Oke (2013) applied the **Capital** **Asset** **Pricing** **Model** (**CAPM**) to the Nigerian stock market using weekly stock returns from 110 companies listed on the Nigerian stock exchange (NSE) from January 2007 to February 2010. The study undermines the CAPM’s predictions that higher risk (beta) is associated with a higher level of return and that the intercept should be equal to zero when estimating SML. The claim by the **CAPM** that the slope of the Security Market Line (SML) should equal the excess return on the market portfolio is also not supported by this study. This in effect, invalidates the prediction of the **CAPM** as far as Nigeria is concerned. Similarly, Adedokun and Olakojo (2012) investigated the empirical validity of **CAPM** in the Nigerian Stock Exchange (NSE) using monthly stock values of 16 firms from the 20 most capitalised firms in Nigeria between the period of January, 2000 and December, 2009. The empirical findings indicate that **CAPM** is inadequate to explain the role of **asset** risk for the determination of expected return on investment in Nigeria’s equity market. They established contrary to the hypothesis of the **CAPM** that higher risk is associated with higher **asset** return and **asset** price.

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The focus of this paper is the **capital** **asset** **pricing** **model** (**CAPM**), with a specific emphasis on two of its main components, namely the risk-free rate and beta. The aim of this research paper is to know individual security returns and the risk-return relationship. Additional objective of the study is to know whether securities are underpriced or overpriced. The data that used in this research paper is the daily closing prices of 50 companies listed on the National Stock Exchange (NSE) which comprise the Nifty Index would be considered for the period July 2012 to June 2014. For to achieve those objectives this **model** i.e. **Asset** **pricing**, **CAPM** and single-factor has been used. The result shows that ACC ltd, Ambuja Cement Ltd, Bharti Airtel Ltd, IDFC Ltd, NTPC Ltd, and TATA Power Co.Ltd securities which continuously overvalued While Axis Bank Ltd., HCL Technologies Ltd., Housing Development Finance Corporation Ltd., Lupin Ltd., Mahindra & Mahindra Ltd., Maruti Suzuki India Ltd., Tata Consultancy Services Ltd.,Tata Motors Ltd., Tech Mahindra Ltd. And UltraTech Cement Ltd. securities which continuously Undervalued because estimated return are Higher than its theoretical or expected return. This paper would be of considerable relevance and useful to the various investors in selection of stocks for their portfolios.

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We test the empirical validity of the **capital** **asset** **pricing** **model** (**CAPM**) on the Zimbabwe Stock Exchange (ZSE) using cross-sectional stock returns on 31 stocks listed on the ZSE between March 2009 and February 2014. We conclude that, although the explanatory power of beta tends to fall rapidly for prediction horizons >6 months, beta significantly explains average monthly stock returns on the ZSE. Tests to validate the **CAPM** reject its validity for the ZSE however, primarily due to liquidity and skewness anomalies. We nevertheless fail to detect any size effects. There is encouraging evidence to suggest that the **CAPM** performs reasonably well in predicting average monthly returns over prediction horizons of between 3 and 6 months. We recommend that investors and analysts must exercise extreme caution in applying the **CAPM**. Furthermore, we discourage strategies based on the existence of a size premium on the ZSE. Instead, investors may consider neglected and negatively skewed stocks, albeit over appropriate horizons. Further research on other African Stock Markets will help verify if the optimal performance range of the **CAPM** is indeed 3-6 months. Development of standard continental proxy market portfolios will also improve the estimation of betas and enhance results of cross-country tests of the **CAPM**.

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nvestments can be made both on real and financial assets. One of investment types in financial assets is investing in stocks. Stock is a form of the company ownership. Investment is related to the return and risk of an **asset**. The investor requires the capability to estimate the rate of return to assist in stock selection. In determining the expected rate of return, there are two estimation models that can be used: **Capital** **Asset** **Pricing** **Model** (**CAPM**) and Arbitrage **Pricing** **Model** (APT).

