Contents

Table of Figures ......................................................................................................................... 2

1. Introduction ........................................................................................................................... 3
2. Literature review of the CAPM .............................................................................................. 4
2.1 Modern Portfolio theory ................................................................................................. 4
2.2 The Sharpe-Lintner CPAM ............................................................................................... 6
2.3 SML and Components of Risk .......................................................................................... 7
2.4 The First Studies of CAPM ............................................................................................... 9
2.5 The First Extensions of CAPM ........................................................................................ 10
2.6 Roll’s Critique................................................................................................................. 11
2.7 Understanding the Three-Factor Model........................................................................ 11
2.8 Further Literature regarding CAPM ............................................................................... 12
2.9 The Significance of the CAPM........................................................................................ 14
3. The CAPM Model ................................................................................................................. 15
3.1 Data Presentation .......................................................................................................... 15
3.2 Descriptive Statistics of the Sample .............................................................................. 15
3.3 Methodology of O.L.S. ................................................................................................... 17
4. The Test Procedure and the Empirical Results .................................................................... 19
4.1 Analysing the test procedure ........................................................................................ 19
4.2 Analysis of empirical evidence ...................................................................................... 20
5. Conclusion ........................................................................................................................... 21
Bibliography ............................................................................................................................. 22
Appendices .............................................................................................................................. 27
Appendix A .......................................................................................................................... 27
Appendix B........................................................................................................................... 28

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Table of Figures

Figure 1: MV frontier ................................................................................................................. 5

Figure 2: The CAPM ................................................................................................................... 6
Figure 3: The SML ...................................................................................................................... 8
Figure 4: The components of risk .............................................................................................. 9

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1. Introduction

One of the most controversial issues in finance is the estimation of an asset’s expected yield.
The pricing method which initially tried to find a solution to this problem is the capital asset
pricing model (CAPM). This model is still in the heart of modern financial economics, as it is
used from many investors and financial analysts in order to decide whether or not is worth to
receive the risk form the investment. However, it has been criticized a lot over the past years,
mainly because of its simplifying assumptions. The attraction of the CAPM is that it constitutes
a useful and powerful estimating tool in order to quantify the risk in investing and the reward
for bearing the risk.

The primary aim of this study is not only to explain theoretical the CAPM, but also to test
empirically this method. Firstly, I analyze the basic idea, where the economics were based on
in order to create their own model. Over the years, several researches and academics
challenged CAPM, and therefore, many critiques and extensions of CAPM have been
developed. The most significant papers among others are those mentioned by Fama and
Macbeth (1973), who claim the significant of the two-factor model and Fama and French
(1993), who introduced the three-factor model.

Then, I mention the descriptive statistics of the data and the methodology of the regression
that I am going to follow. In the last section, I test the Sharpe-Lintner CAPM in a 16-year
sample, using both the excesses returns of the market and the stocks and I explain any
evidence that were arose from this empirical test.

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2. Literature review of the CAPM

2.1 Modern Portfolio theory

Aiming to provide a better explanation of the CAPM model, it is strictly necessary to examine
first where this concept was derived from. The CAPM was mainly created as a model based
on two books, both written by Harry Markowitz; “Portfolio Selection” (1952) and “Portfolio
Selection: Efficient Diversification of Investments” (1959). Therefore, Elton and Gruber (1998)
claim that Markowitz is considered to be “the father of Modern Portfolio Theory”.
Characteristically, Hubbert (2012) stated that before Markowitz, it was more than difficult for
investors to measure risk and understand the benefits of diversification. This theory is also
known as the mean-variance analysis (MV) and tries to specify the level of an asset’s risk ,
regarding to the anticipated yield (Keller, 2014). According to West (2004), one assumption of
MV theory is that investors are risk averse and therefore, if the expected return shows no
difference between two assets, they will prefer that one with lower variance. To my way of
thinking, the main purpose of Markowitz was to add together financial instruments with
different characteristics and simultaneously imperfectly correlated, trying to minimize the risk
and constructing so the optimal portfolio.

As Fabozzi et al. (2002) characteristically stated, efficient frontier is another key concept of
MPT. The MV frontier represents all the possible portfolios that show the lowest risk when
the expected return is given. It can be easily demonstrated from the graph below (figure 1),
that the efficient frontier is the curve line that illustrates any potential yield for a given risk
and the Global Minimum Variance Portfolio is this one with the least risk. The horizontal axis
represents the investors’ risk acceptance, while the vertical axis shows the return of the
expected return. On the one hand, any portfolio below the curve line does not provide the
desirable level of return. On the other hand, any portfolio that lies above the efficient frontier
has a higher level of risk. (Berk and De Marzo, 2016)

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 Figure 1: Min-Var frontier

Source: Fama and French (2004)

As it is already mentioned above, the diversification of risk in investing was mainly introduced
by Markowitz. According to Mangram (2013), diversification is a statistical risk reduction tool,
which measures the relationship between correlation and portfolio risk. It can be easily
understandable that it is more efficient for investors to spread their available capital in
different assets, rather than ‘’put all their eggs in one basket’’. By adding dissimilar financial
instruments to a portfolio, the stable reduction of risk is achieved. The benefit of this
combination is known as diversification effect (Gibson, 1990).

Continuing the pattern of MV analysis, Jim Tobin develops in 1958 the Separation Theorem,
where the concept of risk free rate is introduced. Tobin (1958) mentions that the selection of
a portfolio is divided in two different stages; the first one is the efficient combination of risky
assets and the second one is a segregate choice considering the capital allocation between a
single safe asset and the previous made optimum combination.

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2.2 The Sharpe-Lintner CPAM

Based on Markowitz’s work, Sharpe (1964), Lintner (1965) and Mossin (1966) develop the
asset pricing theory, which is still used in many applications as a tool for evaluating the
performance of different portfolios. More specifically, they claim in their model that the
expected return of an asset is the risk-free rate plus the risk premium, which is the market
beta times the difference between the return on an investment and the return on a risk-free
investment. The main difference from the MPT is that the CAPM, by providing testable
predictions, is more than an algebraic condition. These academics add two new assumptions;
the first one is the acceptance that all investors can lend or borrow funds with the same set
of rules and the second one is the assumption of homogeneity in investors’ expectations about
the performance of a portfolio (Rossi, 2017).

