Empirical test to single and multifactor model of CAPM in the portuguese stock exchange

• Author(s): Ferreira, José Clemente ; Monte, Ana Paula
• Date: 2015
• Persistent ID: http://hdl.handle.net/10198/16962
• Origin: Biblioteca Digital do IPB
• Subject(s): CAPM; Market risk; Multifactor model
• Document Type: Conference object
• Language: English
• Contributor(s): Biblioteca Digital do IPB

Description

The objective of this paper is to test if the single-factor CAPM model is valid in the Portuguese stock exchange, when compared with the multifactor CAPM proposed by Fama and French-Carhart. Using the methodology of Fama and French (1993; 1996), for a period of 10 years through analysis of 10 active stocks from different sectors, using the risk factors developed by French (2014). The results suggest that, for the period under analysis the multifactor CAPM applied the Lisbon stock exchange is not statistically sufficient to reject the single-factor CAPM. The results suggest that the risk market factor is influential and important part in explaining the expected average return in the Eurozone.