The present study examines the **Capital** **Asset** **Pricing** **Model** (**CAPM**) for the Indian stock market using monthly stock returns from 278 companies of BSE 500 Index listed on the Bombay stock exchange for the period of January 1996 to December 2009. The findings of this study are not substantiating the theory’s basic result that higher risk (beta) is associated with higher levels of return. The **model** does explain, however, excess returns and thus lends support to the linear structure of the **CAPM** equation. The theory’s prediction for the intercept is that it should equal zero and the slope should equal the excess returns on the market portfolio. The results of the study lead to negate the above hypotheses and offer evidence against the **CAPM**. The tests conducted to examine the nonlinearity of the relationship between return and betas bolster the hypothesis that the expected return-beta relationship is linear. Additionally, this study investigates whether the **CAPM** adequately captures all-important determinants of returns including the residual variance of stocks. The results exhibit that residual risk has no effect on the expected returns of portfolios.

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The **Capital** **Asset** **Pricing** **Model** (**CAPM**) is a theory credited to Sharpe (1964) and Lintner (1965) and was grounded on the work of Markowitz (1952, 1959), which dealt with portfolio theory and portfolio diversification theory (Fama and French, 2004). It explained the relationship between market risk and the expected return on a particular **asset**. An in depth analysis of the basic linear regression **CAPM** is provided in Supplemental File 1. The purpose of this study is to analyze the **CAPM** and to try and move from the basic linear regression **model** of the **CAPM** to a multiple linear regression **model** of the **CAPM**. The response variable and explanatory variable in the basic linear regression **model**, **CAPM**, is the return on an **asset** and the return on the market respectively. Following the mathematical derivation of **CAPM** (Supplemental File 1), we further derive the **model** for a specific stock (Supplemental File 2), Apple Inc., and attempt to find other explanatory variables that may be added to a multiple linear regression **model** of the **CAPM**. We then proceed to check for collinearity and include interaction terms in the multiple linear regression **model** as well as conduct a residual analysis on the multiple linear regression **model**. We conclude with robustness testing (Supplemental File 3), in which other stocks are used during the same time period and sectional robustness testing by reducing the amount of data points tested for Apple Inc. stock.

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Finance theory predicts that risk adjusted returns from all stocks must be equal to each other. The starting point for thinking about the relationship between risk and return is the **Capital** **Asset** **Pricing** **Model** (**CAPM**) developed in Sharpe (1964), and Lintner (1965). **CAPM** proposes that beta is the sole measure of priced risk. If **CAPM** is correct then the beta-adjusted returns from all stocks must be equal to each other. A large body of empirical evidence shows that beta-adjusted stock returns are not equal but vary systematically with factors such as “size” and “value”. Size premium means that small-cap stocks tend to earn higher beta-adjusted returns than large-cap stocks. 3 Value premium means that value stocks tend to outperform growth stocks. 4 Value

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In this section, a numerical example is presented, which considers the implications of ACAMP and **CAPM** when there is one leader firm and three normal firms of similar size in the market. It is shown that under **CAPM**, beta-adjusted excess returns of all four firms are equal to each other, whereas, under ACAPM beta-adjusted excess returns are larger for normal firms when compared with the leader firm. The three normal firms, although of similar size (similar expected payoffs and market capitalizations) vary in one crucial way. Their payoff variances are different with S1 having the highest payoff variance, followed by S2, and then by S3. We will see that, in line with the value premium, less volatile payoffs lead to higher beta-adjusted excess returns among similar size firms.

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This paper examines the risk and return profiles of energy companies with renewable energy (RE) investment in developing countries taking the Philippines as our country case study. First, we analyze the impact of the global RE project specific risk and country risk on RE projects using a simple **capital** **asset** **pricing** **model** (**CAPM**) by benchmarking stock returns of these companies to either the global S&P (S&PGCE) index or to the local Philippine Stocks Exchange (PSE) index. Our findings show that on short- and mid- to long term investment interval, a “pure” RE company, the Energy Development Corporation (EDC), is affected by both these risks examined, while those with partial investment in renewables are affected only on the short-term. Next, we calculated these companies’ abnormal returns by using the Jensen’s alpha. Results show that EDC's alpha values are positive on all short- and medium-to-long term investments and on both indices, suggesting that Philippine RE companies are possibly underestimated on both the global RE market and the Philippine stock market. Lastly, we examined the latest Feed-in Tariff (FIT) level by using the beta results of EDC and the FIT structure of solar PV. Results show that the FIT rate generates profit to both the global and local RE companies’ risk and returns from the investors’ perspective, but is higher than the desired FIT rate from the policymakers’ perspective. This paper aids in investment decision-making by showing that differences in investment timeframes and RE shares could impact investment outcomes in developing countries.

