Research on the Relationship between Ownership Structure and Enterprise R&D Investment-based on Capital Asset Pricing Model Taking the Information Technology Industry as an Example

The goal of this article is to analyse the relationship between rental income and capitalisation rates when real estate value is assessed in parishes of the Lisbon and Porto municipalities. Based on housing market values in euros per square metre during the 2006-2009 period, the income approach was used to compare the two main types of apartments (i.e. B2, or two-bedroom, and B1, or one-bedroom) in Lisbon and Porto. We used the capital asset pricing model to calculate the risk measure. The cluster analysis was used to group the Lisbon and Porto parishes according to their rental income and capitalisation rates. Regressions were used to model both geographical markets. Clear differences were found between Porto and Lisbon, the results being more robust for the Porto municipality in regard to B2 apartments. Moreover, rental income is inversely proportional to capitalisation rates for B1 apartments for Porto parishes, which means that there is an initial overinvestment.

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The Relationship between Systematic Risk and Stock Returns in Tehran Stock Exchange Using the Capital Asset Pricing Model (CAPM)

International Letters of Social and Humanistic Sciences ◽

10.18052/www.scipress.com/ilshs.21.26 ◽

2014 ◽

Vol 21 ◽

pp. 26-35

Author(s):

Mohsen Mehrara ◽

Zabihallah Falahati ◽

Nazi Heydari Zahiri

Keyword(s):

Asset Pricing ◽

Stock Returns ◽

Stock Exchange ◽

Systematic Risk ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model ◽

The Relationship

One of the most important issues in the capital market is awareness of the level Risk of Companies, especially “systemic risk (unavoidable risk)” that could affect stock returns, and can play a significant role in decision-making. The present study examines the relationship between stock returns and systematic risk based on capital asset pricing model (CAPM) in Tehran Stock Exchange. The sample search includes panel data for 50 top companies of Tehran Stock Exchange over a five year period from 1387 to 1392. The results show that the relationship between systematic risk and stock returns are statistically significant. Moreover, the nonlinear (quadratic) function outperforms the linear one explaining the relationship between systematic risk and stock returns. It means that the assumption of linearity between systematic risk and stock returns is rejected in the Tehran Stock Exchange. So we can say that the capital asset pricing model in the sample is rejected and doesn’t exist linear relationship between systematic risk and stock returns in the sample.

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The Estimation and Empirical Analysis of CAPM with Errors-in-Variables Problem

Applied Mechanics and Materials ◽

10.4028/www.scientific.net/amm.170-173.675 ◽

2012 ◽

Vol 170-173 ◽

pp. 675-678

Author(s):

Qiang Liu

Keyword(s):

Asset Pricing ◽

Empirical Analysis ◽

Measurement Errors ◽

Estimation Method ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model ◽

The Relationship

In many fields such as scientific experiment, economic analysis, etc, the exact measurement of the variables is difficult to obtain owing to the effects of various kinds of factors. In the application of economics, the relationship between the variables is too complex. The problem of dealing with the observed variables with measurement errors has been a vexing problem. In this paper, the estimation method of the capital asset pricing model with measurement errors is given, which effectively solves the problem that variables can not be observed precisely in the capital asset pricing model. The empirical analysis is presented.

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Analysis of the Relationship of Risk and Return Using the Capital Asset Pricing Model (CAPM) Method at Kompas 100 for the 2015-2019 Period

International Journal of Science and Society ◽

10.54783/ijsoc.v2i2.309 ◽

2020 ◽

Vol 2 (2) ◽

pp. 383-393

Author(s):

Andini Nurwulandari

Keyword(s):

Asset Pricing ◽

Stock Price ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Expected Return ◽

Risk And Return ◽

Asset Pricing Model ◽

The Relationship

This research aimed to investigate the relationship between risk and return on Kompas 100 shares using the Capital Asset Pricing Model (CAPM) approach from 2015 to 2019. The sample amounted to 52 companies registered in Kompas 100. This study used a quantitative approach. The data used includes the closing price of shares and the Composite Stock Price Index (IHSG) for 4 years (1 January 2015 - 31 December 2019) and the risk-free rate, which is calculated using the interest rate on Bank Indonesia Certificates ( SBI) issued by the Bank Indonesia. The results of testing the relationship with the simple correlation coefficient of CAPM calculation, Beta, and CAPM predicted return has a significant positive relationship. If beta increases, the expected return will increase, and vice versa. If Beta goes down, the expected return will go down. Of the 52 sample companies, 33 companies deserve to be used as investment destinations and purchase their shares.

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Two-Pass Model of CAPM: Evidence from Pakistan Stock Exchange

Journal of Business Strategies ◽

10.29270/jbs.12.2(2018).093 ◽

2020 ◽

Vol 12 (2) ◽

pp. 125-144

Author(s):

Ruqia Shaikh ◽

Sarfaraz Ahmed Shaikh ◽

Muhammad Usman

Keyword(s):

Asset Pricing ◽

Stock Returns ◽

Stock Exchange ◽

Idiosyncratic Risk ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model ◽

The Relationship

This research study analyzes the variation in monthly returns of securities for companies listed in Pakistan Stock Exchange-PSX (Formerly known as KSE). The Capital Asset Pricing Model (CAPM) of SLB has provided a method for researchers and experts to forecast the risks and returns. The main purpose of CAPM is to estimate beta of security to explain how much security is aligned or sensitive with the movement or changes in the market return. The research is conducted by means of monthly market capitalization of companies; portfolios are formed and the role of idiosyncratic risk in explaining the variations in the stock returns have been studied. With the same portfolios, the relationship of risk and return relationship has also been analyzed. This empirical analysis is conducted for the period of May 2010 - April 2014. Data analysis reveal that the idiosyncratic risk is a significant factor in explaining the stock returns. Capital Asset Pricing model is rejected in this study context because of positive and significant intercept in all portfolios. The research findings strongly support Chan and Chui (1996) and Strong and Xu (1997), assertions that the relationship between beta and security returns is weak. Therefore, CAPM is an empirically anemic model to be used in the Pakistani market.

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