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The strength and usefulness of CAPM before and after the Global Financial Crisis

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posted on 2020-11-12, 06:24 authored by Ben-Frederick BurgerBen-Frederick Burger

Creation of portfolios based on different industries and market capitalization to determine the accuracy of the CAPM before and after the Global Financial Crisis.

Investigating if different forms of calculating betas for portfolios can increase/decrease the accuracy of the CAPM.

Calculation of betas.

Kolmogorov smirnov test, Normality, T-tests and descriptive statistics.

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Department/Unit

Economic and Management sciences

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Keywords

Investment time return Financial market states Financial crisis CAPM Investment strategies background Banking, Finance and Investment not elsewhere classified

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CC0

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