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Examination of Index Model and Prediction of Beta –A Case Study Examination in IT Sector

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  • B Rajesh Kumar
  • Manuel Fernandez

Abstract

This study examines the determinants of stock returns of IT companies based on index model. The study examines the index model using the case analysis of stock returns of three IT Companies-Apple, Google and Microsoft. The analysis was done using the latest five-year monthly data. The study reveals that market index returns is a powerful determinant of stock returns. In terms of sensitivity as measured by beta values, Apple was most sensitive to fluctuations in market returns followed by Google and Microsoft stock returns. The study also examines the predictive ability of current beta using five-year data series of 15 IT companies. The results were statistically insignificant.Â

Suggested Citation

  • B Rajesh Kumar & Manuel Fernandez, 2019. "Examination of Index Model and Prediction of Beta –A Case Study Examination in IT Sector," Accounting and Finance Research, Sciedu Press, vol. 8(2), pages 226-226, May.
    • Handle: RePEc:jfr:afr111:v:8:y:2019:i:2:p:226
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    References listed on IDEAS

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    1. Francis Boabang, 1996. "An Adjustment Procedure for Predicting Betas When Thin Trading is Present: Canadian Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 23(9-10), pages 1333-1356, December.
    2. Zi-Yi Guo, 2017. "Heavy-tailed Distributions and Risk Management of Equity Market Tail Events," Journal of Risk & Control, Risk Market Journals, vol. 4(1), pages 31-41.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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