Assessing the Investment Performance of Swedish Timberland: A Capital Asset Pricing Model Approach

2005 ◽  
Vol 81 (3) ◽  
pp. 353-362 ◽  
Author(s):  
T. Lundgren
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Investment Performance ◽  
Asset Pricing Model ◽  
Model Approach

A review of the theory of and evidence on the use of the capital asset pricing model to estimate expected share returns

2002 ◽  
Vol 10 (1) ◽  
pp. 131-146 ◽  
Author(s):  
E.R. Laubscher
Keyword(s):  
Asset Pricing ◽  
Current Knowledge ◽  
Investment Decision ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Investment Performance ◽  
Asset Pricing Model ◽  
Investment Decision Making

The underlying principle of the Capital Asset Pricing Model (CAPM) is that there is a linear relationship between systematic risk, as measured by beta, and expected share returns. The CAPM attempts to describe this relationship by using beta to explain the differences between the expected returns on various shares and share portfolios. The CAPM has been the subject of considerable theoretical investigation and empirical research. The aim of this article is to establish the current knowledge of the usefulness of the CAPM, i.e. whether it provides a reasonable description of reality and whether it is a useful tool for investment decision‐making. The main conclusion drawn from the study is that the CAPM is useful and that it does describe and explain the risk/return relationship. However, other risk factors (i.e. other than beta) may also be useful for explaining share returns. Investors should therefore be cautious when using the model to evaluate investment performance.

scholarly journals SELEKSI SAMPEL SEBAGAI PROKSI INDEKS PASAR DALAM PENGUJIAN CAPITAL ASSETS PRICING MODEL DI PASAR INDONESIA

2016 ◽  
Vol 6 (4) ◽  
pp. 363
Author(s):  
Soeparlan Pranoto
Keyword(s):  
Asset Pricing ◽  
Empirical Test ◽  
Capital Asset Pricing Model ◽  
Market Model ◽  
Return Level ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Investment Performance ◽  
Asset Pricing Model

Some test about Capital Asset Pricing Model (CAPM) are in fact, most of them showed that there were in equilibrium between the CAPM theory with the empirical facts. This in equilibrium most can be see in the intercept which is not the same as zero. Some tests are resulting that linear relation between the return level which can be hoped by the risk which is measured with beta, but in the other fact shows that there is still factor or variable beside beta which influence the return of security, those variables are not explained by CAPMThe failure  of empirical  test for proving  the CAPM hyphotesis are caused by the failure of the L""'APM specification itself then the use of market model  which  maybe  is  not relevant because of the return fluctuation  and  the free  investment  risk  The  investment process in security is doing  evaluation  to  the  investment  performance,  in  security investment which is often done in portofolio form, so it is needed portofolio performance l!valuation. Some tests,  empirical  CAPM  can be concluded  that:  (1) Security  return  is in fact in linear way can be related with beta as it is predicted in CAPM test;  (2)  There is positive relation between beta with historical return, that it means the bigger the beta  the bigger the return; (3) The market line security test (SML) is in fact less steeply slope comparing to the theoretical SML, it means that shares with  lower beta  will  have  higher return as it is predicted by the Capital Asset  Pricing Model,  while  the shares  with higher beta have lower return as  it  is  predicted,  this  is  because  of  the  mistake  in  the measurement; (4)  The  intercept  criteria  which  is  bigger  can  be predicted  theoretically than the value offree  risk return (RJ.Even the test result can not give support from the theory of Capital Asset Pricing Model, this test gives the consistent implication, beta is the linear systematic risk taht is related positively with the historical return.

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