empirical test for capm: 500 standard pool data.doc
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empirical test for capm: 500 standard pool data,abstractin this paper we test the capm (capital asset pricing model) with the data set of standard pool 500 index companies in 2006. with spss as the soft tool ...
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Abstract
In this paper we test the CAPM (Capital Asset Pricing Model) with the data set of Standard Pool 500 index companies in 2006. With SPSS as the soft tool we estimate the linear model which comes from the basic form of CAPM. Our conclusion tells that the relationships among ROE (Return of Equity) basic interest and market portfolio rate of return seems not exist in the real world which could be concluded from the theatrical model of CAPM. However the regression result could be improved to a great extent after some controlling variables are added to primary model and these controlling variables include market value growth rate asset growth rate and the debt growth rate of the company.
In this paper we test the CAPM (Capital Asset Pricing Model) with the data set of Standard Pool 500 index companies in 2006. With SPSS as the soft tool we estimate the linear model which comes from the basic form of CAPM. Our conclusion tells that the relationships among ROE (Return of Equity) basic interest and market portfolio rate of return seems not exist in the real world which could be concluded from the theatrical model of CAPM. However the regression result could be improved to a great extent after some controlling variables are added to primary model and these controlling variables include market value growth rate asset growth rate and the debt growth rate of the company.
