Capm Empirical Test: Non Linear Approach To The Spanish Stocke Exchange Market
AbstractThe CAPM has had a fundamental role in the price formation process. However, its empirical results at the moment of valuing assets have not been completely satisfactory due to, among other questions, the different investor’s behavior to up or down market movements or extreme market movements. This paper analyzes if this investor’s behavior has effects on the equilibrium CAPM valuation. Using a threshold regression model, the empirical evidence for the Spanish stock exchange market supported that asset prices are sensitive to both up and down market movements and extreme market movements. Additionally, our evidence also indicated no stability as a structural change was found in the equilibrium relationship in the onset of the global financial crisis.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by University of Santiago de Compostela. Faculty of Economics and Business. in its journal Revista Galega de Economía.
Volume (Year): 22 (2013)
Issue (Month): 2 ()
CAPM / IBEX-35 / Nonlinearity / Structural change;
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ana Iglesias Casal).
If references are entirely missing, you can add them using this form.