Essays about: "Tzveta Iordanova"

Found 1 essay containing the words Tzveta Iordanova.

  1. 1. Evaluation of single and three factor CAPM based on Monte Carlo Simulation

    University essay from Institutionen för teknik och samhälle

    Author : Tzveta Iordanova; [2007]
    Keywords : Single factor CAPM; Fama French CAPM; OLS regression; Monte Carlo Simulation;

    Abstract : The aim of this master thesis was to examine whether the noticed effect of Black Monday October 1987 on stock market volatility has also influenced the predictive power of the single factor CAPM and the Fama French three factor CAPM, in order to conclude whether the models are less effective after the stock market crash. I have used an OLS regression analysis and a Monte Carlo Simulation technique. READ MORE