Examining the ability of capital asset pricing model and arbitrage pricing theory model in predicting expected returns for stocks trading in Amman stock exchange (ASE)
العناوين الأخرى
فحص قدرة نموذج تسعير الأصول الرأسمالية و نموذج المراجحة في تسعير الأصول الرأسمالية على التنبؤ بقيمة العوائد المتوقعة للأسهم المتداولة في بورصة عمان
مقدم أطروحة جامعية
مشرف أطروحة جامعية
أعضاء اللجنة
al-Fayyumi, Nidal Ahmad
al-Almi, wahib
al-Duri, Muayyad
الجامعة
جامعة عمان العربية
الكلية
كلية الأعمال
القسم الأكاديمي
قسم التمويل
دولة الجامعة
الأردن
الدرجة العلمية
دكتوراه
تاريخ الدرجة العلمية
2009
الملخص الإنجليزي
This study aimed to examine the ability of both, the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT) in predicting the expected returns for stocks trading in Amman Stock Exchange (ASE) during the period 2000 – 2007.
The study followed the two steps of regression approach to analyze data.
The first step includes the use of simple and multiple regression analysis to estimate the systematic risk premium (β), while in the second step of analysis, an estimate for the predictors, in the subsequent year obtained using beta estimates that resulted from first step of analysis as the explanatory variable in a cross-section regression analysis.
Also, this method has been used in previous academic studies.
The study used five years of monthly stock prices of sample which consists of 37 companies for testing CAPM.
In addition to that, the study depends on a priori approach of selecting factors through a macroeconomic variable to analyze APT model.
Accordingly, six factors were observed and used as independent factors.
They are Percentage Change in Money Supply (M2), the Change in Interstate, Trade Balance (TB), the Change in GDP, the change in Consumer Price Index (CPI or Rate of Inflation), and the Market Risk (Beta) which is also used in the first model (CAPM).
The empirical tests in this study found that both, CAPM, and APT are able to apply in Amman stock Exchange (ASE) during the period, and is considered a good tool of valuation assets return, cost of equity, and capital budgeting.
The single model of CAPM was able to predict on average, approximately 56.9% of the variations in asset returns for the overall sample period 2000 – 2007.
The tradeoff between average systematic risk "betas" and returns is positive and linear.
The APT model was able to predict on average approximately 77.4% of the changes in assets return for the overall sample period.
The tradeoff between average systematic risk "betas" and returns is positive and linear, and the intercept hypothesis in the regression equation represents the risk- free rate.
Also the study tested the performance of CAPM compared with APT, using "Davidson and MacKinnon Equation"; and found that (α) ranged from low of 0.769 up to 1.030 the results are heavily in favor of the APT in each sub-period as well as during the entire sample period.
Also, these results are consistent with findings obtained from cross-section analyses since the analyses indicate that the average coefficient of determination R², which indicates that APT, is able to explain in average approximately 77.4% of the variations in stocks returns in the market, while the ability of CAPM has less explanation power compared with APT and is able to explain nearly 56.4% in the variations of stock returns during the same period.
Finally, the study examined the systematic risk hypothesis "residuals" and concluded that the betas of the macroeconomic risk factors stated in this study are not the only risk measure which commands all risk premiums in the market, but there are other factors which are not included in this study; (foreign exchange rates, oil prices, correlation with global capital market and financial institution, and country risk) that may have a significant effect on determining asset returns and could explain the majority of variations in the asset prices process that could be an interesting topic for future research and investigation.
The study recommends the use of those models in estimating asset prices (returns) because they are considered one of the most important estimation methods in both emerging markets such as ASE as what this study proved, as well as in developed markets as what many previous studies proved
التخصصات الرئيسية
الموضوعات
عدد الصفحات
214
قائمة المحتويات
Table of contents.
Abstract.
Abstract in Arabic.
Chapter One : Introduction.
Chapter Two : Literature reviews and theoretical background.
Chapter Three : Methodology and procedures.
Chapter Four : Statistical analysis and hypotheses testing.
Chapter Five : Conclusions and recommendations.
References.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Abu Hammur, Khalil Hasan& Abu Salih, Muhammad. (2009). Examining the ability of capital asset pricing model and arbitrage pricing theory model in predicting expected returns for stocks trading in Amman stock exchange (ASE). (Doctoral dissertations Theses and Dissertations Master). Amman Arab University, Jordan
https://search.emarefa.net/detail/BIM-556535
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Abu Hammur, Khalil Hasan& Abu Salih, Muhammad. Examining the ability of capital asset pricing model and arbitrage pricing theory model in predicting expected returns for stocks trading in Amman stock exchange (ASE). (Doctoral dissertations Theses and Dissertations Master). Amman Arab University. (2009).
https://search.emarefa.net/detail/BIM-556535
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Abu Hammur, Khalil Hasan& Abu Salih, Muhammad. (2009). Examining the ability of capital asset pricing model and arbitrage pricing theory model in predicting expected returns for stocks trading in Amman stock exchange (ASE). (Doctoral dissertations Theses and Dissertations Master). Amman Arab University, Jordan
https://search.emarefa.net/detail/BIM-556535
لغة النص
الإنجليزية
نوع البيانات
رسائل جامعية
رقم السجل
BIM-556535
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر