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Verifying Capital Asset Pricing Model in Greek Capital Market

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Mustafakulov S., Khudoykulov K.
Central European Review of Economics & Finance
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2015
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issue Vol. 7, No 1
5-15
EN
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 analyze 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 favor of any alternative model. (original abstract)
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Klasyczne a innowacyjne metody szacowania kosztu kapitału własnego przedsiębiorstwa

84%
Michalak A.
Studia Ekonomiczne
|
2014
|
vol. 186 cz 2
27-37
EN
The cost of the capital of a company is one of the basic parameters used in the process of the management of company's finances. The cost of equity is here of a particular importance. Its calculation is connected with numerous problems resulting from the fact that it is not directly observable and needs to be calculated with the use of some indirect methods. Due to the difficulties connected with the calculation of the cost of equity by traditional methods, there are numerous innovative suggestions presented in the literature. The purpose of this article is a review of traditional and innovative methods of estimation of the cost of equity in a company.
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