Testing Capital Asset Pricing Model On Kse Stocks
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Testing Capital Asset Pricing Model On Kse Stocks
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Author : Salman Ahmed Ahmed Shaikh
language : en
Publisher:
Release Date : 2014
Testing Capital Asset Pricing Model On Kse Stocks written by Salman Ahmed Ahmed Shaikh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Capital Asset Pricing Model (CAPM) is one of the first asset pricing models to be applied in security valuation. It has had its share of criticism, both empirical and theoretical; however, with its intuitive appeal and simplicity, it has established itself as a useful tool used in practice. One of the most important implications of the model is that the expected stock returns are determined by their corresponding level of systematic risk and not the unsystematic risk. We test the CAPM on 30 stocks traded at Karachi Stock Exchange (KSE) using the Sharpe-Lintner (1965) approach. The evidence does not validate standard CAPM model.
Test Of Multi Moment Capital Asset Pricing Model
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Author : Attiya Y. Javid
language : en
Publisher:
Release Date : 2008
Test Of Multi Moment Capital Asset Pricing Model written by Attiya Y. Javid and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Capital assets pricing model categories.
Comparative Testing Of Capital Asset Pricing Model Capm And Shari A Compliant Asset Pricing Model Scapm
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Author : Abubakar Javaid Dar
language : en
Publisher:
Release Date : 2018
Comparative Testing Of Capital Asset Pricing Model Capm And Shari A Compliant Asset Pricing Model Scapm written by Abubakar Javaid Dar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
CAPM is most widely used economic model for pricing of securities, although criticized on different basis and alternative CAPM's were developed in the hope of better explanatory power. Islamic finance has shown remarkable performance and growth in first decade of 21st century. In order to increase liquidity Islamic finance practitioners have entered in stock market and Islamic indexes operate worldwide. Risk free return is not accepted in Islamic financial literature hence traditional CAPM is not suitable for security valuation for Sharia compliant investments. Hanif (2011) presented a Sharia compliant asset pricing model (SCAPM) for valuation of Sharia compliant securities. The purpose of this study is to test the CAPM and SCAPM comparatively on KSE-100 to document the results and present findings as which of the model explain more variation in stock returns. Study period covers nine years (Jul 2001- Jun 2010). For calculation of returns historical prices of securities and market index is used. Portfolio technique (based on market capitalization) was used for analysis and results obtained through OLS. Findings of the study are very interesting to researchers as well. No significant results found in higher and lower capitalization portfolios under any of the model, however results were statistically significant for middle capitalization portfolio and explanatory power of SCAPM was better than CAPM.
A New Model Of Capital Asset Prices
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Author : James W. Kolari
language : en
Publisher: Springer Nature
Release Date : 2021-03-01
A New Model Of Capital Asset Prices written by James W. Kolari and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-03-01 with Business & Economics categories.
This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests using US stock returns. The ZCAPM is derived from Fischer Black’s well-known zero-beta CAPM, itself a more general form of the famous capital asset pricing model (CAPM) by 1990 Nobel Laureate William Sharpe and others. It is widely accepted that the CAPM has failed in its theoretical relation between market beta risk and average stock returns, as numerous studies have shown that it does not work in the real world with empirical stock return data. The upshot of the CAPM’s failure is that many new factors have been proposed by researchers. However, the number of factors proposed by authors has steadily increased into the hundreds over the past three decades. This new ZCAPM is a path-breaking asset pricing model that is shown to outperform popular models currently in practice in finance across different test assets and time periods. Since asset pricing is central to the field of finance, it can be broadly employed across many areas, including investment analysis, cost of equity analyses, valuation, corporate decision making, pension portfolio management, etc. The ZCAPM represents a revolution in finance that proves the CAPM as conceived by Sharpe and others is alive and well in a new form, and will certainly be of interest to academics, researchers, students, and professionals of finance, investing, and economics.
An Empirical And Theoretical Analysis Of Capital Asset Pricing Model
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Author : Mohammad Sharifzadeh
language : en
Publisher: Universal-Publishers
Release Date : 2010-11-18
An Empirical And Theoretical Analysis Of Capital Asset Pricing Model written by Mohammad Sharifzadeh and has been published by Universal-Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11-18 with categories.
The problem addressed in this dissertation research was the inability of the single-factor capital asset pricing model (CAPM) to identify relevant risk factors that investors consider in forming their return expectations for investing in individual stocks. Identifying the appropriate risk factors is important for investment decision making and is pertinent to the formation of stocks' prices in the stock market. Therefore, the purpose of this study was to examine theoretical and empirical validity of the CAPM and to develop and test a multifactor model to address and resolve the empirical shortcomings of the single-factor CAPM. To verify the empirical validity of the standard CAPM and of the multifactor model, five hypotheses were developed and tested against historical monthly data for U.S. public companies. Testing the CAPM hypothesis revealed that the explanatory power of the overall stock market rate of return in explaining individual stock's expected rates of return is very weak, suggesting the existence of other risk factors. Testing of the other hypotheses verified that the implied volatility of the overall market as a systematic risk factor and the companies' size and financial leverage as nonsystematic risk factors are important in determining stock's expected returns and investors should consider these factors in their investment decisions. The findings of this research have important implications for social change. The outcome of this study can change the way individual and institutional investors as well as corporations make investment decisions and thus change the equilibrium prices in the stock market. These changes in turn could lead to significant changes in the resource allocation in the economy, in the economy's production capacity and production composition, and in the employment structure of the society.