Figure 2: The CAPM

Source: Bodie et al. (2011)

In the graph presented above (figure 2), Fama and French (2004) demonstrate the portfolio
opportunities. The horizontal axis illustrates the portfolio risk, while the vertical axis illustrates
the expected return. The minimum variance frontier for risky assets represents any possible
combination between the anticipated yield and the portfolios’ standard deviation (SD).
Finally, the mean-var efficient frontier with a riskless asset indicates any efficient portfolio
derived from a risk-free asset.

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The Sharpe-Lintner CAPM forms a significant model not only because it is an easy-to-use
method, but also because it takes into account the systematic risk and the diversified
portfolios. However, as no method is perfect, it has its drawbacks. Many of the assumptions
that CAPM is based on, are unrealistic and cannot reflect the real world. For instance, investors
cannot share the same expectations and beliefs about a portfolio’s performance, cannot lend
or borrow without any risk and of course taxes and transaction costs cannot be ignored. As
characteristically Fernandez (2017) sates, historical betas cannot be used as efficient
indicators of the future risky assets because they do not remain stable between two different
periods. Among others, Fama and French (2004) clearly argues that many others risk factors
must be considered in order to be eliminated, or at least to be decreased, any deviation from
the expected returns.

2.3 SML and Components of Risk

At this point, in order to understand better the CAPM model and its critical literature, I believe
it is essential to analyze what the security market line (SML) and the systematic risk are. The
SML (figure 3) indicates the relationship between the beta and the expected return, where
the beta demonstrates a measure of a security’s volatility compared to the return on the
market portfolio risk. According to Womack and Zhang (2003), the market portfolio indicates
a beta of one, while a risk-free asset indicates a beta of zero. Thus, the market has lower
volatility when the beta of an asset or any other financial instrument is less than s than one.
General speaking, volatility relates to high betas, while low beta for a financial instrument
imply consistency. In fact, there is a significant deviation between the expected and the real
performances, but this divergence can constitute an adequate level of evaluation for the
investment. On the one side, all the undervalued stocks (left side of SML) tend to show more
satisfactory returns than is was expected. On the other side, the overvalued stocks (right side
of SML) do not constitute an attractive investment. The difference between the abnormal
return and the expected return of a security is known as Jensen’s alpha (Jensen, 1967).

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 Figure 3: The SML
Source: Womack and Zhang (2003)

Although risk in investment can be significantly reduced by diversification, it cannot be fully

eliminated. Risk can be categorized into two major components (figure 4); the systematic or
non-diversifiable risk and the non-systematic or diversifiable risk. The first one is also known
as market risk and arises mainly from the general economic conditions that exist in the market,
such as unemployment level, inflation rates, economic cycles, exchange rates etc. All these
macroeconomic factors are difficult to be predicted and thus, market risk cannot be
eradicated even with extensive diversification. The second one is also known as firm-specific
risk and it affects only certain securities or firms, but not the whole market. Under
circumstances, it can be eliminated. In contrast to MPT, CAPM recognizes the different
components of risk and it is mainly occupied with the reduction of the systematic risk (Bodie
et al., 2011). From the figure presented below, it can be demonstrated that standard deviation
and the number of securities are positively correlated. More specifically, the more the number
of securities increases, the more standard deviation decreases). However, it will never fall to
zero, as the market risk will always exist.

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 Figure 4: The components of risk

Source: Bodie et al. (2011)

2.4 The First Studies of CAPM

This questionable nature of CAPM has led many academics and researchers not only to critic,
but also to improve the predictive structure of CAPM. General speaking, the critical literature
can be categorized into two different divisions; those who empirical tried to prove the
efficiency of CAMP and those who created new multifactor models.

To begin with, the results of the first studies of CAPM were not optimistic. Both Lintner (1965)
and Douglas (1969) detect in their empirical tests two weaknesses on the single factor model;
the lower value of the coefficient of beta and the differentiation between the intercept and
the risk-free rate of return. In addition, Miller and Scholes (1972), based mainly on the returns
from an individual security find out many considerable statistical problems. In the same year,
Black et al. (1972), after doing an extensive analysis in the character of CAPM, try to overcome
these problems. Using stocks from the New York Stock Exchange (NYSE), they form different
portfolios and they observe that the average returns of these portfolios are not in accordance
with the CAPM provided by Sharpe and Lintner. Thus, they do not only reject this method, but
they also state that using a two-factor model will probably lead to more desirable estimations.
Following the same pattern, Fama and Macbeth (1973) test the average returns of portfolios

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made by using all the stocks from NYSE and they point out three different evidence; the
coefficient of beta is a significant statistical tool, the linear relationship between beta and
return exists and finally, there is an intercept term to be considered, much greater than the
risk-free rate, supporting in this way the concept of two factor model. Moreover, Blume and
Friend (1973) reject the traditional Sharpe-Lintner CAPM, as the differences in the returns in
the market cannot be explained by the relationship between risk and return. They support
that the assumption of perfectly short-selling cannot exist, as in this occasion the proceeds of
the selling of securities cannot be used to purchase other financial instruments.

2.5 The First Extensions of CAPM

As it is already stated above, many academics express the belief that using more risk factors
will undoubtedly have a vital impact on the average expected returns. Characteristically,
Womack and Zhang (2003) mention that nowadays companies have to face many risks and
therefore, the expected return cannot be efficiently predicted by using such a simple method.
Apart from this, from a statistical point of view, using more independents variables in a model
would render it as a more successful estimation tool. Hence, based mainly on the empirical
test made by Black et al. (1972), Black (1972) develop a two-factor model. According to him,
the assumption of risk-free borrowing or lending is idealistic and the conditions on a real
market cannot be reflected. The Black CAMP constitutes a more wide-ranging method than
the Sharpe-Lintner CAPM (Bodie et al. 2011), and as a result there is less literature against this
model. Two noteworthy results of the model are the allowance of unrestricted short-selling
of risky securities and the elimination of underestimation or overestimation of returns.
However, as it can be easily understandable, evidence about the efficiency of the model exists.