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To force the portfolio to the efficient frontier [9] added a risk-free **asset** to the analysis and hence bringing up the concept of super-efficient portfolio and the **capital** market line. The **capital** **asset** **pricing** **model** (**CAPM**) makes strong assumptions that lead to interesting conclusions [10] Not only does the market portfolio sit on the efficient frontier, but it is actually Tobin's super-efficient portfolio [11] proposed a new portfolio optimization **model** using piecewise linear risk functions showing that their **model** can achieve the intention of Markowitz by solving a linear program instead of a difficult quadratic program and they emphasize on the use of LI risk (absolute deviation) **model** that leads to a linear program instead of a quadratic program, so that a large-scale optimization problem of more than 1,000 stocks may be solved on a real time basis. Various aspects of this phenomenon have been extensively studied in the literature on portfolio selection.

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Kemampuan untuk mengestimasi return suatu individual sekuritas merupakan hal yang sangat penting dan diperlukan oleh investor. Untuk dapat mengestimasi return suatu sekuritas dengan baik dan mudah diperlukan suatu **model** estimasi. Oleh karena itu kehadiran **Capital** **Asset** **Pricing** **Model** (**CAPM**) yang dapat digunakan untuk mengestimasi return suatu sekuritas dianggap sangat penting dibidang keuangan (Jogiyanto, 2003). **CAPM** merupakan **model** yang menghubungkan tingkat return harapan dari suatu aset berisiko dengan risiko dari aset tersebut pada kondisi pasar yang seimbang (Tandelilin, 2010). Persamaan **CAPM** terdiri atas dua unsur, yaitu tingkat bebas risiko dan portofolio pasar yang terdiversifikasi dengan baik. **CAPM** pertama kali dikenalkan oleh Sharpe, Lintner, dan Mossin pada pertengahan tahun 1960-an. **CAPM** didasari oleh teori portofoio Markowitz, masing-masing investor diasumsikan akan mendiversifikasikan portofolionya dan memilih portofolio yang optimal atas dasar preferensinya terhadap return dan risiko. Disamping asumsi itu, ada beberapa asumsi lain dalam **CAPM** yang dibuat untuk menyederhanakan realitas yang ada, sebagai berikut:

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This paper examines the impact of illiquidity and liquidity risk on expected stock returns in the Turkish stock markets. Using daily data of the ISE-100 stock index from 2005 to 2012 and Amihud (2002) illiquidity measure, we test the liquidity-adjusted **capital** **asset** **pricing** **model** (L-**CAPM**) of Acharya and Pedersen (2005). Performing cross-sectional regression tests across test portfolios, we find supporting evidence that illiquidity is significantly and positively priced. Specifically, our results indicate that liquidity risk arising from the commonality in liquidity is the most important component of liquidity risk. The strong interrelationship between the market liquidity and the liquidity of individual stocks suggests that market-wide shocks on the Istanbul Stock Exchange might quickly affect every stock in this market. Hence, liquidity commonality might create a systemic risk in which case liquidity shocks can be perfectly correlated across all stocks.

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Purpose: There is extensive international evidence that contrarian strategy yields positive abnormal returns for long-term periods. However, this topic has received scarce attention in Pakistan. This research study in line with De Bondt and Thaler (1985) examines the winner-loser anomaly on Karachi Stock Exchange (KSE) using cumulative abnormal returns (CAR). Design/Methodology: To substantiate the purpose, this study has calculated cumulative abnormal returns (CAR) of each company listed on KSE for a period of 2000-2015 and constructed both the corresponding Equally Weighted and Value Weighted portfolios returns. To check the risk adjusted performance of these portfolios, a system-based estimation via the Generalized method of moments (GMM) with Newey-West standard errors corrected for heteroscedasticity and serial correlation is employed. Findings: This study reports significant evidence of Contrarian Investment strategies in KSE over the entire sample period. Results show that both Equally Weighted and Value Weighted portfolios formed on CAR generates abnormal returns of 9.89% and 3.64% per annum in the long run on KSE. Further a system of equations based on Generalized Methods of Moments (GMM) showed that **Capital** **Asset** **Pricing** **Model** (**CAPM**) is misspecified in case of KSE as it fails to explain the cross-sectional variation in portfolios returns based on contrarian investment strategies but 3-factor and 5-factor (Fama and French, 1996;2016) have explained their risk-adjusted abnormal return. Research Limitation/Implications: The study can be improvised by including other fundamentals and macroeconomic variables and determining their impact on contrarian investment strategies in different sectors and markets of Pakistan. Practical Implications: Policymakers and Investors need to take in to account contrarian investment strategies for evaluating **asset** returns. Contrarian Investment strategies are profitable in the long run on KSE and investors when taking their portfolio selection decisions can long the portfolios with lowest CAR value shares and short the higher CAR values portfolios. Originality/Value: The study aims to make the first attempt in investigating the risk adjusted performance of portfolios based on contrarian strategies by using not only **CAPM** but also 3-factor and 5-factor Fama and French (1996;2016) on Karachi Stock exchange.

