Paper Analysis of the Capital Asset Pricing Model
The study offers evidence about the validity of applying modern portfolio theory and capital asset pricing models to the emerging stock market of Egypt. The results indicate that asset pricing models predictions in Egypt are in line with those in the major developed and emerging markets.
The critical factor in our opinion is to choose the study sample carefully so that it includes only actively traded stocks. The results indicate that market risk as measured by beta and preference for skewness seem to play a significant role in the returns dynamics in the Egyptian stock market.
There is a significant and positive premium for companies with positive skewness. The negative risk premium is in line with that observed in the major markets in the turbulent year of 2002.
Two explanations have been put forward to explain why investors continue to hold stocks even when the expected risk premium is negative, which are behavioral finance and value investors.
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3. An analysis of the CAPM…pdf
Source : IIUM International Accounting Conference III (INTAC III)Islam and Accounting : towards enhancing accountability, governance and performance 26-28 june, Pan Pacific Hotel, Kuala Lumpur, Malaysia
Tags: "robert dubois" "modern portfolio", accounting conference, asset pricing, behavioral finance, capital asset, contoh makalah, egyptian stock market, emerging stock market, hotel kuala lumpur, hotel kuala lumpur malaysia, intac, international accounting, kuala lumpur malaysia, Makalah, market risk, modern portfolio theory, pan pacific hotel, pan pacific hotel kuala lumpur, pdf source, pricing models, risk premium, turbulent year, value investors
