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Capital Asset Pricing Model, Theory and Practice: Evidence from USA (2009-2016)

机译:资本资产定价模型,理论与实践:来自美国的证据(2009-2016年)

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This study discussed the Capital Assets Pricing model (CAPM) and its ability to measure the required return, the researcher tested this model on Amazon Company listed in S&P 500 during the period (2009-2016), to measure the impact of beta stock and market index return on the required return. Multiple regression model was used to test the effect of independent variables (Beta stock, Market Index Return) on the dependent variable (Required return), it should be noted that there is a statistically significant impact of the US stock market Return (S&P500) and Amazon stock Beta factor on Amazon stock required return, and the study model explanatory was 20% , this means that 20% of the changes in the required return are due to beta and market return, and 80% of the changes due to other factors, also find that CAPM can be applied on efficiency markets and huge companies. The researcher recommends applying the variables of the study on a group of large companies in the S&P 500 index, and looking for other factors that may affect the required return.
机译:这项研究讨论了资本资产定价模型(CAPM)及其衡量所需收益的能力,研究人员在此期间(2009-2016年)在标准普尔500指数上市的亚马逊公司上测试了该模型,以衡量Beta股票和市场的影响所需收益的指数收益。多元回归模型用于检验自变量(贝塔股票,市场指数收益)对因变量(必需收益)的影响,应注意的是,美国股票市场收益(S&P500)在统计上有显着影响Amazon股票要求收益的Amazon Beta系数,研究模型解释为20%,这意味着要求收益的20%的变化归因于beta和市场收益,而80%的变化归因于其他因素,还发现CAPM可以应用于效率市场和大型公司。研究人员建议将研究的变量应用于标准普尔500指数中的一组大公司,并寻找可能影响所需回报的其他因素。

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