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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Aleksey Sidorov
The Development of an Optimal Share Pricing Model of Companies Within Technological Sector
Economics and Statistics
(Bachelor’s programme)
8
2018
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.

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