Forecasting with CAPM

Thu Le

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SSRN Electronic Journal

Article . 2016 . Peer-reviewed

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https://dx.doi.org/10.2139/ssr...

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Forecasting with CAPM

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2016 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Thu Le;

doi: 10.2139/ssrn.2856309

Forecasting with CAPM

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Abstract

Capital asset pricing model is a popular formula using to calculate asset prices. This research looks at the sample forecasting of three CAPM constant beta model from 2005 to 2014. This research is going to look at the capabilities of CAPM by using the past varying. Five US sectors, five ASEAN countries and South Africa, for 11 portfolios will also be included in this research. Also the portfolios are also used testing amount of input years that will reduce the mispricing in both developed and developing markets.

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