Year of Graduation
The Development of an Optimal Share Pricing Model of Companies Within Technological Sector
Economics and Statistics
This work aims to introduce a new approach of measuring market risk based on the cross-section of NASDAQ 100 stocks returns. The main indicator of the risk is an exponent of the CES-function constructed of negative returns. This method uses tail risk valuation and determines the degree of dependence of stock returns on the NASDAQ market risk. As a result, CAPM had better predictive power and have accuracy equal to 81.8% in terms of determination coefficients. The main hypothesis of significance of the tail risk regressor failed as the beta coefficient was equal to 0.