Evaluation of single and three factor CAPM based on Monte Carlo Simulation
The aim of this master thesis was to examine whether the noticed effect of Black Monday October 1987 on stock market volatility has also influenced the predictive power of the single factor CAPM and the Fama French three factor CAPM, in order to conclude whether the models are less effective after t...
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| Format: | Others |
| Language: | English |
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Högskolan i Skövde, Institutionen för teknik och samhälle
2007
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-104 |