Equity pricing in the mining sector: evidence from NYSE and LSE

Casado Sánchez, José Luis and González García, Concepción and García García, María Jesús (2012). Equity pricing in the mining sector: evidence from NYSE and LSE. In: "2nd International Conference on Economic, Education and Management (ICEEM 2012)", 1-2 Junio de 2012, Shanghai. pp. 321-325.

Description

Title: Equity pricing in the mining sector: evidence from NYSE and LSE
Author/s:
  • Casado Sánchez, José Luis
  • González García, Concepción
  • García García, María Jesús
Item Type: Presentation at Congress or Conference (Article)
Event Title: 2nd International Conference on Economic, Education and Management (ICEEM 2012)
Event Dates: 1-2 Junio de 2012
Event Location: Shanghai
Title of Book: 2nd International Conference on Economic, Education and Management (ICEEM 2012)
Date: 2012
Subjects:
Faculty: E.T.S.I. Minas (UPM)
Department: Sistemas Energéticos [hasta 2014]
Creative Commons Licenses: Recognition - No derivative works - Non commercial

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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

More information

Item ID: 19136
DC Identifier: http://oa.upm.es/19136/
OAI Identifier: oai:oa.upm.es:19136
Official URL: http://conference.researchbib.com/?action=viewEventDetails&eventid=8472&uid=r59b70
Deposited by: Memoria Investigacion
Deposited on: 02 Sep 2013 06:58
Last Modified: 21 Apr 2016 17:22
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