Comparative accuracy analysis of the CAPM model and its multifactor extensions in explaining the stock returns – Anton Goncharov
Anton Goncharov
Master's thesis
Comparative accuracy analysis of the CAPM model and its multifactor extensions in explaining the stock returns
Comparative accuracy analysis of the CAPM model and its multifactor extensions in explaining the stock returns
Abstract:
Given that the U.S. economy and its financial market have faced many challenges and obstacles during the time period between 01.01.2018 and 31.12.2021, there was an opportunity for me to test asset pricing models in a recent “stressful” economic environment. Therefore, the following master thesis aims to study, assess and compare the performance of the capital asset pricing model, Fama-French three …moreAbstract:
Given that the U.S. economy and its financial market have faced many challenges and obstacles during the time period between 01.01.2018 and 31.12.2021, there was an opportunity for me to test asset pricing models in a recent “stressful” economic environment. Therefore, the following master thesis aims to study, assess and compare the performance of the capital asset pricing model, Fama-French three …more
Language used: English
Date on which the thesis was submitted / produced: 3. 5. 2022
Identifier:
https://vskp.vse.cz/eid/86129
Thesis defence
- Date of defence: 1. 6. 2022
- Supervisor: Karel Brůna
- Reader: Viktar Dudzich
Citation record
ISO 690-compliant citation record:
GONCHAROV, Anton. \textit{Comparative accuracy analysis of the CAPM model and its multifactor extensions in explaining the stock returns}. Online. Master's thesis. Praha: University of Economics, Prague. 2022. Available from: https://theses.cz/id/z0px0z/.
Full text of thesis
Contents of on-line thesis archive
Published in Theses:- autentizovaným zaměstnancům ze stejné školy/fakulty
Other ways of accessing the text
Institution archiving the thesis and making it accessible: Vysoká škola ekonomická v Prazehttps://vskp.vse.cz/eid/86129
Vysoká škola ekonomická v Praze
Master programme:
Finance and Accounting
Theses on a related topic
-
The role of agriculture in economic performance of the Republic of Benin
Krystel Camellia Olakou Bankole -
Assessment of Policy Changes of the Impacts of Urbanization, Economic Growth and Decentralization of Water Services with Regard to Water Quality in Mexico
René Fernando Lara Cervantes -
The role of the capital market in the economic growth of Rwanda
Ishimwe Sambwe Nicole -
Cashew as an important crop for local Kenyan Farmers: Organisation of the local cashew value chains in the coastal province of Kenya and its influence on the production and productivity of cashew.
JULIANA OMOLOLA Gold -
CAPM v hodnocení výkonnosti podniku
Igor Šebo -
Kritická analýza historického a současného chápání modelu CAPM
Andrea Kollárová -
CAPM: Theoretical formulation, Empirical evidence and Interpretation
Glory Ojone Haruna -
A comparison between CAPM and APT
Bana Musharbash