What is it about?
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.
Featured Image
Photo by Carlos Muza on Unsplash
Why is it important?
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.
Perspectives
I hope you find this article thought-provoking.
Professor Iqbal Thonse Hawaldar
Kingdom University
Read the Original
This page is a summary of: Empirical Testing of Capital Asset Pricing Model on Bahrain Bourse, Asian Journal of Finance & Accounting, October 2015, Macrothink Institute, Inc.,
DOI: 10.5296/ajfa.v7i2.8356.
You can read the full text:
Contributors
The following have contributed to this page