A comparison between CAPM and APT

Ing. Bana Musharbash

Master's thesis

Abstract:

This work is dedicated to the study of the Capital Asset Pricing Model and the Arbitrage Pricing Theory model. The first part is the theoretical one; which describes the theoretical background of each model and illustrates their mathematical derivations, then previous empirical tests performed on the models as well as some of their alternative versions are discussed. The practical part describes the time-series regression analyses carried out for each model, the results of which are analyzed and a comparison between the CAPM and the APT model is made.

Keywords

CAPM, APT, empirical test, time-series, regression analysis, beta coefficient, security market line, risk factors, factor loading.

Jazyk práce: English

Datum vytvoření / odevzdání či podání práce: 13. 5. 2016

Obhajoba závěrečné práce

• Obhajoba proběhla 20. 6. 2016
• Vedúci: Ing. Dagmar Linnertová, Ph.D.
• Oponent: Ing. Bc. Jana Hvozdenská

Masaryk University

Faculty of Economics and Administration

Master programme / odbor:
Finance and Accounting / Finance (eng.)