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Conference publications

Use of Capital Asset Pricing Model (CAPM) for Expected Return Forecasting on Example of Telecommunication Companies’ Stocks

Bessonova O. S.

"Математика. Компьютер. Образование". Cб. трудов XV международной конференции. Под общей редакцией Г.Ю. Ризниченко Ижевск: Научно-издательский центр "Регулярная и хаотическая динамика", 2008. Vol. 1, 302pp. Pp. 243-248. (accepted)

Highly developed markets can be described by a model taking into account relationship between risk and expected return. Such model has been worked out by W. Sharpe and J. Lintner in the middle of 1960-s, and it was called Capital Asset Pricing Model (CAPM). The article is to solve some problems which may appear in attempt to use it in conditions of Russian financial market. Article describes calculation of such model parameters as: risk-free rate (by using imitation model) and market rate. Criterion for assets that can be investigated by means of suggested model is given. Equilibrium yield forecast is made for stocks of Russian telecommunication companies. It can be used to search for underrated and overrated assets and as a recommendation for potential investor



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