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Empirical Test Of Capital Asset Pricing Model On Selected Banking Shares From Borsa Istanbul
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Book Synopsis Empirical Test of Capital Asset Pricing Model on Selected Banking Shares from Borsa Istanbul by : Dr. Fuzuli Aliyev
Download or read book Empirical Test of Capital Asset Pricing Model on Selected Banking Shares from Borsa Istanbul written by Dr. Fuzuli Aliyev and published by . This book was released on 2018 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we tested Capital Asset Pricing Model (shortly CAPM hereafter) on the selected banking stocks of Borsa Istanbul. Here we tried to explain how to price financial assets based on their risks in the case of BIST-100 index. CAPM is an important model in the portfolio management theory used by economic agents for the selection of financial assets. We used 12 random banking stocks' monthly return data for 2001-2010 periods. To test the validity of the CAPM, we first derived the regression equation for the risk-free interest rate and risk premium relationship using January 2001-December 2009 data. Then, estimated January-December 2010 returns with the equation. Comparing forecasted return with the actual return, we concluded that the CAPM is valid for the portfolio consisting of the 12 banks traded in the ISE, ie. The model could predict the overall outcome of portfolio of selected banking shares.
Book Synopsis An Empirical Test of the "Capital Asset Pricing Modell" (CAPM) on Current Stock Data by : Lucas Ammelung
Download or read book An Empirical Test of the "Capital Asset Pricing Modell" (CAPM) on Current Stock Data written by Lucas Ammelung and published by . This book was released on 2020-12-30 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis An Empirical and Theoretical Analysis of Capital Asset Pricing Model by : Mohammad Sharifzadeh
Download or read book An Empirical and Theoretical Analysis of Capital Asset Pricing Model written by Mohammad Sharifzadeh and published by Universal-Publishers. This book was released on 2010-11-18 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis A New Model of Capital Asset Prices by : James W. Kolari
Download or read book A New Model of Capital Asset Prices written by James W. Kolari and published by Springer Nature. This book was released on 2021-03-01 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis 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 by : Wayne Alan Fairburn
Download or read book 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 published by . This book was released on 1975 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Capital Asset Pricing Model by : Fischer Black
Download or read book The Capital Asset Pricing Model written by Fischer Black and published by . This book was released on 1972 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing Capital Asset Pricing Model on KSE Stocks by : Salman Ahmed Ahmed Shaikh
Download or read book Testing Capital Asset Pricing Model on KSE Stocks written by Salman Ahmed Ahmed Shaikh and published by . This book was released on 2014 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Empirical Tests of the Capital Asset Pricing Model by : Ali Jahankhani
Download or read book Empirical Tests of the Capital Asset Pricing Model written by Ali Jahankhani and published by . This book was released on 1977 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Relative Performances of Asset Pricing Models for Bist 100 Index by : Emine Kaya
Download or read book Relative Performances of Asset Pricing Models for Bist 100 Index written by Emine Kaya and published by . This book was released on 2020 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this study is to evaluate the asset pricing models for Borsa Istanbul. Within this scope, we apply Capital Asset Pricing Model, Fama-French Three Factor Model, and Fama-French Five Factor Model. This study covers the firms listed in BIST 100 index between 2005-2017 years. The findings show that Fama-French Five Factor Model is the best performing model when we compare Capital Asset Pricing Model and Fama-French Three Factor Model. The regression estimations findings provide evidence that there are still the size and value premiums, but these premiums are not strong and the market premium is an important factor for Borsa Istanbul. In addition, there are strong investment patterns in the average returns and there is a profitability premium but not unambiguously strong in explaining the stock returns. On the other hand, the factor spanning tests prove that profitability is a non-redundant factor. Moreover, through the factor spanning tests, we can say that the value premium is a redundant factor and it does not improve the description of average return.
