Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Economics
Using Ordinary Least Squares Regression And Quantile Regression To Test The Capital Asset Pricing Model And The Fama And French Model In The Australian Equity Market, Yixaun Rui
Theses : Honours
Many studies have tested the CAPM and the Fama and French model in the Australian security market using the Ordinary Least Squares (OLS) method. However, this regression method just focuses on the relationship between means in the dataset, and equity market usually has some extreme situations in the tails. In this study, quantile regression will be used as well as OLS to provide a more comprehensive picture. This research will also compare the domestic and overseas indices in testing the CAPM and the Fama and French model. A twenty-year data sample composed of the 50 largest companies' equity returns will …