Capital Asset Pricing Model (CAPM). A Case Study

Seminar Paper , 2015 , 14 Pages , Grade: 1,00

Business economics - Investment and Finance

The purpose of this paper is to do empirical research on the capital asset pricing model. The bases of our research are the returns of three stocks, the S&P 500 index which represents the market and the LIBOR as a proxy for the risk-free interest rate. The three companies that were chosen in this paper were Kellogg Company, KB Financial Group Inc. and Kate Spade & Company and all of them in combination represent our fictive market.

Inhaltsverzeichnis

1. Introduction

2.a Basic figures of the firms
2.b Statistical moments of stock market returns
2.c The minimum variance portfolio
2.d The tangential portfolio

3. Turn-of-the-month anomaly

4. References

• College: University of Innsbruck (Department of Banking and Finance)
• Course: Proseminar: Financial Management
• Grade: 1,00
• Authors: Alexander Moßhammer (Author), Elias Danzl (Author), Kilian Altenberger (Author)
• Publication Year: 2015
• Pages: 14
• Catalog Number: V288267
• ISBN (eBook): 9783656887874
• ISBN (Book): 9783656887881
• Language: English
• Tags: Capital Asset Pricing Model, CAPM, Alexander Moßhammer, Kilian Altenberger, Elias Danzl