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

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.

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

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.  

scholarly journals Capital Asset Pricing Model (CAPM) and the Douala Stock Exchange

2020 ◽  
Vol 11 (5) ◽  
pp. 191
Author(s):  
Amenawo Ikpa Offiong ◽  
Hodo Bassey Riman ◽  
Helen Walter Mboto ◽  
Eyo Itam Eyo ◽  
Diana Gembom Punah
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Stock Exchange ◽  
Least Square ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Asset Portfolio

This study examines if the Capital Asset Pricing Model (CAPM) can be applied to the Douala Stock Exchange. The study utilized monthly stock returns from the three companies listed on the Douala Stock Exchange (DSX), for the period 30th April 2009 to 31st August 2017. Ordinary Least Square regression analysis was adopted for the study to examine if individual stocks can predict a better stock beta. The Black, Jensen, and Scholes (1972) CAPM version were also examined in this study to assess the validity of the zero beta estimate. The result of the individual estimates could not establish the validity of the CAPM theory. Further analysis showed that the Beta for the three assets combined portfolio was not statistically significant. However, when two securities were combined into a single asset portfolio, the portfolio bêta was statistically significant. The significant result of the two asset portfolio confirms that Beta was a linear function of security returns in the DSX market. The study concludes that there will be a need for the government of Cameroun to liberalize the DSX market and allow more firms to be quoted on the floor of the exchange. This decision will allow for the deepening of the DSX market, enhance the liquidity level of the market, and enable investors to reap adequate returns from their investment through holding a portfolio of assets. 

scholarly journals THE IMPORTANCE OF INVESTMENT DECISIONS USING CAPITAL ASSET PRICING MODEL (CAPM) IN STOCK SECTOR TELECOMMUNICATION

2020 ◽  
Vol 18 (3) ◽  
pp. 387
Author(s):  
Pristiwantiyasih Pristiwantiyasih ◽  
Mochammad Ardi Setyawan
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Stock Exchange ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Security Market ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Telecommunications Sector

The purpose of this study is to analyze the overall performance of company shares in the telecommunications sector based on stock returns and risks, and determine the grouping and valuation of shares that are efficient and inefficient based on the Capital Asset Pricing Model (CAPM) method for companies in the telecommunications sector that listed on the Indonesia Stock Exchange (IDX) for the period 2015-2018. From the 4 shares of the research sample company, there were 3 shares that were considered efficient (undervalued). An undervalued stock is a stock that has an individual Return (Ri) greater than the expected rate of return [E (Ri)] and is above the Security Market Line (SML).

scholarly journals Testing the capital asset pricing model in the Italian market

2015 ◽  
Vol 12 (3) ◽  
pp. 40-47
Author(s):  
Carmine De Chiara ◽  
Giovanni Puopolo
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Stock Exchange ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Market Portfolio ◽  
Italian Market

In this paper we provide an empirical investigation of the classic Capital Asset Pricing Model (CAPM) on all firms listed in the Italian stock exchange at the monthly frequency. We intend to show that the CAPM, despite the heavy critical comments, still holds in the Italian market when returns are measured at the monthly frequency. Most importantly, our evidence indicates that the market portfolio fully explains the cross section of stock returns and there is no need to appeal for additional determinants. Our results have very important implications for long term investors who can forecast the expected excess stock returns by simply determining the B of the stock and the expected excess market return

scholarly journals Investment decision by using Capital Asset Method Pricing Model (CAPM) (Case studies on five automotive companies listed in stock exchange)

2021 ◽  
Vol 1 (2) ◽  
pp. 165-175
Author(s):  
Ahmad Musodik ◽  
Arrum Sari ◽  
Ida Nur Fitriani
Keyword(s):  
Asset Pricing ◽  
Automotive Industry ◽  
Stock Exchange ◽  
Investment Decision ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Expected Return ◽  
Asset Pricing Model

Investment is a tool for investors to get more profit than what has been invested. Investors must be able to predict the possibilities that occur when investing. Capital Asset Pricing Model is a tool to predict the development of investment in a particular company used to calculate and determine the Expected Return in minimizing risk investments. The authors conducted research using a sample of 5 companies in the automotive industry, namely PT Astra International Tbk, PT Indokordsa Tbk, PT Indomobil Sukses Internasional Tbk, PT Astra Otoparts Tbk, and PT Gajah Tunggal Tbk. This study uses a descriptive quantitative approach with Microsoft Excel 2016 analysis tools. This study aims to determine Portfolio Analysis with the Capital Asset Pricing Model (CAPM) approach which is used as the basis for making stock investment decisions in automotive industry sector companies listed on the Indonesia Stock Exchange. Use from the results of the analysis of the results by comparing the value of E(Ri) has a directly proportional relationship, meaning that the higher the value of, then the stock return (E(Ri)) will be high as well. Of the 5 companies, there are 2 companies that are in the Undervalued category and 3 companies that are in the overvalued category. This means that investors who will invest in companies engaged in the automotive industry can decide to buy shares of the companies PT Indomobil Sukses Internasional Tbk and PT Gajah Tunggal Tbk, because they are classified as undervalued. Meanwhile, investors who want to invest in shares are not advised to buy company shares that are in the overvalued category, but are advised to sell them to investors who already have shares in the company.

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