Work detail

Understanding systematic risk of assets at various quantiles of return distribution 

Author: Bc. Tomáš Rusý
Year: 2016 - winter
Leaders: doc. PhDr. Jozef Baruník Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 53
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/151251/
Abstract: In this thesis, we deal with the application of quantile regression to the Capital Asset Pricing Model,
which is derived in the thesis. We investigate a real dataset to determine if one of many implications -
constant beta at different quantiles of return distribution, of the model is met. For that purpose, we use
Khmaladze test which is perfectly suited for testing if asset's beta varies over return distribution. Before
we run the test we introduce both quantile regression and the Khmaladze test to the reader in simple and
clear notation as we do not expect the reader to be familiar with this regression technique.

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