A study on the change in beta of selected stocks in the commercial-industrial sector of the Philippines from June 1994-July 2000
Date of Publication
2001
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Commerce Major in Management of Financial Institutions
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Abstract/Summary
This paper is about the beta coefficients, the characteristics line, and the security market line derived from secondary data from the Philippine stock exchange.
The study proceeds along the byways of the efficient market hypothesis, with emphasis on the word hypothesis, that is, an untested theory.
The study tended to confirm some relationships portrayed by the capital asset pricing model, specifically the linear relationship between expected return and its regressor, the beta coefficient.
To derive the beta coefficients for each of the 30 firms used in this paper the characteristic line portraying the relationship between asset returns (dependent) and the market returns (independent) was first derived.
The Commercial-Industrial Index was taken as the random proxy variate for the market and so the logarithmic ratio between its present and immediate past (yesterday) values was taken to represent market return.
In addition, excess returns, that is the returns for each firm less the T-bill rates was used as the random proxy variate for asset returns.
It has found both pleasant surprises and shortfalls that brought disappointments to the proponents, which, fortunately, never daunted their grim determination to see through the end of this exercise, against all odds.
Abstract Format
html
Language
English
Format
Accession Number
TU10400
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
40 numb. leaves
Recommended Citation
Gernan, E. B., & Lim, C. G. (2001). A study on the change in beta of selected stocks in the commercial-industrial sector of the Philippines from June 1994-July 2000. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/17096