Another three significant extensions of CAPM that took place in the next years were the
intertemporal CAPM (ICAPM), the arbitrage pricing theory (APT) and the consumption CAPM.
One year after the Black CAPM, Merton (1973) develop an equilibrium to the traditional
CAMP, the ICAPM, which was considered to be more dynamic than the static Sharpe-Lintner
method. The main feature of this model is that it takes into account how investors behave
among different periods and explains the movements of a security based on the investor’s
wage income and the available consumption goods. Three years later, one more alternative
to CAPM was introduced by Ross (1976) and it was subjected to more permissive assumptions.
Therefore, this arbitrage pricing model became more popular over the years. In APT, among

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others, the main assumptions are the absence of any arbitrage opportunity among well-
diversified portfolios, the potential of the systematic risk’s elimination through the
diversification and the existence of a competitive market. Ross (1976) designs this model
having considered first the changes of a security’s sensitivity by changes happened in
macroeconomic variables. A noteworthy fact is that in APT it is assumed that at least one
investor has to face short-selling or borrowing constraints, while in the traditional CAPM these
constraints do not exist. Apart from this, Ross (1976) states that the investors are rewarded
only for non-diversifiable risks. However, this method was not widely-used because it
constituted a complex statistical tool and it was difficult to be applied in practice. In addition,
Breeden (1979) develops an extension of CAPM, the CCAPM, which is mainly based on the
Merton’s model. Following the same pattern, Breeden (1979) uses this continuous-time
method with random investment opportunities to predict the expected return of any asset.
The main difference from the ICAPM is that Merton’s multi-beta can now be change by a
single-beta with respect to the aggregate consumption. By doing this, Breeden (1979) reaches
in the same pricing equations, but in a simpler and more empirically testable form.

2.6 Roll’s Critique

A significant critique of CAPM that raised many doubts about the efficiency of traditional
CAPM is that made by Roll (1977). Among others questionable facts, he points out that there
is no independence in the test, as the linear relation between beta and expected return is
based on the portfolio’s efficiency and therefore, CAPM cannot be testable unless the
portfolio’s exacted composition is known. Furthermore, he blames the use of proxies as S&P
500, because it delimits the available data (known as benchmark error, Bodie et al. 2011).
Characteristically, Shanken (1987) states that these objections made by Roll’s evaluation
render more suspicious the state of the CAPM. Kandel and Stambaugh (1995) and Roll and
Ross (1995) expand Roll’s critique stating that although the theoretical part of CAPM seems
to be adequate, the rejection of the positive relation between beta and return is raised mainly
from the proxy’s inefficiency.

2.7 Understanding the Three-Factor Model

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One other widely-used extension of CAPM is that developed by Fama and French (1993). In
1992, trying to develop more significant market factors, they find out no relationship between
beta and returns. In contrast they document a strong relationship between returns and two
other variables (Fama and French, 1992). More specifically, they claim that, if the securities
are rationally priced, the size of a stock and the book value to market value ratio (MV/BV) can
explain the differences between the expected and the real returns. Thus, one year later they
introduce their own method of CAPM, the three-factor model. Apart from the already known
risk premium, the new variables are the SMB (size effect) and the HML (value effect). The first
one represents the difference between the large and the small stocks, while the second one
describes the difference between the expensive and the cheap stocks. Broadening their
previous study, the form 25 different portfolio, using a time period of nineteen years (from
1936 to 1991) and they regress the returns of these portfolios to the variable stated above.
The large value of the coefficient of determination (R squared) that they found, was enough
to explain the significance of these two variables, as any change in the dependent variable
could adequately be explained by the independent variables. In the following years, several
studies (Fama and French, 1995; Fama and French, 1996) take place in order to have a clearer
view of these two variables and enhance their belief that their model is a better estimator. It
can be easily understandable that the three-factor CAPM, as any other method, is objected
into several assumptions. Among others, these are the absence of any arbitrage opportunity
and the existence of a risk-free rate. Therefore, in 1997, Fama and French mention that their
model justifies better the long-term abnormal returns and of course, it is not the perfect one.
Over the years, the three-factor model has been criticized by many researchers.
Characteristically, Kothari and Shanken (1999) state that Fama and French’s method ignores
any historical beta, even this has a positive result. Furthermore, Suh (2009) points out that
this method has more explanatory power when it is applied in highly volatile markets. A
noteworthy fact is that in 2014, Fama and French introduce a five-factor model. The new
variables are the RMW and the CMA. The RMW factor describes the difference between the
most and leas profitable firms, while the CMA factor is the difference between the firms that
invest preservative and those that invest more aggressively.

2.8 Further Literature regarding CAPM

In the 80’s several studies and empirical tests brought out the flawed structure of CAPM. They
proved not only that the linear relationship between beta and market return does not exist,

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but also that the single-factor CAPM does not provide an efficient estimator. A common belief
among these studies is that also non-market factors have to be considered in order to define
the risk-return relationship. Basu (1977), by doing his empirical test, proves that the
performance of an investment is strongly related to their price to earnings ratio (P/E). More
specifically, he notices that securities, which their P/E value is high, most times illustrates
higher expected return compared to the CAPM’s prediction. Following this pattern, many
researchers highlight the impact of the financial ratios on determining the expected returns.
Among others, Ball (1978) clearly mentions that using these ratios as indicators of an
investment’s performance will probably lead to better results. One more relationship is
underlined by Bhandari (1988), as he believes that the stock returns can be explained using
the Debt-to-Equity (D/E) ratios. In addition, Rosenberg et al. (1985), after having tested
various US stocks, prove that there is a positive relationship between their expected returns
and their Book-to-Market (B/M) ratio, as stocks with higher B/M ratios, had higher average
returns. Grossman and Stephen (2006), characteristically points out that useful information
about interest rates can arose exploiting any historical movement in the price of the stock.
Furthermore, Banz (1981) observes in his empirical test, that most times larger firms had
higher expected returns compared to the smaller ones. Finally, recording a forty-year period,
he argues that there is no linear correlation between the market and the size effect. Tinic and
West (1984), although they carry out the same test with Fama and Macbeth (1973), they end
up with different results. More specifically, using an intercept much greater than the risk-free
rate, they conclude that the residual risk does not contribute on the result.

In the following years, many academics and researchers made their own studies about the
CAPM. Based on Breeden’s CCAPM, Campbell (1996) introduces an alternative model that
uses linear approximation. According to him, this model is more flexible and in order to predict
efficiently the future returns, it takes into account many factors. Lettau and Ludvigson (2001)
mention that this model of CAPM is more attractive, as many unconditional specifications are
now considered in the calculation. Elsas et al. (2003), after testing the German market,
highlight a strong relation between beta and returns, and therefore historical betas must be
used as indicators. Cremers (2001) states that the inefficiency of CAPM arises mainly from
problems in the measurement of market’s portfolio. Nine years later, Brennan and Lo (2010)
claim that the existence of a possible frontier decreases as the numbers of sample parameters
increases. Commenting on this argument, Levy and Roll (2010) point out that a specific
modification of those parameters, could lead to frontier’s improvement.

