Date of Graduation

5-2021

Document Type

Thesis

Degree Name

Bachelor of Science in Business Administration

Degree Level

Undergraduate

Department

Finance

Advisor/Mentor

Santamaria, Sergio F.

Abstract

The Capital Asset Pricing Model (CAPM) is a method of predicting future stock prices based on past returns. Specific areas of CAPM analysis utilize regression analysis to accomplish this goal. Historic prices and returns for a specific stock in a company, or even whole sectors of the economy, are compared with the corresponding returns for the market. There have been several historical recessions in United States history, as well as a current, ongoing recession. These recessions, along with their causes and effects, will be discussed extensively in this paper. This paper utilizes an analysis of the Capital Asset Pricing Model to determine which sectors of the economy are most drastically impacted by certain economic downturns, and in some cases dramatically outperformed the market. In addition to baseline analysis, this paper explores the reasoning behind some of the more noteworthy trends during the time period January 1990 through February 2021.

Keywords

Capital Asset Pricing Model; S&P 500; S&P 500 Sectors; Recession

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