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The International Journal of Applied Economics and Finance

Year: 2007 | Volume: 1 | Issue: 2 | Page No.: 79-87
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Authors

Najet Rhaiem

Saloua Ben Ammou

Anouar Ben Mabrouk

Keywords

Research Article

Estimation of Capital Asset Pricing Model at Different Time Scales Application to French Stock Market

Najet Rhaiem, Saloua Ben Ammou and Anouar Ben Mabrouk
In this research focus is on the estimation of the Capital Asset Pricing Model (CAPM) at different time scales for French’s stock market. The proposed methods makes possible to quantify the correlation between the return of a stock and its beta at different time scales. Our sample is composed of twenty six stocks that were actively traded over 2002-2005. The empirical results show that the relationship between the return of a stock and its beta becomes stronger as the scale increase, but the test of the linearity between the tow variables show that there is an important ambiguity. Therefore, the predictions of the CAPM are more relevant at a medium-term horizon in a multi-scale framework as compared to short time horizons.
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