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䌘 ѻ ᅮ Ӌ ⧚ 䆎 ⱘ থ ሩ Ё ˈ ↨ 䕗 ᳝ ᕅ ડ ⱘ ⧚ 䆎 ࣙ ᣀ 䌘 ᴀ 䌘 ѻ ᅮ Ӌ ൟ ˄ **Capital** **Asset** **Pricing** **Model** ˈৢ⬹Ў **CAPM** ˅ˈ༫߽ᅮӋ⧚䆎˄ Arbitrage **Pricing** Theory, ৢ⬹Ў APT ˅ˈ䎼ᳳ䌘ᴀ䌘ѻᅮӋൟ˄ Intertemporal **Capital** **Asset** **Pricing** **Model**, ৢ ⬹Ў ICAPM ˅ˈ⍜䌍䌘ᴀ䌘ѻᅮӋൟ˄ Consumption **Capital** **Asset** **Pricing** **Model**, ৢ⬹Ў CCAPM ˅ˈҹঞᳳᴗᅮӋ⧚䆎˄ Option **Pricing** Theory ˅Ǆ

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The Capital Asset Pricing Model (CAPM) predicts that the risk premium observed on financial markets for a specific risk profile should be proportional to its finan[r]

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Anchoring Adjusted **Capital** **Asset** **Pricing** **Model** by Siddiqi Hamid of the University of Queensland was published in the Munich RePEc Personal Archive in the year 2015. The aims to capture that by anchoring the **pricing** **model** of the top leading indexes and particular giant stocks. It will enable to determine the overall volatility in the market or for a particular segment. It enables us to set benchmark volatility as a value to enable to judge the volatility for other stocks and indices. It focuses on beta aspects of the **capm** (Hamid, 2015). Validating the **Capital** **Asset** **Pricing** **Model** at Irish Stock Exchange by Federica Saporito published in the year 2017 published in the trap paper. The methodology pursued, intending to clarify the linearity and positivity of the risk-return relationship, consists of a linear regression followed by a t-test of the intercept which showed a rejection of the **model** in all the three sub-periods, as the intercept was non-zero. However, despite the statistically non- significance of the **CAPM**, it emerged that during the crisis the co-movement risk-return is more evident and positive than in the other sub-periods which is pre and post-crisis. Hence, the results suggest that there is more than one factor which explains the **asset** returns and that the **Capital** **Asset** **Pricing** **Model**, itself is not a valid **model** in helping to predict the **asset** prices at Irish Stock Exchange (Saporito, 2017). The **capital** **asset** **pricing** **model** in real estate investment By S Locke was published in the year 1987 was published in the University of Tasmania Eprints Repository. The study aims to capture that like financial investments is assessed similarly the beta for the real estate investments does not apply because of the relatively is fluctuation in the prices of the real estate investments concerning

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Taking the decision for investing in different assets and contracting the portfolio investors and managers are guided by two major variables, expected return and risk that they can bear. However, there are also a number of financial theories and models which can be used in the investment decision making and the security trading process. The **Capital** **Asset** **Pricing** **Model** (**CAPM**) and the Arbitrage **Pricing** Theory (APT), as well as behavioural finance and yield curve models are the main ones which are applied in trading securities. Both the **CAPM** and the APT are used for portfolio construction, while behavioural finance studies the biases in human behaviour and serves as a background for the technical analysis in the investment decision making processes. The yield curve construction, in its turn, helps not only to make strategic investment decisions but also predict future economic conditions in general. Thus, the objective of the current study is to critically investigate the above mentioned theories and analyse their usefulness in security trading.

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It shows that i CAPM capital budgeting decision-making based on disequilibrium NPV is deductively inferred by the Capital Asset Pricing Model, ii the use of the disequilibrium NPV is wid[r]

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