Capital Asset Pricing Model and Stock Price on Ghana Stock Exchange - Traoré, Mohamed dit Bouyaki
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This paper scrutinizes the testing of the Capital Asset Pricing Model (CAPM) on the Ghana Stock Exchange by using cross-sectional regression for the time period between January 2011 and December 2015 on 10 individual companies using weekly returns. CAPM has been tested extensively for several equity markets but there is little empirical evidence of CAPM testing on the developing stock market of Ghana. The CAPM hypothesis vis-à-vis the intercept coefficient is that it should be equal to zero meaning the expected return of a stock equals the risk free rate when there is no systematic risk. A two…mehr

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Produktbeschreibung
This paper scrutinizes the testing of the Capital Asset Pricing Model (CAPM) on the Ghana Stock Exchange by using cross-sectional regression for the time period between January 2011 and December 2015 on 10 individual companies using weekly returns. CAPM has been tested extensively for several equity markets but there is little empirical evidence of CAPM testing on the developing stock market of Ghana. The CAPM hypothesis vis-à-vis the intercept coefficient is that it should be equal to zero meaning the expected return of a stock equals the risk free rate when there is no systematic risk. A two sided t-test is employed on the intercept and the verdicts of this research are not supportive of the theory's basic prediction that the intercept equals zero. Also, the CAPM implies that average risk premium is greater than zero and using right tail t-test, a positive beta risk premium is found to be true in most periods in accordance with the CAPM's prediction. In order to further analyzethe applicability of the CAPM, since it predicts a linear risk and return relationship the beta squared coefficients are used in the cross-sectional regression.
Autorenporträt
Né le 08 mars à Bamako, a un Baccalauréat malien série SBT ; En 2008 un DTS en Informatique à HETEC Bamako Mali (mention BIEN) ; En 2010 un Master en Management à la FSEG de Bamako (mention BIEN). En 2016 un Master of Business Administration (MBA) option Finance au Wisconsin International University College, Ghana (mention HONORABL).