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  • 标题:Empirical Testing of Capital Asset Pricing Model on Bahrain Bourse
  • 本地全文:下载
  • 作者:Iqbal Thonse Hawaldar
  • 期刊名称:Asian Journal of Finance & Accounting
  • 印刷版ISSN:1946-052X
  • 出版年度:2015
  • 卷号:7
  • 期号:2
  • 页码:107-119
  • DOI:10.5296/ajfa.v7i2.8356
  • 语种:English
  • 出版社:Macrothink Institute
  • 摘要:The study is undertaken to find out the relationship between portfolio returns and market returns and test the empirical validity of the standard CAPM model on Bahrain Bourse. The study is based on 39 companies listed in the Bahrain Bourse, Bahrain All Share Index as market proxy and yield of Government of Bahrain securities as risk free rate of return. The study covers period from January 1, 2011 to December 31, 2014. The analysis of the results of the study revealed that many of the independent variables together with beta can explain the portfolio returns. However, the intercept test reveals that the portfolio returns are equal to the risk-free rate of return. Therefore, we can conclude that the results of intercept test of standard CAPM proves the theory and the beta test results goes against the standard theory.
  • 其他摘要:The study is undertaken to find out the relationship between portfolio returns and market returns and test the empirical validity of the standard CAPM model on Bahrain Bourse. The study is based on 39 companies listed in the Bahrain Bourse, Bahrain All Share Index as market proxy and yield of Government of Bahrain securities as risk free rate of return. The study covers period from January 1, 2011 to December 31, 2014.  The analysis of the results of the study revealed that many of the independent variables together with beta can explain the portfolio returns.  However, the intercept test reveals that the portfolio returns are equal to the risk-free rate of return. Therefore, we can conclude that the results of intercept test of standard CAPM proves the theory and the beta test results goes against the standard theory.
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