Testing the Validity of the Unconditional and Conditional CAPM on the Egyptian Stock Market Using Panel Data Analysis

Algebaly, Esam-Aldin M.

doi:10.7232/iems.2022.21.3.419

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2023

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“…For example, the CAPM was tested by new empirical methods (Taussig, 2022b) and was found to be significant. Algebaly (2022) supports the validity of the conditional CAPM. Taussig and Klein (2021) show that higher renting costs are associated with higher returns.…”

Section: Introductionmentioning

confidence: 70%

CAPM and a new investment decision method

Taussig

2023

J Corp Accounting Finance

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The traditional CAPM explains the return on each security, while the current study suggests a new methodology for “picking” a broad index, based on regression trees. Analysts’ recommendations on market prices are analyzed, and a one to three‐stage method is employed. The analysis suggests a few rules of thumb (only one to three stages) for buying or selling the CRSP US market index. The findings are robust, and the rules are reliable. Researchers and practitioners may benefit greatly from the new rules.

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Section: Introductionmentioning

confidence: 70%

CAPM and a new investment decision method

Taussig

2023

J Corp Accounting Finance

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Testing the Validity of the Unconditional and Conditional CAPM on the Egyptian Stock Market Using Panel Data Analysis

Cited by 1 publication

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CAPM and a new investment decision method

CAPM and a new investment decision method

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