Work detail

Asset Pricing: Theory and Evidence

Author: Bc. Filip Hájek
Year: 2004 - summer
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Work type: Bachelors
Language: English
Pages: 52
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Abstract: Bachelor thesis on the topic Asset Pricing: Theory and Evidence consists of two complementary parts. In the first part, CAPM is introduced and the most important articles of the ongoing academic debate of its validity are followed. Framework of rival model Market-derived Asset Pricing Model (MCPM) based on the information from bond and option markets is also introduced in this chapter and its critique is provided.
Following part is empirical. There are estimations of asset prices of four companies traded on the US stock exchanges employing both models. Firstly beta estimation via ordinary least square method for CAPM is done and subsequently asset prices computed, secondly estimates employing MCPM framework are performed.
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