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2002 | nr 952 Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek | 89--95
Tytuł artykułu

Weryfikacja modelu CAMP dla giełdy warszawskiej

Warianty tytułu
Języki publikacji
PL
Abstrakty
Przedstawiono badania mające na celu zweryfikowanie modelu CAPM dla giełdy warszawskiej.
Bibliografia
  • Black F., Jensen M.F., Scholes M. (1972): The Capital Asset Pricing Model: Some Empirical Tests. [w:] Jensen M.C. (red.): Studies in the Theory of Capital Markets. Praeger, New York.
  • Blume M. (1975): Betas and Their Regression Tendencies. "Journal of Finance" 10, s. 785-795.
  • Boh T.W., Miłobędzki P. (1994): Empiryczna analiza procesów zachodzących na Warszawskiej Giełdzie Papierów Wartościowych w latach 1991-1993. Materiały Studialne nr 2, Gdańska Akademia Bankowa przy IBNGR, Gdańsk.
  • Brennan M.J. (1992): Capital Asset Pricing Model. [w:] Newman P., Miltgate M., Eatwell J. (red.): The New Palgrave Dictionary of Money & Finance. Mac-Millan, New York, t. 1, s. 287-291.
  • Chan K.C., Chen N.F. (1988): An Unconditional Asset Pricing Test and the Role of the firm Size as an Instrumental Variable for Risk. "Journal of Finance" 43, s. 309-325.
  • Copeland T.E., Weston F.J. (1979): Financial Theory and Corporate Policy. Addison Wesley, Reading.
  • Elton E.J., Gruber M.J. (1991): Modern Portfolio Theory and Investment Analysis. John Wiley, New York.
  • Fama E. (1973): Risk, Return, and Equilibrium. "Journal of Political Economy" 28, s. 30-55.
  • Fama E., MacBeth J. (1973): Risk, Return and Equilibrium: Empirical Tests. "Journal of Political Economy" 71, s. 607-636.
  • Gibbons M.R. (1982): Multivariate Tests of Financial Models: A New Approach. "Journal of Financial Economics" 10, s. 2-28.
  • Gibbons M., Ross S.A., Shanken J.(1985): Testing Portfolio Efficiency with a Riskless Asset. Working Paper.
  • Gibbons M., Ross S.A., Shanken J. (1989): A Test of the Efficiency of a Given Portfolio. "Econometrica" 57, s. 1121-1152.
  • Hanada P., Kothari S.P., Wasley C. (1993): Sensivity of Multivariate Tests of the Capital Asset Pricing Model to the Return Measurement Interval. "Journal of Finance" 48, s. 1543-1551.
  • Hansen L.P. (1982): Large Sample Properties of Generalized Method of Moments Estimators. "Econometrica" 50, s. 1029-1054.
  • Kandel S. (1986): The Geometry of the Maximum Likelihood Estimator of the Zero-Beta Return. "Journal of Finance" 41, s. 339-346.
  • Lehmann B.N. (1990): Residual Risk Revisted. "Journal of Econometrics" 45, s. 71-97.
  • Lintner J. (1965): The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolio and Capital Budgets. "Review of Economics and Statistics" 47, s. 13-37.
  • Litzenberger R., Ramaswamy K. (1979): The Effect of Personal Taxes an Dividends on Capital Assets Prices. "Journal of Financial Economics" 7, s. 163-195.
  • MacKinlay A.C. (1987): On Multivariate Tests of the CAPM. .Journal of Financial Economics" 18, s. 341-372.
  • Miller M.H., Scholes M. (1972): Rates of Return in Relation to Risk: A Reexamination of Some Recent Findings. [w:] Jensen M.C. (red.): Studies in the Theory of Capital Markets. Praeger, New York.
  • Roll R.W. (1980): A Critique of the Asset Pricing Theory's Tests; Part I: On Past and Potential Testability of the Theory. "Journal of Financial Economics" 4, s. 129-176.
  • Ross S.A. (1977): The Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues. "Journal of Finance" 32, s. 177-183.
  • Ross S.A. (1992): Finance. [w:] Newman P., Miltgate M., Eatwell J. (red.): The New Palgrave Dictionary of Money & Finance. MacMillan, New York, t. 2, s. 26-41.
  • Shanken J. (1982): The Arbitrage Pricing Theory; Is it Testable? "Journal of Finance" 37, s. 1129-1140.
  • Shanken J. (1983): An Asymptotic Analysis of the Traditional Risk Return Model. School of Business and Administration, University of California, Berkeley.
  • Shanken J. (1985): Multivariate Tests of the Zero-Beta CAPM. "Journal of Financial Economics" 14, s. 327-348.
  • Shanken J. (1986): Testing Portfolio Efficiency when Zero-Beta Rate is Unknown. "Journal of Finance" 41, s. 269-276.
  • Sharpe W.F. (1963): A Simplified Model for Portfolio Analysis. "Management Science" (styczeń), s. 277-293.
  • Sharpe W.F. (1964): Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. "Journal of Finance", s. 425-442.
  • Sharpe W.F. (1971): Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios. "Management Science" 18, s. B1-B13.
  • Sibert A. (1992): Risk Premium. [w:] Newman P., Miltgate M., Eatwell J. (red.): The New Palgrave Dictionary of Money & Finance. MacMillan, New York 1992, t. 3, s. 373-376.
  • Stambaugh R.F. (1982): On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensivity Analysis. "Journal of Financial Economics" 10, s. 237-268.
  • Vasicek O. (1973): A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas. "Journal of Finance" 8, s. 1233-1239.
  • Velu R., Zhou G. (1999): Testing Multi-Beta Pricing Models. "Journal of Empirical Finance" 6, s. 219-241.
  • Zhou G. (1994): Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums. "Review of Financial Studies" 7, s. 687-709.
Typ dokumentu
Bibliografia
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Identyfikator YADDA
bwmeta1.element.ekon-element-000171385549

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