scholarly journals Validity of CAPM by Using Portfolios: Evidence from Indian Capital Market

2018 ◽  
Vol 2 (2) ◽  
pp. 15-25
Author(s):  
K.M. Yaseer ◽  
K.P. Shaji
Keyword(s):  
Asset Pricing ◽  
Capital Market ◽  
Conclusive Evidence ◽  
Expected Returns ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Daily Data ◽  
Capm Model

This article tests the validity of Capital Asset pricing Model and compares the results of 16 periods including 14 sub periods which comprises 3 years each for the prediction of the expected returns in the Indian capital Market. The tests were conducted on portfolios having different security combinations. By using Black Jenson and Scholes methodology (1972) the study tested the validity of the model for the whole and different sub periods. The study used daily data of the BSE 100 index for the period from January 2001 to December 2010. Empirical results mostly in favor of the standard CAPM model. However, the result does not find conclusive evidence in support 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 Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas

2020 ◽  
Vol 66 (6) ◽  
pp. 2474-2494 ◽  
Author(s):  
Fabian Hollstein ◽  
Marcel Prokopczuk ◽  
Chardin Wese Simen
Keyword(s):  
Asset Pricing ◽  
High Frequency ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Cross Sectional ◽  
Conditional Capm ◽  
Asset Pricing Model ◽  
Daily Data

When using high-frequency data, the conditional capital asset pricing model (CAPM) can explain asset-pricing anomalies. Using conditional betas based on daily data, the model works reasonably well for a recent sample period. However, it fails to explain the size anomaly as well as three out of six of the anomaly component excess returns. Using high-frequency betas, the conditional CAPM is able to explain the size, value, and momentum anomalies. We further show that high-frequency betas provide more accurate predictions of future betas than those based on daily data. This result holds for both the time-series and the cross-sectional dimensions. This paper was accepted by Karl Diether, finance.

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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