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2.9 The Significance of the CAPM

All in all, it can be easily observed that CAPM received a lot of criticism and disputation about
its effectiveness. However, it is still a widely-used statistical tool in order to quantify the trade-
off between return and risk. Bodie et al. (2011) characteristically state that CAPM constitutes
an easy-to-use calculation that can identify a range of possible outcomes. Furthermore, Fama
and French(2004) state that CAPM, differ from other methods of evaluation, as it takes into
account the differentiation between the systematic and the unsystematic risk. Apart from
this, CAPM can be used in several instances, where other methods like the weighted average
cost of capital (WACC) cannot. In addition, Perold (2004) claims that CAPM can be used as a
benchmark in order to explain many market’s inefficiencies.

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3. The CAPM Model

3.1 Data Presentation

In this section, I analyze the way the data was selected. Using a sample of 30 different
companies, all of them listed on the London Stock Exchange, it will be evaluated the
performance of each stock. The following study covers a time period of sixteen years, starting
from the 2002 to 2017. An explanation for the chosen time period is that all companies faced
many economic difficulties in 2008 due to the global economic crisis, so this time period
extends over a whole financial cycle. Thus, in order to estimate more adequate the effect of
this crisis, two more equi-partitioned subsamples are constructed, where each one covers the
same period before and after the crisis. The used data are monthly stocks returns of each
company among these years, because in this way better outcomes for the beta coefficient can
be acquired. As Farah and Laura (2017) characteristically state in their work, daily returns
might lead to inefficient estimations of beta, while using monthly returns most times lead to
a better estimation of beta. The data contains a total of 5760 observations, 192 for each stock.
Following the same pattern, each of the subsamples contains a total of 2880 observations, 96
for each stock. The provided sample covers five different sectors of the market. Most
specifically, most of the companies trade in the industrial sector (14), 8 of them in the
consumer services sector, 4 in the consumer goods sector and just 2 in the basic materials
sector. There are also 2 companies from healthcare and oil & service sector respectively. To
increase the reliability of the test, it must be mentioned that the returns of stocks were
selected using as a proxy the Financial Stock Exchange All Share, which represents a stock
index of companies capturing a significant high market capitalization and therefore, it reflects
the performance of the UK capital market.

3.2 Descriptive Statistics of the Sample

In my point of view, in order to evaluate more efficiently the performance of a stock, it is

essential to calculate first some descriptive statistics related to the excess returns of each
company. The excess return is the difference between the risk-free rate and the return of the
stock. Apart from the four moments of distribution (the mean, the median, the standard
deviation, the sample variance), skewness and kurtosis of our 30 has been calculated and

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summarized to increase the evaluation1. In terms of a stock analysis, mean is one of the most
significant statistical factors as it measures the aggregate performance of a stock during the
required time period. Nevertheless, in the examined sample, the explanatory power of the
mean is quite low, because of the existence of many extreme value and therefore, other
statistical indicators were also included in the analysis. As it can be easily observed, almost all
of our stocks show a positive mean, which indicates in general the positive excess returns
during this time period. More specifically, the highest mean is presented by RANDGOLD
RESOURCES (0.0260), significantly more than the average excess return of the market
(0.0045). in addition, standard deviation or sample variance measures the volatility of each
stock. For instance, between two companies, the riskier one is considered to be this with the
higher standard deviation. In this specific sample, standard deviation seems to be significantly
low (less than 18%) for all stocks mainly due to the fact that the companies listed on this study
are quite large and stable. However, many stocks, related to the others seem to illustrate
greater volatility. This depicts that the returns of these specific stocks demonstrate greater
standard deviations compared to the returns of the other stocks. The most volatile stock is
the IWG, while the market and the equally-weighted portfolio are much less volatile,
presenting a standard deviation of 3% and 4,3% respectively. Continuing with the last two
moments of distribution, a noteworthy fact is that 8 stocks demonstrate a kurtosis bigger than
3, with a maximum of 10.95 (presented by HOWDEN JOINERY GR.), in contrary to the level of
skewness which is negative for 14 stocks. Generally speaking, in financial markets kurtosis
tend to be high, because it is more likely for investors to experience extreme returns.
According to Gujarati (2012), kurtosis measures how fat-tailed this distribution is, and
skewness indicates the mean of the distribution and the range of which it is symmetric. For a
sample following normal distribution, kurtosis must equal to 3, while skewness must equal to
0 (Tsay, 2010). Thus, it can be noticed that the examined sample is not only following a non-
normal distribution, but it is also fat-tailed. From the table below, it is demonstrated that the
level of kurtosis lies between 0.2278 to 10.95, while the level of skewness ranges from -0.6503
to 1.8389. Furthermore, an ominous fact is the FTSE All-Share index and the equally-weighted
portfolio are negatively skewed and this could lead to lower rates than their mean in the
future.

1
See Appendix A: A1

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3.3 Methodology of O.L.S.

As it has already been mentioned above, there are plenty of studies that have empirically
tested the Sharpe-Lintner CAPM. A common fact among the most is the use of the ordinary
least squares regression analysis (OLS). Following the same pattern, it is also used in this
specific estimation of CAPM. Therefore, to my way of thinking, before the implantation of the
empirical test, it is crucial to analyze first this econometric model.

In general, the regression analysis represents all the existing statistical techniques that are
used in order to find out any possible relationship between two different variables, a
dependent variable Y and an independent variable X (Gujarati, 2004). One of the most
significant methods of regression analysis is the OLS, not only because of its widely used, but
also because of its appealing statistical techniques. Firstly developed by Carl Friedrich Gauss,
OLS constitutes the most efficient method in order to determine the relationship among the
variables and the line for the best set of data. OLS can be computed from this formula:

Yt = a+ βXt+et

where Xt demonstrates the independent variable, Yt illustrates the independent variable, a

represents the intercept, β measures the change of Yt in accordance with Xt (also known as
slope coefficient) and finally et represents the random error term (also known as residual).
Any parameter of a linear relation is determined, by minimizing the aggregate squares’ sum
of the discrepancies between the observed excess returns in the sample and those predicted
by the equation.

In our sample, this equation can be transformed in the following form:

E(Ri)-Rf=β(Rm-Rf)
where the right term illustrates the excess market returns and the left term demonstrates the
excess stock returns.

As it can be easily understandable, in order OLS constitute the best unbiased estimator, a
considerable number of assumptions must exist. Gujarati (2003) mentions the followings:
 Linearity: There should be a linear relation to be described between the variables.
 No perfect multicollinearity: There must not exist any perfectly correlated variables.

