Unbiased estimation of expected return using CAPM

Bartholdy, Jan; Peare, Paula

doi:10.1016/s1057-5219(02)00122-9

Cited by 25 publications

(10 citation statements)

References 7 publications

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“…However, Low & Nayak (2005) shows that the choice of the market portfolio is irrelevant for the validity of CAPM. Bartholdy and Peare (2003) shows that FMB procedure give unbiased estimates of the expected return even though a proxy is used for the market portfolio. …”

Section: Some Challenges and Proposed Solutionsmentioning

confidence: 99%

The Determinants of Stock Returns in the Emerging Market of Kenya: An Empirical Evidence

Mumo

2017

IJEF

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This study examined the sources of risk factors that determine stock returns in the emerging market of Kenya. The specific objectives were to determine the validity of the Capital Asset Pricing Model (CAPM) and then empirically test for factors that are priced in stock returns in Kenya.The factors examined are the excess market premium and selected macroeconomic factors including inflation, exchange rates, money supply and short term interest rates. The study utilizes monthly time series data for the period April 1996: December 2016. The CAPM, a multifactor approach and Fama and MacBeth (1973) two-step procedure are used for data analysis.The study finds that CAPM cannot be rejected and that the market premium is the most important factor in explaining stock return variability in Kenya. Therefore, the study concludes that unlike the recent evidence on the collapse of CAPM in advanced markets, the model can still be validly used for the Kenyan market.

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Section: Some Challenges and Proposed Solutionsmentioning

confidence: 99%

The Determinants of Stock Returns in the Emerging Market of Kenya: An Empirical Evidence

Mumo

2017

IJEF

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“…Gonza´lez (2001) sought a replacement view for reduced beta and CAPM beta and suggested that selection of risk measurement criterion depends on current market. Bartholdy and Peare (2003) showed that standard procedures to estimate beta independently in CAPM regression equation affects expected return. Patton and Timmermann (2010) suggested that there were many theories indicating harmony of expected return and tried to anticipate expected return for securities in Hong Kong market.…”

Section: Research Historymentioning

confidence: 99%

D-CAPM and RD-CAPM in Return Anticipation at Tehran Stock Exchange

Kordlouie¹,

Haftlang²,

Dehghani³

2012

IJBM

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“…However, modeling approaches can be inferior if assumptions are incorrect or if models simplify or ignore relevant information. Moreover, the result is always achieved by examining past data, which may not be precise, and the past does not include all future possibilities (e.g., Bartholdy & Peare, 2003;Kane, 1999).…”

Section: Fuzzy Modeling In Financementioning

confidence: 99%