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In this thesis, we deal with the application of quantile regression to the Capital Asset Pricing Model, which is derived in the thesis. We investigate a real dataset to determine if one of many implications - constant beta at different quantiles of return distribution, of the model is met. For that purpose, we use Khmaladze test which is perfectly suited for testing if asset's beta varies over return distribution. Before we run the test we introduce both quantile regression and the Khmaladze test to the reader in simple and clear notation as we do not expect the reader to be familiar with this regression technique. Powered by TCPDF (www.tcpdf.org) |