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 Homoscedasticity: This means that given a specific value of Xt, the variance of et is
stable for any observation. Otherwise, as it would impossible to restrict the high error
terms in any high volatile data (Greene, 2012).
 Variability in Xt values: In a given sample, it is assumed that the Xt values will be more
than one.
 Exogeneity of the independent variable: In any case, the independent variable must
be unexpectable and unexplainable (non-stochastic).
 No autocorrelation: Absence of any historical value, in order to be avoided any inner
correlation.
 In any case, observations must exceed the number of the explanatory variables.
 Zero covariance between Xt and et.
 The regression model is correctly specified

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4. The Test Procedure and the Empirical Results

4.1 Analysing the test procedure

After having been mentioned various theories or studies related to the CAPM, and the model
of the CAPM that will be used in the following test, the main purpose of this section is to
analyse first the procedure followed to test the CAPM, and then explain any empirical
evidence.

As it has been stated in the previous section, to justify whether the CAPM holds, I performed
the linear regression, where my independent variable is the excess market return and the
dependent variable is the excess stock return. To begin with, I calculated the excess returns
by deducting the monthly risk-free rate from the equivalent monthly return, not only for each
one stock, but for the provided index as well. In general, I conducted a regression analysis 93
times, for 3 different time periods (16-year monthly excesses returns from 2002 to 2017, and
two samples equally in amount and time) and an equal-weighted portfolio, constructed by
using the average of all stocks’ returns. More specifically, I performed 30 regressions analysis
using the entire sample monthly returns (192 observations for each stock), 30 regressions
more for the first half of the period 96 observations for each stock) and finally 30 regressions
more for the second half (96 observations for each stock). Following the same pattern, I
conducted 3 regressions for the equal-weighted portfolio, each one for every time-period. The
summary output of the regression, also known as ANOVA table, gives as a more adequate
view regarding the acceptance of the CAPM, as it extracts lots of data. However, this specific
test will emphasize in the intercept’s coefficient, R-square and t-stat.

To my way of thinking, it is essential to site the significance level and the two hypothesis that
were followed in my analysis to test the CAPM. The CAPM is valid, when the intercept equals
to zero, satisfying in this way the null hypothesis. On the other hand, the null is rejected when
the intercept exists. In order to decide which one of those two hypothesis exists, the p-value
are crucial indicators. Trying to explain the above statement we can argue that:

i. Ho: α = 0, where Ho is the null hypothesis

ii. Ho: α ≠ 0, where Hα is the alternative hypothesis

In any case, in a test procedure where it is used a 5% significance level, the null hypothesis is
rejected, if and only if the calculated test statistics is lower than -196 or greater than +1.96.

Page 19 of 31
Following the same pattern, the null hypothesis is rejected, when the p-value is lower or equal
to 0.05.

4.2 Analysis of empirical evidence

Using the entire 16-year monthly sample, I found that the calculated test statistic is between
the acceptance level for 23 companies and not within this area for 7 companies2. In other
words, this mean that the CAPM holds for almost 77% of the provided companies. This can
also be stated using the p-values, as these 23 companies have a percentage level of p-value
over 5%. Regarding the R-square values, it is observed that it illustrates an average of 16,08%,
fluctuating from 4.7% (BTG) to 46.9% (INFORMA). The coefficient of determination illustrates
the level where the dependent variable is explained by the independent variable. The
maximum level of R-square is 1 and therefore, in this specific analysis the explanatory power
of the regression is weak.

For the first subsample3, I found that the CAPM does not hold only for 3 out of 30 companies.
The other 27 companies illustrate a t-statistic value within the acceptance level. For the
second subsample4, I found that the CAPM holds for 23 out of 30 companies, representing a
percentage of 77%. A noteworthy fact in this subsample is that most of the companies where
the CAPM does not hold are from the consumer goods sector. In both subsamples, the R-
square value seems to remain at a low proportion, with a maximum of 49,04% and a maximum
of 44.37% (both presented again by INFORMA) respectively.

Regarding the equal-weighted portfolio5, the results seem to be quite different. The CAPM
does not hold, not only for the entire sample, but also for the two equi-partitioned
subsamples. Actually, the values of R-square seem to be significant high. More specifically, the
total average of R-square value among these 3 regressions is 68.05%, indicating in this way
the high representativeness of the sample.

2
See Appendix B: B1
3
See Appendix B: B2
4
See Appendix B: B3
5
See Appendix B: B4

Page 20 of 31
5. Conclusion

In conclusion, the Sharpe-Lintner CAPM has been extensively criticized over the years.
Although it still constitutes a widely-used tool for evaluating the risk and the rewards, many
academics have expressed their concerns about the efficiency of the model. This controversial
nature of CAPM arises mostly from the fact that it is developed based on unrealistic
assumptions and therefore, it cannot be implemented in a real market.

The results regarding the Sharpe-Lintner CAPM are quite remarkable. I found out that it holds
almost for 73 out of 93 regressions, achieving a proportion of 78.5%. However, the small
values of R-square, indicating the poor explanatory power of the entire sample. Another
noteworthy fact is the rejection of the CAPM in any case of the constructed portfolio. This
result is positive related to the evidence of Black et al. (1972) and Fama and Macbeth (1973),
who tested their formed portfolios in the same way and the ended up in the same results.

