تكلفة حقوق الملكية لشركات التأمين المدرجة بالبورصة السعودية : اقتراح نموذج قياسي باستخدام نماذج CAPM-GARCH

الملخص EN

This study tests the CAPM for measuring the cost of equity capital.

It analysis the heteroscedasticity problem in all insurance companies listed on the Saudi stock exchange during the period between 02/01/2012 to 13/11/2015.

We conclude that there is the ARCH effect in the residue of CAPM to all the companies studied; which the CAPM model indicates is not qualified to estimate the cost of equity capital, especially the period of higher volatility, and as such requires reliance on models (CAPM-GARCH) to estimate the cost of capital.