, the two sub-period results are inconsistent with each other and with the results from the whole period.
Document
Copyright statement
Copyright is held by the author.
Scholarly level
Language
English
Member of collection
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