Not logged in.
Quick Search - Contribution
Contribution Details
Type | Bachelor's Thesis |
Scope | Discipline-based scholarship |
Title | CAPM vs. Multifactor Models: Evidence from Switzerland |
Organization Unit | |
Authors |
|
Supervisors |
|
Institution | University of Zurich |
Faculty | Faculty of Economics, Business Administration and Information Technology |
Number of Pages | 24 |
Date | 2013 |
Abstract Text | The main purpose of this thesis is to investigate the explanatory power of three popular asset pricing models â the CAPM, the Fama/French three-factor model and the Carhart four-factor model â by using time-series regressions of excess returns on nine stock portfolios sorted by size and book-to-market ratio over the period between January 2004 and December 2011 for the Swiss Stock Market. According to a cost-benefit analysis on the convenience of switching from a simpler model to a more complex one, it turns out that the Fama/French three-factor model is the best compromise. On average, it can explain 78% of variations in Swiss stock returns, namely about 15 percentage points higher than the CAPM and about only 1 percentage point lower then the Carhart four-factor model |
Export | BibTeX |