Evaluating the validity of capm in the Egyptian stock market
Joint Authors
Source
Journal of Faculty of Commerce for Scientific Research
Issue
Vol. 52, Issue 1 (31 Jan. 2015), pp.73-90, 18 p.
Publisher
Alexandria University Faculty of Law
Publication Date
2015-01-31
Country of Publication
Egypt
No. of Pages
18
Main Subjects
Economics & Business Administration
Abstract EN
Measuring stocks’ expected return and determining the factors that affect this return are the main concerns of market practitioners and academic scientists.
The most famous and simplest model that is used to calculate expected return for securities under risk is; Capital Asset Pricing Model (CAPM).
The purpose of this study is to test the validity of CAPM in the Egyptian Stock Market for the period from June 2005 to June 2013 using portfolios instead of individual stock, to determine whether beta is a sufficient measure of risk according to CAPM.
The study found that CAPM didn’t hold in the Egyptian market, as beta was found to be not the only source of risk, also it was found that the intercept of CAPM was not equal to the risk free rate available in the Egyptian market.
However the results confirmed the existence of positive linear relationship between risk and return.
American Psychological Association (APA)
Saqr, Ahmad& Saweris, Silvia. 2015. Evaluating the validity of capm in the Egyptian stock market. Journal of Faculty of Commerce for Scientific Research،Vol. 52, no. 1, pp.73-90.
https://search.emarefa.net/detail/BIM-826807
Modern Language Association (MLA)
Saqr, Ahmad& Saweris, Silvia. Evaluating the validity of capm in the Egyptian stock market. Journal of Faculty of Commerce for Scientific Research Vol. 52, no. 1 (Jan. 2015), pp.73-90.
https://search.emarefa.net/detail/BIM-826807
American Medical Association (AMA)
Saqr, Ahmad& Saweris, Silvia. Evaluating the validity of capm in the Egyptian stock market. Journal of Faculty of Commerce for Scientific Research. 2015. Vol. 52, no. 1, pp.73-90.
https://search.emarefa.net/detail/BIM-826807
Data Type
Journal Articles
Language
English
Notes
Record ID
BIM-826807