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Econometric Tests of the CAPM Model for a Portfolio Composed of Companies Listed on Nasdaq and Dow Jones Components

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  • Vintilă Georgeta

    (Department of Finance, Bucharest University of Economic Studies, Romania)

  • Păunescu Radu Alin

    (Doctoral School of Finance, Bucharest University of Economic Studies, Romania)

Abstract

We tested empirically through econometric methods the classic CAPM model for 15 shares listed on the NASDAQ market in United States of America. The results showed that, for the majority of shares, there is a linear relation between expected return and market return. The shares of the largest companies from sample (AAPL, MSFT, GOOGL, etc. INTC) had a subunitary beta and the shares of smaller companies (ADBE, YHOO, BIDU etc.) had a beta greater than one. Compared with Security Market Line (SML) the shares were found to be overestimated and overstated and using GARCH-VECH model we identified the presence of high correlation between shares and the volatility spillover phenomenon.

Suggested Citation

  • Vintilă Georgeta & Păunescu Radu Alin, 2015. "Econometric Tests of the CAPM Model for a Portfolio Composed of Companies Listed on Nasdaq and Dow Jones Components," Scientific Annals of Economics and Business, Sciendo, vol. 62(3), pages 453-480, November.
    • Handle: RePEc:vrs:aicuec:v:62:y:2015:i:3:p:453-480:n:12
    DOI: 10.1515/aicue-2015-0030
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    References listed on IDEAS

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