Rolling regression technique and cross-sectional regression: A tool to analyze Capital Asset Pricing Model

The Capital Asset Pricing Model (henceforth, CAPM) is considered an extensively used technique to approximate asset pricing in the field of finance. The CAPM holds the power to explicate stock movements by means of its sole factor that is beta co-efficient. This study focuses on the application of r...

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Autores principales:	Soumya Shetty, Janet Jyothi Dsouza, Iqbal Thonse Hawaldar
Formato:	article
Lenguaje:	EN
Publicado:	LLC "CPC "Business Perspectives" 2021
Materias:	asset pricing finance investments portfolio choice rolling regression Finance HG1-9999
Acceso en línea:	https://doaj.org/article/01a67559f2674f159e8e1c69711f99de
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spelling	oai:doaj.org-article:01a67559f2674f159e8e1c69711f99de2021-11-25T12:44:44ZRolling regression technique and cross-sectional regression: A tool to analyze Capital Asset Pricing Model10.21511/imfi.18(4).2021.211810-49671812-9358https://doaj.org/article/01a67559f2674f159e8e1c69711f99de2021-11-01T00:00:00Zhttps://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/15854/IMFI_2021_04_Shetty.pdfhttps://doaj.org/toc/1810-4967https://doaj.org/toc/1812-9358The Capital Asset Pricing Model (henceforth, CAPM) is considered an extensively used technique to approximate asset pricing in the field of finance. The CAPM holds the power to explicate stock movements by means of its sole factor that is beta co-efficient. This study focuses on the application of rolling regression and cross-sectional regression techniques on Indian BSE 30 stocks. The study examines the risk-return analysis by using this modern technique. The applicability of these techniques is being viewed in changing business environments. These techniques help to find the effect of selected variables on average stock returns. A rolling regression study rolls the data for changing the windows for every 3-month period for three years. The study modifies the model with and without intercept values. This has been applied to the monthly prices of 30 BSE stocks. The study period is from January 2009 to December 2018. The study revealed that beta is a good predictor for analyzing stock returns, but not the intercept values in the developed model. On the other hand, applying cross-section regression accepts the null hypothesis. α, β, β2 ≠ 0. Therefore, a researcher is faced with the task of finding limitations of each methodology and bringing the best output in the model.Soumya ShettyJanet Jyothi DsouzaIqbal Thonse Hawaldar LLC "CPC "Business Perspectives"articleasset pricingfinanceinvestmentsportfolio choicerolling regressionFinanceHG1-9999ENInvestment Management & Financial Innovations , Vol 18, Iss 4, Pp 241-251 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	asset pricing finance investments portfolio choice rolling regression Finance HG1-9999
spellingShingle	asset pricing finance investments portfolio choice rolling regression Finance HG1-9999 Soumya Shetty Janet Jyothi Dsouza Iqbal Thonse Hawaldar Rolling regression technique and cross-sectional regression: A tool to analyze Capital Asset Pricing Model
description	The Capital Asset Pricing Model (henceforth, CAPM) is considered an extensively used technique to approximate asset pricing in the field of finance. The CAPM holds the power to explicate stock movements by means of its sole factor that is beta co-efficient. This study focuses on the application of rolling regression and cross-sectional regression techniques on Indian BSE 30 stocks. The study examines the risk-return analysis by using this modern technique. The applicability of these techniques is being viewed in changing business environments. These techniques help to find the effect of selected variables on average stock returns. A rolling regression study rolls the data for changing the windows for every 3-month period for three years. The study modifies the model with and without intercept values. This has been applied to the monthly prices of 30 BSE stocks. The study period is from January 2009 to December 2018. The study revealed that beta is a good predictor for analyzing stock returns, but not the intercept values in the developed model. On the other hand, applying cross-section regression accepts the null hypothesis. α, β, β2 ≠ 0. Therefore, a researcher is faced with the task of finding limitations of each methodology and bringing the best output in the model.
format	article
author	Soumya Shetty Janet Jyothi Dsouza Iqbal Thonse Hawaldar
author_facet	Soumya Shetty Janet Jyothi Dsouza Iqbal Thonse Hawaldar
author_sort	Soumya Shetty
title	Rolling regression technique and cross-sectional regression: A tool to analyze Capital Asset Pricing Model
title_short	Rolling regression technique and cross-sectional regression: A tool to analyze Capital Asset Pricing Model
title_full	Rolling regression technique and cross-sectional regression: A tool to analyze Capital Asset Pricing Model
title_fullStr	Rolling regression technique and cross-sectional regression: A tool to analyze Capital Asset Pricing Model
title_full_unstemmed	Rolling regression technique and cross-sectional regression: A tool to analyze Capital Asset Pricing Model
title_sort	rolling regression technique and cross-sectional regression: a tool to analyze capital asset pricing model
publisher	LLC "CPC "Business Perspectives"
publishDate	2021
url	https://doaj.org/article/01a67559f2674f159e8e1c69711f99de
work_keys_str_mv	AT soumyashetty rollingregressiontechniqueandcrosssectionalregressionatooltoanalyzecapitalassetpricingmodel AT janetjyothidsouza rollingregressiontechniqueandcrosssectionalregressionatooltoanalyzecapitalassetpricingmodel AT iqbalthonsehawaldar rollingregressiontechniqueandcrosssectionalregressionatooltoanalyzecapitalassetpricingmodel
_version_	1718413477369872384

Rolling regression technique and cross-sectional regression: A tool to analyze Capital Asset Pricing Model

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