Application Of Capital Asset Pricing Capm And Arbitrage Pricing Theory Apt Models In Athens Exchange Stock Market
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Author : Eleftherios Giovanis
language : en
Publisher: GRIN Verlag
Release Date : 2010-03-26
Application Of Capital Asset Pricing Capm And Arbitrage Pricing Theory Apt Models In Athens Exchange Stock Market written by Eleftherios Giovanis and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-26 with Business & Economics categories.
Seminar paper from the year 2007 in the subject Business economics - Investment and Finance, grade: 90.0%, , language: English, abstract: This paper examines the estimating and forecasting performance of the different and various Generalized Autoregressive Conditional Heteroscedasticity-GARCH’s models in relation to Capital Asste Pricing Model (CAPM) model. We apply the CAPM model with ordinary least squares (OLS) method to investigate if an ARCH (Autoregressive Conditional Heteroscedasticity) is presented and we are trying to decide and to analyze which GARCH model is the most appropriate and the best fitted for the financial time series that we have chosen. We apply CAPM model in the financial time series of the share prices of Technology-Software Sector in Athens Exchange stock market for the period January 1st of 2002 to October 30th of 2007 for the enterprises “Unibrain” “MLS Informatics” and “Dionic” respectively , from April 2nd of 2002 to 30th October of 2007 for the enterprise “Compucon”, from August 2nd of 2002 to 30th October of 2007 for the enterprise “Centric”, and finally from February 2nd of 2004 to 30th October of 2007 for the enterprise “Ilyda”. Additionally, we apply roiling regressions, where the full programming routines in EVIEWS and MATLAB are described detailed. We conclude that the slope β coefficient of CAPM model is not constant through the time period of rolling regressions we apply. In the final part we examine a simple Arbitrage Pricing Theory (APT) model.
The Capital Asset Pricing Model Tests Of Portfolios Selected From Stocks With Poor Past Performance And An Investigation Of The Acility Sic Of Discriminant Analysis To Differentiate Performance
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Author : Wayne Alan Fairburn
language : en
Publisher:
Release Date : 1975
The Capital Asset Pricing Model Tests Of Portfolios Selected From Stocks With Poor Past Performance And An Investigation Of The Acility Sic Of Discriminant Analysis To Differentiate Performance written by Wayne Alan Fairburn and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1975 with Stock price forecasting categories.
An Empirical Test Of The Capital Asset Pricing Modell Capm On Current Stock Data
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Author : Lucas Ammelung
language : en
Publisher:
Release Date : 2020-12-30
An Empirical Test Of The Capital Asset Pricing Modell Capm On Current Stock Data written by Lucas Ammelung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-12-30 with categories.
Bachelor Thesis from the year 2020 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, Munich University of Applied Sciences, language: English, abstract: The goal of this study is thus to determine the best available asset pricing model in Germany and whether the use of pre-existing datasets, with the factors already calculated, brings results as accurate as a custom dataset. This is relevant in Germany as the CAPM is still the most commonly used way to compute the cost of equity with 34% of companies using it. Another 16% of companies are using asset pricing models with additional risk factors. To determine the answer to this, this study will look into the aforementioned three most commonly used models: the CAPM, the Fama and French three-factor model and the Carhart four-factor model. After explaining the background and functioning of the CAPM, this study will show the flaws within the model and how these flaws led to extensions of the CAPM. Each model will then be statistically analyzed with three distinct sets of data. Two of these are publicly available, while the last has been calculated for this study. Lastly, to understand how the difference in data used can influence the results from asset pricing models, the runtime and underlying factor of datasets will be modified, re-analyzed and compared to the initial results.
Limitations Of The Capital Asset Pricing Model Capm
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Author : Manuel Kürschner
language : en
Publisher: GRIN Verlag
Release Date : 2008-07
Limitations Of The Capital Asset Pricing Model Capm written by Manuel Kürschner and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-07 with Business & Economics categories.
Research Paper (undergraduate) from the year 2008 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, University of Cooperative Education, 31 entries in the bibliography, language: English, abstract: The objective of this paper is to give an overview of the most important movements of the complex area of asset pricing. This will be tried by logically structuring and building up the topic from its origins, the Capital Asset Pricing Model, and then over its main points of critique, in order to arrive at the different options developed by financial science that try to resolve those problematic aspects. Due to the complexity of this subject and the limited scope of this paper, obviously it will not be possible to discuss each model or movement in depth. Coherently, the aim is to point out the main thoughts of each aspect discussed. For further information, especially concerning the deeper mathematical backgrounds and derivations of the models, the author would like to refer the reader to the books mentioned in this paper. Many of those works, finance journal publications and the literature on asset pricing in general, set their focus on different parts of this paper, which again underlines the complexity in terms of scientific scope and intellectual and mathematical intricacy of this topic.
Testing The Three Moment Capital Asset Pricing Model On Singapore Stock
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Author : Sophia Chay Gek Tan
language : en
Publisher:
Release Date : 1988
Testing The Three Moment Capital Asset Pricing Model On Singapore Stock written by Sophia Chay Gek Tan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Capital assets pricing model categories.
