Le modèle CAPM est-il valable pour les petits investisseurs ?

Étude de cas Comptabilité & finances Finance

Date de publication :

09/11/2008

Langue :

French

Format :

.doc

Nombre de pages :

31 pages

Niveau :

expert

Consulté :

1 fois

Avis client :

non évalué

Validé par :

le comité Oboulo.com

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Sommaire :

Sommaire

Literature review
Research methodology
Fieldwork and data collection
1. Companies present in the first portfolio
2. Companies present in the second portfolio
Results and finding

Résumé :

The capm is one of the most famous theories of finance. It has been developed by William Sharpe in 1964 with the help of others known researchers.
This theory is based on the relationship between risk and return and permits to calculate an expected return of an investment with few variables.
Several tests have been run on the capm in order to validate or invalidate the formulas. Through the years, lots of difference conclusions were found and others factors have been added to the formula in order to be as accurate as possible. But the capm has still arguments for and against itself.
This research has been run for a little investor, who only wants to invest in a small portfolio and for a short period of time. The aim of the study is to see if the capm is relevant for this type of investment.
After the regression has been made to calculate the Beta and the Alpha, compulsory to calculate the expected return with the Single Index Model, applied version of capm, the results were not so far away from the annual return.
This proofs that the capm can be a good tool to evaluate the future return of an investment, but it is necessary to use it with cautions.