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CAPM

DN2361 - 3
3



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R
R P.
D t.

R=

D + (P t P t1 )
P t1

.. 10
25 20

10 + (20 25)
R=
= 0, 20
25

...

- .

- .

.


- :

.
:

spread :
= free of risk + spread


. ,


, ,


, , ,
, , .

-
, ,


, , ...


:
.



Pi
- .

-

-

x :
: ,

-
(volaWlity)


..

.

(covariance)

- .
..


.

CAPM (Capital Asset Pricing Model)


:

.
: .

CAPM :
:
:

. :
1.
2.
3.
4.
.
5. beta

a, b, R2

R = a +br

Rm = a + b rs + ut
Rm:
rs :

a, b:
R2 : .

beta

beta
.

a, beta,

FTSE/ATHEX 20

R2

1/3/2007 31/3/2010

beta

FTSE/ATHEX 20

t-Statistic

alpha

Standard
Deviation

t-Statistic

R-squared

0.45
1.98
0.35
-0.65
-0.91
-0.17
-0.47
-0.17
0.33
1.65
0.48
-0.37
0.19
-0.11
-0.06
-1.03
0.33
-1.10
0.00
1.08

71.20%
57.12%
78.07%
47.01%
28.20%
73.17%
37.98%
37.37%
25.21%
90.97%
33.71%
49.90%
60.22%
59.02%
38.21%
44.01%
74.63%
50.13%
63.32%
57.96%

15.73%
11.69%
15.37%
12.94%
15.39%
14.99%
11.56%
12.96%
12.02%
14.15%
8.75%
11.18%
10.39%
13.22%
8.69%
7.96%
16.70%
11.82%
10.82%
21.21%

100.00%

9.45%

(
)

ALPHA
COCA - COLA
EUROBANK EFG
INTRALOT
MARFIN INVESTMENT GROUP
MARFIN POPULAR BANK

1.401
0.934
1.434
0.937
0.861
1.354
0.753
0.836
0.637
1.424
0.538
0.834
0.853
1.072
0.566
0.558
1.522
0.884
0.911
1.704
1

alpha
2.

beta

9.30
6.83
11.16
5.57
3.71
9.77
4.63
4.57
3.43
18.78
4.22
5.90
7.28
7.10
4.65
5.25
10.15
5.93
7.77
6.95

0.007
0.026
0.004
-0.010
-0.020
-0.002
-0.007
-0.003
0.006
0.012
0.006
-0.005
0.002
-0.002
-0.001
-0.010
0.005
-0.016
0.000
0.025
0

t-statistic

--

(sd)
: 2
.

.
- .