Book Synopsis Empirical Test of the Capital Asset Pricing Model and the Predictability of Business Cycles Using Financial Variables by : Janet Xiuqing He
Download or read book Empirical Test of the Capital Asset Pricing Model and the Predictability of Business Cycles Using Financial Variables written by Janet Xiuqing He and published by . This book was released on 1997 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Capital Asset Pricing Model by : Michael C. Jensen
Download or read book The Capital Asset Pricing Model written by Michael C. Jensen and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Comparable Approach to "the Theory of Efficient Markets" by : Oral Erdoğan
Download or read book Comparable Approach to "the Theory of Efficient Markets" written by Oral Erdoğan and published by . This book was released on 1996 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective in this study is to discuss the Effcient Markets Hypothesis (EMH) and present a different approach for the efficiency level. The model offered here, based on relativity, will measure any change in the efficiency level when a new fımı or sector starts trading in a capital market. For this purpose, some stock exchanges and the Istanbul Stock Exchange (ISE), the shipping fırms in the USA and the shipping fleet in Turkey are also considered in the empirical research. In the scope of the study; the basic concepts, theory and tests of efficient markets are discussed in detail. Here it is argued that the theory of capital market effciency will need to be modified, perhaps based on the fractal approach or a comparable approach. In the discussion of the EMH test models, we try to prove that sometimes the capital markets cannot respond to fair pricing because of the intemational characteristics of some industries. In particular, the maritime industry with its specific intemational market (freight market) is used as an example. A new approach to test the market effciency presented in Chapter 3 is called "the Relative Market Effciency Level Between Different Stock Markets". Although, this approach would not be a fundamental step for a finance theory, it is believed that it would reveal more clearly the real position of a market amongst the world markets. Finally we focus on the relationship between the effciency of capital markets and the financial development of the economic sectors. In order for a market to be effcient, it appears that a stock exchange should include as many sectors as possible. In Chapter 4, by using the "RMEL equation," the change at the effciency level is tried to be estimated when new firms' stocks start trading in a stock exchange. To support the hypothesis empirically, fırst the comparative efficiency levels of some capital markets are ranked according to the RMEL hypothesis. Then, importantly, a global regression model for maritime companies is obtained to estimate the expected retums for the Turkish maritime sector. However, we strongly recommend that not only this sector but also any sector should become involved in the capital markets for a fair pricing in economy. Finally, the detemıination of the impacts of a new sectors entrance to the market is stated.
Book Synopsis An Empirical Study of Capital Asset Pricing Model and Fama-French Three-Factor Model by : Soo Woo Choi
Download or read book An Empirical Study of Capital Asset Pricing Model and Fama-French Three-Factor Model written by Soo Woo Choi and published by . This book was released on 2017 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The thesis tests performances of Capital Asset Pricing Model and Fama-French Three-Factor Model. Through an empirical study on the US stocks from January 2000 to August 2017, the thesis demonstrates that Fama-French Three-Factor model performs better than Capital Asset Pricing Model.
Book Synopsis An Empirical Test of a Multiperiod Capital Asset Pricing Model by : Bruce K. Gouldey
Download or read book An Empirical Test of a Multiperiod Capital Asset Pricing Model written by Bruce K. Gouldey and published by . This book was released on 1900 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Portfolio Efficiency of Capital Asset Pricing Models by : Ralf Östermark
Download or read book Portfolio Efficiency of Capital Asset Pricing Models written by Ralf Östermark and published by . This book was released on 1990 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Investigation and Empirical Test of the Impact of Firm Size on Expected Returns Versus the Returns Predicted by the Capital Asset Pricing Model by : Norman R. Wight
Download or read book An Investigation and Empirical Test of the Impact of Firm Size on Expected Returns Versus the Returns Predicted by the Capital Asset Pricing Model written by Norman R. Wight and published by . This book was released on 1987 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Capital Asset Pricing Model Vs. the Arbitrage Pricing Theory by : Karim Saadallah Shalak
Download or read book The Capital Asset Pricing Model Vs. the Arbitrage Pricing Theory written by Karim Saadallah Shalak and published by . This book was released on 2007 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two of the most important and well known models for predicting equity returns ar e the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). This project will first examine and compare these two models theoretically fro m all aspects focusing on the strengths and weaknesses of each while taking into consideration past empirical work. In addition, this project will compare the empirical performance of the CAPM and the APT, specifically the Fama-French Thre e Factor Model, in predicting stock returns using stocks on the Dow Jones Indust rial Average. Using traditional measures such as the adjusted R-Squared, t-stat istic, and Wald test, no model was found to be superior to the other. As a resu lt, the Hansen-Jagannathan Distance test was used as a second resort. This test shows that the CAPM is actually superior to the APT. Chapter I will introduce both models and their implications. Chapter II and III will focus on the CAPM and APT respectively describing all their aspects includ ing evolution, strengths, weaknesses and past empirical applications. Chapter I V will comprise of an empirical study comparing both models to see which one doe s a better job in predicting equity returns. Chapter V will conclude the projec t with certain policy implications.
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