 Analysis of the Validity of the Capital Asset Pricing Model: A Comparison Based on the FTSE ALL-Share and the UK Three-Month Treasury BillsCheng Xie ()
A chapter in Proceedings of the 2023 3rd International Conference on Enterprise Management and Economic Development (ICEMED 2023), 2023, pp 189-196 from Springer Abstract: Abstract CAPM (Capital Asset Pricing Model) is the most important model in modern finance that can be used to: calculate the systematic risk of assets, estimate the expected rate of return on assets, and evaluate the performance of a portfolio. In this study, FTSEALL-Share and UK three-month Treasury bills are used as the market portfolio and risk-free rate to compare and determine whether there is correlation between beta coefficient and excess return. The purpose of this study is to conduct two regression analyses and empirical tests of the capital asset pricing model using R-studio coding and finally conclude the validity of the capital asset pricing model. Keywords: systematic risk of assets; expected rate of return on assets; two regression analysis; validity; empirical test of capital asset pricing model (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-224-8_25 Ordering information: This item can be ordered from DOI: 10.2991/978-94-6463-224-8_25 Access Statistics for this chapter More chapters in Advances in Economics, Business and Management Research from Springer |
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