Observatorio de I+D+i UPM

Memorias de investigación
Communications at congresses:
Equity pricing in the mining sector: evidence from NYSE and LSE
Year:2012
Research Areas
  • Financial science,
  • Valuation,
  • Economy
Information
Abstract
The study examines the Capital Asset Pricing Model (CAPM) for the mining sector using weekly stock returns from 27 companies traded on the New York Stock Exchange (NYSE) or on the London Stock Exchange (LSE) for the period of December 2008 to December 2010. The results support the use of the CAPM for the allocation of risk to companies. Most companies involved in precious metals (particularly gold), which have a beta value less than unity (Table 1), have been actuated as shelter values during the financial crisis. Values of R2 do not shown very explanatory power of fitted models (R2 < 70 %). Estimated coefficients beta are not sufficient to determine the expected returns on securities but the results of the tests conducted on sample data for the period analysed do not appear to clearly reject the CAPM.
International
Si
Congress
2012 2nd International Conference on Economic, Education and Management
960
Place
Shanghai
Reviewers
Si
ISBN/ISSN
978-988-19750-3-4
Start Date
01/06/2012
End Date
02/06/2012
From page
321
To page
325
ICEEM 2012
Participants
  • Autor: Jose Luis Casado Sanchez (UPM)
  • Autor: Concepcion Gonzalez Garcia (UPM)
  • Autor: Maria Jesus Garcia Garcia (UPM)
Research Group, Departaments and Institutes related
  • Creador: Grupo de Investigación: Tecnologías y Métodos para la Gestión Sostenible
  • Departamento: Proyectos y Planificación Rural
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