Name: Capital Asset Pricing Models (en Inglés)
SKU: 57377295
Price: 80.70 USD
Availability: InStock
Author: Mohamed Riyath, Mohomed Ismail
ISBN: 9786200314345

portada Capital Asset Pricing Models (en Inglés)

Capital Asset Pricing Models (en Inglés)

Formato

Libro Físico

Autor

Mohomed Ismail Mohamed Riyath

Editorial

LAP Lambert Academic Publishing

Idioma

Inglés

N° páginas

156

Encuadernación

Tapa Blanda

Dimensiones

22.9x15.2x0.9 cm

Peso

0.24 kg.

ISBN13

9786200314345

Categorías

Gestión y técnicas de gestión

Capital Asset Pricing Models (en Inglés)

Mohomed Ismail Mohamed Riyath (Autor) · LAP Lambert Academic Publishing · Tapa Blanda

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Reseña del libro "Capital Asset Pricing Models (en Inglés)"

This study intends to identify the better model in explaining variations of average stock returns of listed companies in the CSE when time series and cross sectional regressions are employed. The sample consists of all stocks listed in the main board of the CSE except Bank, Finance and Insurance Sector during the period from 1997 to 2014. The methodology used to form factor mimicking portfolios to estimate risk factors and portfolio returns is similar to the methodology of Fama and French 1993 and 2012 and to test the performance of asset pricing models Fama and MacBeth (1973) two step procedure is employed. The GRS F-test reveals that the Capital Asset Pricing Model (CAPM) is a poor model whereas the Fama and French (1993) Three Factor Model (FF3FM) and Carhart (1997) Four Factor Model (C4FM) are better models in explaining the cross sectional variations of stock returns of the listed companies in the CSE when time series regressions are employed. Fama-Macbeth t-test reveals that the C4FM is the only valid model in the size-BM sorted portfolios, The C4FM is found to be a superior model and performs better than FF3FM, Reward Beta Model (RBM) and CAPM.