Publicação
Empirical test to single and multifactor model of CAPM in the portuguese stock exchange
| dc.contributor.author | Ferreira, José Clemente | |
| dc.contributor.author | Monte, Ana Paula | |
| dc.date.accessioned | 2018-04-10T15:24:04Z | |
| dc.date.available | 2018-04-10T15:24:04Z | |
| dc.date.issued | 2015 | |
| dc.description.abstract | The objective of this paper is to test if the single-factor CAPM model is valid in the Portuguese stock exchange, when compared with the multifactor CAPM proposed by Fama and French-Carhart. Using the methodology of Fama and French (1993; 1996), for a period of 10 years through analysis of 10 active stocks from different sectors, using the risk factors developed by French (2014). The results suggest that, for the period under analysis the multifactor CAPM applied the Lisbon stock exchange is not statistically sufficient to reject the single-factor CAPM. The results suggest that the risk market factor is influential and important part in explaining the expected average return in the Eurozone. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Ferreira, José Clemente; Monte, Ana Paula (2015). Empirical test to single and multifactor model of CAPM in the portuguese stock exchange. In XIX Congreso Internacional de Investigación en Ciencias Administrativas, Gestión de Las Organizaciones Rumbo al 3er Milenio: De la Regionalización a la Globalización, Universidad Juárez del Estado de Durango (UJED). Durango (México). ISBN 978-607-503-167-5 | pt_PT |
| dc.identifier.isbn | 978-607-503-167-5 | |
| dc.identifier.uri | http://hdl.handle.net/10198/16962 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | Universidad Juarez del Estado de Durango | pt_PT |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | pt_PT |
| dc.subject | CAPM | pt_PT |
| dc.subject | Market risk | pt_PT |
| dc.subject | Multifactor model | pt_PT |
| dc.title | Empirical test to single and multifactor model of CAPM in the portuguese stock exchange | pt_PT |
| dc.type | conference paper | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | Universidad Juárez del Estado de Durango (UJED), Durango (México) | pt_PT |
| oaire.citation.title | XIX Congreso Internacional de Investigación en Ciencias Administrativas, Gestión de Las Organizaciones Rumbo al 3er Milenio: De la Regionalización a la Globalización, | pt_PT |
| person.familyName | Monte | |
| person.givenName | Ana Paula | |
| person.identifier.ciencia-id | 531F-8D14-F89E | |
| person.identifier.orcid | 0000-0001-9936-0142 | |
| person.identifier.rid | F-7469-2012 | |
| person.identifier.scopus-author-id | 57202852398 | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | conferenceObject | pt_PT |
| relation.isAuthorOfPublication | 1ac2a8f5-4d37-4913-bd74-e6a0a7206521 | |
| relation.isAuthorOfPublication.latestForDiscovery | 1ac2a8f5-4d37-4913-bd74-e6a0a7206521 |