The Department of Mathematics is very pleased to invite Applied Mathematics students and lecturers to attend the following Webinar:
ESTIMATING AND TESTING FOR ASSET PRICING MODELS: A COMPARISON OF GMM AND OLS METHODS
Speaker: Dr. Ta Quoc Bao, International University, Vietnam National University-HCMC.
Time: 1 PM-4 PM, Saturday, November 13, and November 20, 2021.
Online via Zoom. Please check here for the link to join the Zoom meeting.
Abstract: Capital Asset Pricing Models (CAPM) plays a crucial role in modern pricing theory, it is widely
used in empirical analysis. The CAPM models help an investor to analyze the relationship between assets’ risks and expected returns. In this research, we estimate the CAPM by using the
Generalized Method of Moments (GMM) and Ordinary Least Square (OLS) estimation methods
in the Vietnam stock market, and compare these two methods for compatibility with the Capital
Asset Pricing Model. Then we use some empirical tests for CAMP. Our empirical results show
that in some cases CAPM is invalid for the Vietnam stock market. Furthermore, we show that
the GMM is a better framework to test the CAPM as compared to the OLS method.
The team formulation for the Olympic Contest of Econometrics and Applications and some basic background is also discussed.