Page 21 of 31
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Appendices

Appendix A

A1: Descriptive Statistics

Standard Sample
Company Mean Median Kurtosis Skewness Range Minimum Maximum
Deviation Variance
TESCO 0.0016 0.0001 0.0654 0.0043 0.9158 0.0130 0.4257 -0.2080 0.2177
TREATT 0.0164 0.0015 0.0766 0.0059 2.5133 1.1025 0.5072 -0.1722 0.3350
WETHERSPOON (JD) 0.0090 0.0093 0.0855 0.0073 3.3922 -0.3612 0.7022 -0.3607 0.3415
INFORMA 0.0117 0.0129 0.0848 0.0072 1.6441 -0.4441 0.5760 -0.3358 0.2402
RECKITT BENCKISER GROUP 0.0116 0.0119 0.0452 0.0020 0.5031 -0.2713 0.2685 -0.1485 0.1200
MEARS GROUP 0.0120 0.0099 0.0846 0.0072 1.7022 0.3489 0.5447 -0.2110 0.3337
BTG 0.0090 -0.0019 0.1415 0.0200 5.3748 0.7752 1.2143 -0.5333 0.6810
HUNTING 0.0128 0.0105 0.1117 0.0125 3.0775 0.1930 0.9290 -0.3684 0.5606
HOWDEN JOINERY GP. 0.0135 0.0107 0.1328 0.0176 10.9500 1.8389 1.1816 -0.2870 0.8946
SERCO GROUP -0.0021 0.0007 0.0937 0.0088 4.4026 0.1247 0.8516 -0.4115 0.4401
EUROMONEY INSTL.INVESTOR 0.0122 0.0134 0.0936 0.0088 3.6912 0.6842 0.7142 -0.2406 0.4736
HALMA 0.0136 0.0122 0.0606 0.0037 0.6137 -0.0354 0.3829 -0.1717 0.2111
DISCOVERIE GROUP 0.0065 0.0019 0.1047 0.0110 1.5351 0.4830 0.7012 -0.2703 0.4310
NEXT 0.0124 0.0133 0.0740 0.0055 1.2666 -0.1007 0.5052 -0.2314 0.2738
INTERSERVE 0.0003 0.0071 0.1145 0.0131 2.7444 -0.1611 0.8482 -0.3900 0.4582
RANDGOLD RESOURCES 0.0260 0.0245 0.1262 0.0159 1.6911 0.8278 0.8046 -0.2545 0.5501
G4S 0.0076 0.0061 0.0714 0.0051 2.0382 -0.2845 0.4998 -0.2622 0.2375
DIAGEO 0.0083 0.0112 0.0430 0.0018 0.5854 -0.2254 0.2839 -0.1332 0.1507
ULTRA ELECTRONICS HDG. 0.0088 0.0139 0.0634 0.0040 2.9600 -0.6503 0.4799 -0.2996 0.1802
MORGAN SINDALL GROUP 0.0124 0.0164 0.0965 0.0093 0.7770 -0.2801 0.5811 -0.2770 0.3041
BERKELEY GROUP HDG. 0.0170 0.0104 0.0812 0.0066 1.0337 0.2133 0.5684 -0.2300 0.3384
IWG 0.0242 0.0119 0.1858 0.0345 7.2214 1.5150 1.5753 -0.6650 0.9102
HUNTSWORTH 0.0054 -0.0002 0.1108 0.0123 1.9220 0.1182 0.8002 -0.3941 0.4061
AGGREKO 0.0092 0.0102 0.1008 0.0102 1.7408 -0.2061 0.7654 -0.3914 0.3740
ELECTROCOMP. 0.0073 0.0032 0.0846 0.0072 0.2278 0.3820 0.4723 -0.1864 0.2860
XAAR 0.0180 0.0141 0.1533 0.0235 1.6069 0.3147 1.0179 -0.4214 0.5965
MARSHALLS 0.0102 0.0087 0.0956 0.0091 2.5492 0.0464 0.7651 -0.3412 0.4239
GREGGS 0.0110 0.0113 0.0661 0.0044 1.3608 -0.3047 0.4097 -0.2293 0.1804
CRANSWICK 0.0142 0.0214 0.0755 0.0057 3.3223 -0.1835 0.6514 -0.3021 0.3494
DIXONS CARPHONE 0.0149 0.0137 0.1090 0.0119 0.5380 -0.1097 0.6294 -0.3279 0.3015
FTSE ALL SHARES 0.0045 0.0099 0.0392 0.0015 1.4103 -0.7479 0.2355 -0.1365 0.0989
EQ.-WEIGHTED PORTFOLIO 0.01117 0.01455 0.0427302 0.001826 1.933945 -0.47487 0.29208 -0.143496 0.1485833

Page 27 of 31
 Appendix B

B1: Regression Analysis- Stocks Retuns (from 2002 to 2017)

Intercept a X Variable
Company Sector Multiple R R Square
Coefficients SE t Stat P-value Coefficients SE t Stat P-value
TESCO Consumer Services 0.43455 0.18884 -0.00168 0.00429 -0.39130 0.69601 0.72503 0.10902 6.65067 3.02015E-10
TREATT Basic Materials 0.28907 0.08356 0.01383 0.00534 2.58981 0.01035 0.56509 0.13577 4.16219 4.77407E-05
WETHERSPOON (JD) Consumer Services 0.32861 0.10798 0.00579 0.00588 0.98430 0.32622 0.71732 0.14957 4.79585 3.26426E-06
INFORMA Consumer Services 0.68448 0.46851 0.00494 0.00450 1.09680 0.27412 1.48069 0.11441 12.94173 7.0116E-28
RECKITT BENCKISER GROUP Consumer Goods 0.40562 0.16453 0.00950 0.00301 3.15611 0.00186 0.46781 0.07648 6.11695 5.32659E-09
MEARS GROUP Industrials 0.36875 0.13598 0.00834 0.00573 1.45574 0.14712 0.79630 0.14562 5.46823 1.41847E-07
BTG Healthcare 0.21720 0.04717 0.00542 0.01006 0.53844 0.59090 0.78418 0.25568 3.06705 0.00248
HUNTING Oil & Gas 0.48271 0.23301 0.00660 0.00712 0.92575 0.35575 1.37576 0.18108 7.59740 1.33771E-12
HOWDEN JOINERY GP. Industrials 0.48757 0.23772 0.00601 0.00844 0.71210 0.47728 1.65215 0.21463 7.69761 7.37419E-13
SERCO GROUP Industrials 0.43446 0.18876 -0.00684 0.00615 -1.11254 0.26731 1.03929 0.15631 6.64894 3.04909E-10
EUROMONEY INSTL.INVESTOR Consumer Services 0.35573 0.12654 0.00838 0.00637 1.31536 0.18997 0.84989 0.16199 5.24656 4.11528E-07
HALMA Industrials 0.49969 0.24969 0.01011 0.00383 2.64361 0.00889 0.77322 0.09724 7.95163 1.60191E-13
DISCOVERIE GROUP Industrials 0.35965 0.12935 0.00214 0.00712 0.30059 0.76406 0.96120 0.18092 5.31291 3.0013E-07
NEXT Consumer Services 0.35038 0.12277 0.00944 0.00505 1.86893 0.06317 0.66209 0.12840 5.15659 6.2868E-07
INTERSERVE Industrials 0.39993 0.15995 -0.00498 0.00764 -0.65188 0.51527 1.16837 0.19425 6.01465 9.07829E-09
RANDGOLD RESOURCES Basic Materials 0.10278 0.01056 0.02450 0.00915 2.67810 0.00805 0.33115 0.23251 1.42421 0.15603
G4S Industrials 0.30936 0.09570 0.00500 0.00494 1.01085 0.31337 0.56358 0.12568 4.48424 1.264E-05
DIAGEO Consumer Goods 0.50000 0.25000 0.00585 0.00271 2.15786 0.03219 0.54831 0.06890 7.95823 1.53921E-13
ULTRA ELECTRONICS HDG. Industrials 0.39360 0.15492 0.00588 0.00424 1.38452 0.16782 0.63659 0.10786 5.90179 1.62404E-08
MORGAN SINDALL GROUP Industrials 0.36782 0.13529 0.00832 0.00654 1.27292 0.20460 0.90580 0.16613 5.45229 1.53288E-07
BERKELEY GROUP HDG. Consumer Goods 0.37734 0.14238 0.01343 0.00548 2.45104 0.01515 0.78230 0.13929 5.61642 6.84572E-08
IWG Industrials 0.38179 0.14577 0.01600 0.01251 1.27947 0.20229 1.81013 0.31790 5.69396 4.65195E-08
HUNTSWORTH Consumer Services 0.29261 0.08562 0.00164 0.00772 0.21212 0.83224 0.82765 0.19622 4.21804 3.8114E-05
AGGREKO Industrials 0.48370 0.23396 0.00353 0.00642 0.54981 0.58309 1.24400 0.16330 7.61772 1.1859E-12
ELECTROCOMP. Industrials 0.56272 0.31665 0.00176 0.00510 0.34460 0.73078 1.21522 0.12951 9.38305 1.9866E-17
XAAR Industrials 0.28389 0.08059 0.01293 0.01070 1.20755 0.22872 1.11036 0.27208 4.08099 6.59753E-05
MARSHALLS Industrials 0.47704 0.22757 0.00494 0.00612 0.80757 0.42035 1.16416 0.15560 7.48167 2.64817E-12
GREGGS Consumer Services 0.33159 0.10995 0.00845 0.00454 1.86199 0.06415 0.55897 0.11538 4.84475 2.62397E-06
CRANSWICK Consumer Goods 0.24879 0.06190 0.01207 0.00532 2.26662 0.02454 0.47911 0.13531 3.54071 0.00050
DIXONS CARPHONE Consumer Services 0.36219 0.13118 0.01037 0.00740 1.40114 0.16280 1.00719 0.18804 5.35615 2.43964E-07

