Publication
Empirical test to single and multifactor model of CAPM in the EURONEXT Lisbon (the portuguese stock exchange)
| dc.contributor.author | Ferreira, José Clemente | |
| dc.contributor.author | Monte, Ana Paula | |
| dc.date.accessioned | 2018-04-10T13:05:42Z | |
| dc.date.available | 2018-04-10T13:05:42Z | |
| dc.date.issued | 2015 | |
| dc.description.abstract | The objective of this paper was to test if the single-factor CAPM model is valid in the Portuguese stock exchange, when compared with the CAPM multifactorial proposed by Fama and French-Carhart. It used the Fama and French (1993; 1996) methodology, for a period of 14 years for a sample of 18 stocks from different sectors, using the risk factors developed by French (2015). The results suggest that, for the period under analysis, the CAPM multifactorial applied in the Lisbon stock exchange is not statistically enough to reject the single-factor CAPM. The results suggest that the risk market factor seems to be influential and important in explaining the expected average return in the Lisbon stock exchange. | 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 EURONEXT Lisbon (the portuguese stock exchange). In l XVIII Congreso AECA: "Innovación e Internacionalización: factores de éxito para la Pyme". Cartagena (España). ISBN 978-84-16286-14-0 | pt_PT |
| dc.identifier.isbn | 978-84-16286-14-0 | |
| dc.identifier.uri | http://hdl.handle.net/10198/16923 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | 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 | Multifactorial model | pt_PT |
| dc.subject | Single factor model | pt_PT |
| dc.subject | PSI Geral | pt_PT |
| dc.subject | Euronext Lisbon | pt_PT |
| dc.title | Empirical test to single and multifactor model of CAPM in the EURONEXT Lisbon (the portuguese stock exchange) | pt_PT |
| dc.type | conference paper | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | Cartagena (España) | pt_PT |
| oaire.citation.title | XVIII Congreso AECA: "Innovación e Internacionalización: factores de éxito para la Pyme" | 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 |
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