EMPIRICAL TEST OF THE CAPM USING LINEAR REGRESSION
EMPIRICAL TEST OF THE CAPM USING LINEAR REGRESSION

Author(s): Petr Červinek, Jana Hvozdenská
Subject(s): Evaluation research, Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: CAPM; linear regression; analysis of variance;
Summary/Abstract: This paper summarizes the results of series of empirical tests of the Capital Asset Pricing Model (CAPM). The empirical tests were performed for the shares traded in the system SPAD of the Prague Stock Exchange. CAPM is the equilibrium model of the single-index model. Therefore we use test of linear regression for single-index model. The results indicate that the CAPM is not appropriate for modelling the return on the considered shares in the considered time interval.

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