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Analysis of Risk-Return Relationship Using the Capital Asset Pricing Model : An Empirical Study on a Sample of Jordanian Corporations for the Period (1996 - 2004)
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Analysis of Risk-Return Relationship Using the Capital Asset Pricing Model : An Empirical Study on a Sample of Jordanian Corporations for the Period (1996 - 2004)
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Analysis of Risk-Return Relationship Using the Capital Asset Pricing Model : An Empirical Study on a Sample of Jordanian Corporations for the Period (1996 - 2004)
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Journal Article
Analysis of Risk-Return Relationship Using the Capital Asset Pricing Model : An Empirical Study on a Sample of Jordanian Corporations for the Period (1996 - 2004)
2006
Overview
The Capital Asset Pricing Model (CAMP) has received much controversy in recent years. While several studies showed strong support for the CAPM, others exhibited contradictions, disagreements, and rejections. The Beta debate still exists and negative risk- return relationships are described. This research focuses on the reasons behind contradicting studies between supporting and rejecting of the CAPM model. It tested the relationship between Systematic Risk & Return for a sample of \"40\" corporations' stocks from among 162 stocks listed is Amman Stock Exchange (First and Second Markets). This sample represents all sectors for the period (1996 - 2004).The study shows a weak positive relationship between systematic risk expressed by (Betas) and Required Rate of Return (RR) where the correlation coefficient is equal to (0.39). While the correlation coefficient between calculated Betas and Actual Rate of Return is (-0.114 ): a weak negative relationship. So beta can not be considered as predictive factor for stock return. This research recommends the necessity for investor to take not only systematic risk into consideration when he chooses stock portfolio, but also the other factors that might affect stock returns
Publisher
جامعة العلوم التطبيقية الخاصة - عمادة البحث العلمي والدراسات العليا
Subject
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