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Estimation & Analysis of the Required Rate of Return According to the Capital Asset Pricing Models the Iraq Stock Exchange as a Model | ||
| TANMIYAT AL-RAFIDAIN | ||
| Article 3, Volume 42, Issue 137, 2023, Pages 51-70 PDF (838.91 K) | ||
| Document Type: Research Paper | ||
| DOI: 10.33899/tanra.2023.177359.1217 | ||
| Authors | ||
| zahraa F. A. abduljabar* ; Bashar A. AL. Iraqi | ||
| Department of Finance and Banking Sciences, College of Administration and Economics, University of Mosul, Mosul, Iraq | ||
| Abstract | ||
| The research aims to provide a comprehensive and clear picture of the theoretical and philosophical foundations of the capital asset pricing model (CAPM), through which the factors and variables that can exert an effective influence in estimating and analyzing the required rate of return and the mechanism of their interaction are diagnosed, followed by foreseeing an objective empirical model capable of determining the nature of this effect. And its value and direction, in a sample of companies listed in the Iraqi Stock Exchange for the period (2005-2021) and according to the quarterly Panel Data, By adopting the methodology of what is known as the Autoregressive Distributed Lag (ARDL) model, which explains the nature of the effect in the short term (error correction model) as well as the long term, in addition to what it includes from standard diagnostic tests such as the autocorrelation test for residuals, and the test for the instability of variance, As well as testing the stability of the model (structural stability of the estimated parameters) and testing the cumulative sum of the residuals (CUSUM), and the research found weak factors of the capital asset pricing model (CAPM) in analyzing and estimating the rate of return required to compensate the investor for the risk he bears. | ||
| Keywords | ||
| Investment Risk; Financial Markets; Capital Asset Pricing Model; Balanced Double Data Methodology | ||
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