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##### Financial coursework写作：资本资产定价模型CAPM

（1）确保您选择的公司和部门将获得高市值。
（2）使用整个样本期的数据，对每个选定公司进行时间序列回归，得到恒定和市场超额收益，并验证是否存在显着的β值。
（3）报告每个公司的alpha和R ^ 2的t-static。
We test the CAPM for this coursework; you will use one market index and at least 20 companies’ weekly data and these companies should be from at least two sectors.  Consider two sample periods: (1) Jan 2008 - Dec 2010 and (2) Jan 2011 - Dec  2013 . The required data can be downloaded from Yahoo finance:  http://uk.finance.yahoo.com/
(1) Make sure that your choice of companies and sectors would capture high market capitalisation.
(2) Using data for the entire sample period, run time-series regression on each of the selected companies onto a constant and market excess return and verify whether there exists a significant beta.
(3) Report the t-static for alpha and the R^2 for each company.
(4) Do a cross-sectional regression:
(5) Discuss your results and merits and demerits of CAPM analysis.
(6) Discuss whether your results are sensitive to sector characteristics.
(7) Word limit: 1500
Submission Due: 18th April 2014.
Brief notes:
1. Turnitin will be used to check the originality of all submitted work.
2. Why use simple regression to estimate β? Here dependent variable is stock return of individual firms (yi)  and independent variable is market return (xi).

Introduction
In this paper to solve the problem is the single factor capital asset pricing model (CAPM), investors are considering forming their own return expectations for risk factors associated with investing in individual stocks. They would determine the appropriate risk factors as a very important investment decision related to the stock price in the stock market formation. Therefore, the aim of this study was to investigate the theoretical and empirical validity to develop and test the capital asset pricing model.It can address and resolve the empirical shortcomings of single factor with Capital Asset Pricing Model. In order to verify the standard capital asset pricing model and the empirical validity of multi-factor model, five hypotheses were developed for testing.
Therefore, this paper introduces the error term in order to compensate for the model assumes that the rest of the state model has been caused by force factors to establish a linear regression model.Then it can make squares linear regression model simulation by time series .

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