Page 28 of 31
 B2: Regression Analysis- Stocks Returns (from 2002 to 2009)

Intercept a X Variable
Company Multiple R R Square
Coefficients SE t Stat P-value Coefficients Standard Error t Stat P-value
TESCO 0.51712 0.26742 0.00555 0.00563 0.98633 0.32650 0.73817 0.12602 5.85772 6.87542E-08
TREATT 0.40475 0.16382 0.00429 0.00648 0.66276 0.50910 0.62208 0.14496 4.29137 4.31013E-05
WETHERSPOON (JD) 0.29235 0.08547 0.00225 0.01001 0.22436 0.82297 0.66385 0.22398 2.96396 0.00385
INFORMA 0.70028 0.49039 0.00719 0.00774 0.92936 0.35508 1.64788 0.17326 9.51085 2.0155E-15
RECKITT BENCKISER GROUP 0.32365 0.10475 0.01197 0.00462 2.58838 0.01117 0.34315 0.10347 3.31637 0.00130
MEARS GROUP 0.44509 0.19811 0.01428 0.00900 1.58642 0.11600 0.97096 0.20149 4.81898 5.52757E-06
BTG 0.23963 0.05742 -0.00172 0.01834 -0.09367 0.92557 0.98220 0.41044 2.39303 0.01870
HUNTING 0.59956 0.35948 0.01545 0.00862 1.79241 0.07628 1.40115 0.19291 7.26327 1.0859E-10
HOWDEN JOINERY GP. 0.53478 0.28599 0.00013 0.01442 0.00936 0.99255 1.98082 0.32282 6.13598 1.99335E-08
SERCO GROUP 0.55530 0.30836 0.00362 0.00750 0.48293 0.63027 1.08673 0.16787 6.47368 4.31011E-09
EUROMONEY INSTL.INVESTOR 0.45803 0.20979 0.00747 0.01066 0.70053 0.48533 1.19154 0.23852 4.99558 2.70116E-06
HALMA 0.48150 0.23184 0.00601 0.00600 1.00182 0.31900 0.71506 0.13425 5.32635 6.82353E-07
DISCOVERIE GROUP 0.36277 0.13160 -0.00885 0.01089 -0.81269 0.41845 0.92013 0.24379 3.77426 0.00028
NEXT 0.38969 0.15186 0.01000 0.00716 1.39569 0.16610 0.65768 0.16031 4.10253 8.69102E-05
INTERSERVE 0.59318 0.35187 -0.00496 0.00913 -0.54400 0.58773 1.45896 0.20423 7.14365 1.91118E-10
RANDGOLD RESOURCES 0.06054 0.00367 0.04106 0.01387 2.96092 0.00388 0.18251 0.31037 0.58805 0.55791
G4S 0.39522 0.15620 0.00933 0.00747 1.24829 0.21503 0.69763 0.16724 4.17140 6.74434E-05
DIAGEO 0.46773 0.21877 0.00339 0.00411 0.82536 0.41126 0.47229 0.09205 5.13059 1.54867E-06
ULTRA ELECTRONICS HDG. 0.45661 0.20849 0.01316 0.00608 2.16431 0.03297 0.67725 0.13610 4.97602 2.92612E-06
MORGAN SINDALL GROUP 0.41308 0.17063 0.00746 0.01041 0.71629 0.47559 1.02494 0.23307 4.39765 2.88105E-05
BERKELEY GROUP HDG. 0.41468 0.17196 0.01053 0.00854 1.23314 0.22060 0.84419 0.19107 4.41821 2.66329E-05
IWG 0.33784 0.11413 0.02760 0.02319 1.18989 0.23709 1.80660 0.51912 3.48008 0.00076
HUNTSWORTH 0.37724 0.14231 -0.00176 0.01189 -0.14840 0.88234 1.05119 0.26618 3.94922 0.00015
AGGREKO 0.57340 0.32879 0.01314 0.00969 1.35580 0.17841 1.47172 0.21689 6.78568 1.02171E-09
ELECTROCOMP. 0.62034 0.38482 -0.00793 0.00713 -1.11124 0.26930 1.22448 0.15968 7.66811 1.5771E-11
XAAR 0.31601 0.09986 0.00857 0.01693 0.50612 0.61396 1.22363 0.37891 3.22935 0.00171
MARSHALLS 0.57013 0.32505 -0.00538 0.00889 -0.60598 0.54599 1.33812 0.19888 6.72831 1.33347E-09
GREGGS 0.32891 0.10818 0.00407 0.00626 0.64969 0.51748 0.47314 0.14012 3.37672 0.00107
CRANSWICK 0.26567 0.07058 0.00911 0.00908 1.00294 0.31846 0.54309 0.20327 2.67180 0.00889
DIXONS CARPHONE 0.39068 0.15263 0.00849 0.01066 0.79642 0.42780 0.98191 0.23863 4.11483 8.30788E-05

