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Zero impact or zero reliability?: An empirical test of Capital Asset Pricing Model during periods ofzero risk-free rate
Umeå University, Faculty of Social Sciences, Umeå School of Business.
Umeå University, Faculty of Social Sciences, Umeå School of Business.
2009 (English)Independent thesis Advanced level (degree of Master (Two Years)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

1.3. Research Questions.

With this in mind, the research questions of this work are:

1. Is the Capital Asset Pricing Model still applicable despite the heavy impact of the financial crisis on the financial systems?

2. What happens to this model when the risk free rate approaches zero?

3. Is there a relationship between the riskiness of an asset and the risk-free interestrate when the latter is approaching the zero level?

Place, publisher, year, edition, pages
2009. , 118 p.
Keyword [en]
Capital Asset Pricing Model, Risk-free interest rate, Portfolio Theory, Empirical Test on CAPM, Arbitrage Pricing Theory, Stock’s prices
National Category
Business Administration
Identifiers
URN: urn:nbn:se:umu:diva-25631OAI: oai:DiVA.org:umu-25631DiVA: diva2:232720
Presentation
(English)
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2009-08-25 Created: 2009-08-25 Last updated: 2009-08-25Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf