22nd Annual Student Research Conference
Subprime Lending and the Capital Asset Pricing Model
Joseph S. Roberts
Dr. Andrew C. Mun, Faculty Mentor
This study was done to observe results produced from the Capital Asset Pricing Model (CAPM) when used for assessing risks on industry leaders in the banking industry compared to the IT industry. The banking industry was selected due to its high level of exposure to subprime lending, compared to the IT sector that had limited exposure to the crisis. We find the CAPM failed to accurately model the risk associated with the companies in the banking industry until months after subprime lending hit the market.
Keywords: Finance, Capital Asset Pricing Model, Banking Industry, Subprime Lending, Risk
Topic(s):Business Administration
Economics
Statistics
Presentation Type: Oral Paper
Session: 32-3
Location: VH 1416
Time: 1:45