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 B3: Regression Analysis- Stocks Returns (from 2010 to 20017)

Intercept a X Variable
Company Multiple R R Square
Coefficients SE t Stat P-value Coefficients SE t Stat P-value
TESCO 0.36165 0.13079 -0.00906 0.00654 -1.38448 0.16949 0.74222 0.19735 3.76086 0.00029
TREATT 0.15792 0.02494 0.02453 0.00857 2.86223 0.00519 0.40084 0.25851 1.55058 0.12436
WETHERSPOON (JD) 0.39742 0.15794 0.00880 0.00631 1.39629 0.16591 0.79846 0.19016 4.19892 6.09005E-05
INFORMA 0.66614 0.44374 0.00474 0.00450 1.05398 0.29459 1.17539 0.13574 8.65937 1.29819E-13
RECKITT BENCKISER GROUP 0.54458 0.29657 0.00530 0.00379 1.39908 0.16508 0.71969 0.11432 6.29533 9.71281E-09
MEARS GROUP 0.23397 0.05474 0.00440 0.00708 0.62089 0.53618 0.49829 0.21357 2.33316 0.02177
BTG 0.15041 0.02262 0.01543 0.00821 1.87882 0.06337 0.36531 0.24766 1.47502 0.14355
HUNTING 0.37789 0.14280 -0.00232 0.01156 -0.20089 0.84122 1.37910 0.34850 3.95725 0.00015
HOWDEN JOINERY GP. 0.36969 0.13667 0.01641 0.00852 1.92450 0.05732 0.99175 0.25709 3.85760 0.00021
SERCO GROUP 0.33047 0.10921 -0.01716 0.00987 -1.73888 0.08533 1.01002 0.29752 3.39476 0.00101
EUROMONEY INSTL.INVESTOR 0.09985 0.00997 0.01376 0.00660 2.08448 0.03983 0.19373 0.19913 0.97292 0.33309
HALMA 0.52182 0.27230 0.01365 0.00481 2.83821 0.00556 0.86003 0.14501 5.93072 4.97968E-08
DISCOVERIE GROUP 0.33950 0.11526 0.01309 0.00924 1.41609 0.16006 0.97526 0.27869 3.49937 0.00071
NEXT 0.30094 0.09056 0.00880 0.00730 1.20563 0.23098 0.67374 0.22021 3.05950 0.00289
INTERSERVE 0.16784 0.02817 -0.00124 0.01235 -0.10036 0.92027 0.61495 0.37254 1.65071 0.10213
RANDGOLD RESOURCES 0.20037 0.04015 0.00528 0.01189 0.44419 0.65792 0.71097 0.35855 1.98291 0.05030
G4S 0.17221 0.02965 0.00221 0.00652 0.33910 0.73529 0.33352 0.19678 1.69492 0.09340
DIAGEO 0.54705 0.29926 0.00743 0.00355 2.09115 0.03921 0.67880 0.10713 6.33598 8.07674E-09
ULTRA ELECTRONICS HDG. 0.32621 0.10641 -0.00121 0.00596 -0.20232 0.84011 0.60167 0.17983 3.34573 0.00118
MORGAN SINDALL GROUP 0.27571 0.07601 0.01076 0.00803 1.33933 0.18369 0.67384 0.24232 2.78085 0.00655
BERKELEY GROUP HDG. 0.30131 0.09079 0.01727 0.00701 2.46401 0.01556 0.64744 0.21132 3.06373 0.00285
IWG 0.56565 0.31995 0.00385 0.00940 0.40947 0.68312 1.88457 0.28338 6.65027 1.91341E-09
HUNTSWORTH 0.13077 0.01710 0.00808 0.00990 0.81618 0.41646 0.38198 0.29870 1.27880 0.20412
AGGREKO 0.33443 0.11184 -0.00355 0.00835 -0.42530 0.67159 0.86630 0.25180 3.44047 0.00087
ELECTROCOMP. 0.47087 0.22172 0.01199 0.00731 1.63970 0.10441 1.14105 0.22050 5.17488 1.28827E-06
XAAR 0.21699 0.04708 0.01894 0.01337 1.41656 0.15992 0.86915 0.40329 2.15514 0.03371
MARSHALLS 0.30158 0.09095 0.01798 0.00835 2.15279 0.03390 0.77248 0.25189 3.06669 0.00283
GREGGS 0.33622 0.11304 0.01192 0.00668 1.78550 0.07741 0.69687 0.20133 3.46126 0.00081
CRANSWICK 0.20179 0.04072 0.01598 0.00564 2.83234 0.00565 0.33996 0.17019 1.99749 0.04866
DIXONS CARPHONE 0.32181 0.10356 0.01200 0.01051 1.14154 0.25654 1.04440 0.31693 3.29536 0.00139

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B4: Regression Analysis- Portfolios Returns

EQUAL-WEIGHTED PORTFOLIO

Intercept X Variable 1
Multiple R R Square Standard Error
Coefficients Standard Error t Stat P-value Coefficients Standard Error t Stat P-value
From 31/1/2002 to
0.83149 0.69138 0.02380 0.00706 0.00173 4.08006 6.62172E-05 0.90676 0.04395 20.63096 2.17227E-50
29/12/2017
From 31/1/2002 to
0.85341 0.72831 0.02701 0.00712 0.00276 2.58063 0.01141 0.97977 0.06172 15.87376 2.41672E-28
31/12/2009
From 29/1/2010 to
0.78860 0.62190 0.01951 0.00790 0.00204 3.87124 0.00020 0.76624 0.06130 12.50017 8.8896E-22
29/12/2017

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