Equity Pricing in the Mining Sector: Evidence from NYSE and LSE

被引：0

作者：

Casado-Sanchez, Jose-Luis ^{[1
]}

Gonzalez Garcia, Concepcion ^{[2
]}

Garcia Garcia, Maria Jesus ^{[2
]}

机构：

[1] Univ Politecn Madrid, Madrid 28003, Spain

[2] Univ Politecn Madrid, E-28040 Madrid, Spain

来源：

ICEEM 2012: 2012 2ND INTERNATIONAL CONFERENCE ON ECONOMIC, EDUCATION AND MANAGEMENT, VOL 1 | 2012年

关键词：

CAPM; beta; cost of capital; mining sector; RISK; EQUILIBRIUM; VALUATION; SELECTION; MARKET; MODEL;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The study examines the Capital Asset Pricing Model (CAPM) for the mining sector using weekly stock returns from 27 companies traded on the New York Stock Exchange (NYSE) or on the London Stock Exchange (LSE) for the period of December 2008 to December 2010. The results support the use of the CAPM for the allocation of risk to companies. Most companies involved in precious metals (particularly gold), which have a beta value less than unity (Table 1), have been actuated as shelter values during the financial crisis. Values of R-2 do not shown very explanatory power of fitted models (R-2 <70 %). Estimated coefficients beta are not sufficient to determine the expected returns on securities but the results of the tests conducted on sample data for the period analysed do not appear to clearly reject the CAPM.

引用

页码：321 / +

页数：2

共 16 条

[1] NEW LOOK AT CAPITAL ASSET PRICING MODEL [J].