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The Impact of Market Risk Variation on the Ability of Capital Asset Pricing Model To Explain the Change in Stock Returns

المصدر: مجلة كلية التجارة للبحوث العلمية
الناشر: جامعة الإسكندرية - كلية التجارة
المؤلف الرئيسي: Asaran, Asaran Galal (Author)
المجلد/العدد: مج55, ع1
محكمة: نعم
الدولة: مصر
التاريخ الميلادي: 2018
الشهر: يناير
الصفحات: 1 - 23
DOI: 10.21608/ACJ.2018.37206
ISSN: 1110-7588
رقم MD: 977565
نوع المحتوى: بحوث ومقالات
اللغة: الإنجليزية
قواعد المعلومات: EcoLink
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024 |3 10.21608/ACJ.2018.37206 
041 |a eng 
044 |b مصر 
100 |9 527546  |a Asaran, Asaran Galal  |e Author 
245 |a The Impact of Market Risk Variation on the Ability of Capital Asset Pricing Model To Explain the Change in Stock Returns 
260 |b جامعة الإسكندرية - كلية التجارة  |c 2018  |g يناير 
300 |a 1 - 23 
336 |a بحوث ومقالات  |b Article 
520 |b The purpose of this study is determine the effect of the degree of stock market risk, at different estimation periods for capital asset 4pricing model (CAPM) variables, on the ability of the CAPM to explain the change in stock returns, applied on the Egyptian stock market. Where the researcher assumes that the different degree of market risk (high low) may affects the ability of capital asset pricing model to explain the change in the stock returns. Especially most of the literature reviews of capital asset pricing model were not exposed to the conditions of measuring the returns. That is the approach of the present study was to test the theory of capital asset pricing model at a different degree of market risk and different basis of estimation periods of capital asset pricing model variables (1,3,6,12 months). Because the Egyptian stock market is one of the emerging markets, the study of capital asset pricing model ability, to predict stock returns at a different degree of market risk and different basis of estimation periods for capital asset pricing model variables are critical. This is exposing in this study. This study is based on a different approach represented in testing the ability of the capital asset pricing model to explain the change in the stock returns, according to a different degree of market risk (high – low).The EGX30 index was used as the most important indicator to measure the market index.70% of the strongest stocks were selected within the index for the study tests during the period from 01/01/2009 to 31/03 /2015. 
653 |a السياسة الإقتصادية  |a التنمية الإقتصادية  |a النمو الإقتصادي  |a التنمية المستدامة  |a السياسة المالية  |a النظام المالي  |a المراقبة المالية  |a الرأسمالية  |a الأصول الثابتة  |a مصر  |a المجتمع المصري  |a مستخلصات الأبحاث 
773 |4 إدارة الأعمال  |6 Business  |c 018  |e Journal of the Faculty of Commerce for Scientific Research  |f Maǧallaẗ Kulliyyaẗ Al-Tiǧāraẗ li-l-Buḥūṯ Al-ʿilmiyyaẗ  |l 001  |m مج55, ع1  |o 1049  |s مجلة كلية التجارة للبحوث العلمية  |v 055  |x 1110-7588 
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