scholarly journals Empirical Validity of CAPM through Security Market Line and Non Linearity Tests: Indian Experience

2013 ◽  
Vol 1 (2) ◽  
pp. 236-244
Author(s):  
Lazar D ◽  
Yaseer K M
Keyword(s):  
Asset Pricing ◽  
Capital Market ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Security Market ◽  
Pricing Model ◽  
Capital Asset ◽  
Empirical Validity ◽  
Asset Pricing Model ◽  
Indian Experience

Capital Asset Pricing Model (CAPM) is one of the important talk factors in finance and it has been widely discussed and tested in different capital markets throughout the world.This study examines the validity of capital asset pricing model in Indian Capital Market by using the data of 70 companies listed in BSE 100 index The study used Black, Jensen and Scholes (1972) methodology and Fama Macbeth methodology (1973) to test the empirical validity of the model. The results showed linear relationship between beta and return, and also it showed weakness in explaining the various assumptions of CAPM.

scholarly journals PENGUKURAN KINERJA PORTOFOLIO OPTIMAL CAPITAL ASSET PRICING MODEL (CAPM) DAN ARBITRAGE PRICING THEORY (APT) (Studi Kasus : Saham-saham LQ45)

2018 ◽  
Vol 7 (4) ◽  
pp. 419-430 ◽  
Author(s):  
Dedi Baleo Pasaribu ◽  
Di Asih I Maruddani ◽  
Sugito Sugito
Keyword(s):  
Asset Pricing ◽  
Capital Market ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Capital Asset ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Pricing Theory

Investing is placing money or funds in the hope of obtaining additional or specific gains on the money or funds. The capital market is one place to invest in the financial field of interest to investor. This is because the capital market gives investor the freedom to choose securities traded in the capital market in accordance with the wishes of investor. Investor are included in risk averter, that means investor will always try to avoid risk. To avoid risk, investor try to diversify their investment. Diversification concept commonly used is portfolio. To maximize the return to be earned, the investor will invest his funds into several stocks in order to earn a greater profit. Capital Asset Pricing Model (CAPM) is a balance model that describes the relation of a risk with return more simply because it uses only one variable to describe the risk. Arbitrage Pricing Theory (APT) is a balance model that used many risk variables to see the relation of risk and return. With both models will be obtained a portfolio with each constituent stock is four stocks selected from 45 stocks in the LQ45 index. To find out which portfolio is the best performed a performance analysis using the Sharpe index. From the measurement result, it is found that the best portfolio is the CAPM portfolio with composite stock is PTBA with investment weight of 0.467%, BUMI with investment weight of 12.855%, ANTM with investment weight of 53.077% and PPRO with investment weight of 33.601%. Keywords: LQ45, portfolio, Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory                       (APT), Sharpe Index 

scholarly journals Verifying Capital Asset Pricing Model in Greek Capital Market

2015 ◽  
Vol 11 (16) ◽  
Author(s):  
Mansoor Maitah ◽  
Khurshid Khudoykulov ◽  
Kholnazar Amonov ◽  
Umar Burkhanov
Keyword(s):  
Asset Pricing ◽  
Capital Market ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model

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 Economic Premium Principles in Insurance and the Capital Asset Pricing Model

1987 ◽  
Vol 17 (2) ◽  
pp. 141-150 ◽  
Author(s):  
Heinz H. Müller
Keyword(s):  
Asset Pricing ◽  
Capital Market ◽  
Stock Exchange ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Insurance Company ◽  
Pricing Model ◽  
Capital Asset ◽  
Risk Premiums ◽  
Asset Pricing Model

AbstractAn insurance company is considered as an intermediary between policyholders and the capital market. By applying the traditional and the generalized version of the capital asset pricing model, a class of premium principles can be derived. This class is fully compatible with Bühlmann's economic premium principle. Moreover, insurance premiums can be directly related to risk premiums on the stock exchange.

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