Verifying capital asset pricing model in Greek capital market

Khurshid Khudoykulov

International Journal of Economics and Accounting, 2016, vol. 7, issue 1, 55-65

Abstract: To begin, the article verifying of capital asset pricing model (CAPM) would be appropriate for capital asset valuation on the Greek capital market. We examined 32 companies listed on the Athens Stock Exchange (ASE) on a weekly basis for a period from June 2009 to December 2013 under this model. The CAPM model is tested by performing two-pass characteristic regression analyses. The first-pass characteristic line regression was used to estimate stocks of beta. Hence, the second-pass characteristic line regression was taken to analyse the intercept and the slope coefficients of stocks. The two characteristics of line regression verify the adequacy of the CAPM. According to our results, we came to a conclusion that there was a linear relationship between systematic risk and returns. The CAPM would be the verification of our major hypotheses from the time series tests. In order for this to be true, the intercept ought to be approximately equal to zero, supporting the theories for both individual assets and portfolios. However, the testing provides evidence against the CAPM, but do they do? It should be kept in mind that it does not necessarily represent evidence in favour of any alternative model.

Keywords: capital asset pricing model; CAPM; coefficient beta; intercept; securities market portfolio; systematic risk; market risk premium; unsystematic risk; Greece; Greek capital markets; capital asset valuation. (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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