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Journal of Applied Sciences
  Year: 2006 | Volume: 6 | Issue: 3 | Page No.: 662-667
DOI: 10.3923/jas.2006.662.667
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An Empirical Testing of Capital Asset Pricing Model in Bangladesh

Mostafizur Rahman, Azizul Baten and Ashraf-Ul- Alam

Capital Asset Pricing Model (CAPM) provides an equilibrium linear relationship between expected return and risk of an asset. The purpose of this study is to investigate the risk-return relationship within the CAPM framework. The study also aims at exploring whether CAPM is a good indicator of asset pricing in Bangladesh. For this the period 1999-2003 have been considered. Fama-French (1992) methodology on five variables-Stock market return, Beta, Book to market value, Size (Market capitalization) and Size 1 (Sales) are used to test this model. In this study the findings on the CAPM we have shown that the variables we have taken have significant relationship with stock return is still too alive on this ground.
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  •    Performance of Islamic Indices in Malaysia FTSE Market: Empirical Evidence from CAPM
  •    Strategic Asset Allocation and Portfolio Rebalancing with Anomalies: Evidence from Emerging Markets
  •    Estimating Stock Market Technical Efficiency for Truncated Normal Distribution: Evidence from Dhaka Stock Exchange
  •    A Validity Test of Capital Asset Pricing Model for Dhaka Stock Exchange
How to cite this article:

Mostafizur Rahman, Azizul Baten and Ashraf-Ul- Alam, 2006. An Empirical Testing of Capital Asset Pricing Model in Bangladesh. Journal of Applied Sciences, 6: 662-667.

DOI: 10.3923/jas.2006.662.667






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