Investigation of the capital asset pricing model (CAPM) in Singapore
The Capital Asset Pricing Model (CAPM) has been very prevalent on the financial scene in established capital markets. The validity of the model has been widely tested so as to provide a guide for practitioners in their investment decision-making. As for the less advanced capital markets, this val...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2015
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/64285 |
| _version_ | 1811685403067940864 |
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| author | Kang, Yong Wee Lim Pang Heng Saw Meng Tee |
| author2 | David Ding |
| author_facet | David Ding Kang, Yong Wee Lim Pang Heng Saw Meng Tee |
| author_sort | Kang, Yong Wee |
| collection | NTU |
| description | The Capital Asset Pricing Model (CAPM) has been very prevalent on the financial scene in
established capital markets. The validity of the model has been widely tested so as to
provide a guide for practitioners in their investment decision-making. As for the less
advanced capital markets, this validity has not been thoroughly investigated.
In the Singapore context, few empirical studies have been done in this field due to the
small size and short history of the Singapore stock market. This study attempts to
investigate the relevance of various risk measures on the Stock Exchange of Singapore.
The data used are monthly returns collected from a sample of ninety-six stocks spanning a
period from July 1988 to June 1993. Cross-sectional regression techniques are used to
process the data collected in order to examine the validity of the CAPM in Singapore.
The end result is an inconclusive stand on the applicability of the CAPM in the local
bourse. This result may be due to the various limitations in the study. As the Singapore
stock market matures, certain limitations can be overcome and any future research in this
field may produce some interesting results. |
| first_indexed | 2024-10-01T04:43:58Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/64285 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T04:43:58Z |
| publishDate | 2015 |
| record_format | dspace |
| spelling | ntu-10356/642852023-05-19T03:30:02Z Investigation of the capital asset pricing model (CAPM) in Singapore Kang, Yong Wee Lim Pang Heng Saw Meng Tee David Ding Nanyang Business School DRNTU::Business The Capital Asset Pricing Model (CAPM) has been very prevalent on the financial scene in established capital markets. The validity of the model has been widely tested so as to provide a guide for practitioners in their investment decision-making. As for the less advanced capital markets, this validity has not been thoroughly investigated. In the Singapore context, few empirical studies have been done in this field due to the small size and short history of the Singapore stock market. This study attempts to investigate the relevance of various risk measures on the Stock Exchange of Singapore. The data used are monthly returns collected from a sample of ninety-six stocks spanning a period from July 1988 to June 1993. Cross-sectional regression techniques are used to process the data collected in order to examine the validity of the CAPM in Singapore. The end result is an inconclusive stand on the applicability of the CAPM in the local bourse. This result may be due to the various limitations in the study. As the Singapore stock market matures, certain limitations can be overcome and any future research in this field may produce some interesting results. ACCOUNTANCY 2015-05-25T08:49:58Z 2015-05-25T08:49:58Z 1993 1993 Final Year Project (FYP) http://hdl.handle.net/10356/64285 en Nanyang Technological University 52 p. application/pdf |
| spellingShingle | DRNTU::Business Kang, Yong Wee Lim Pang Heng Saw Meng Tee Investigation of the capital asset pricing model (CAPM) in Singapore |
| title | Investigation of the capital asset pricing model (CAPM) in Singapore |
| title_full | Investigation of the capital asset pricing model (CAPM) in Singapore |
| title_fullStr | Investigation of the capital asset pricing model (CAPM) in Singapore |
| title_full_unstemmed | Investigation of the capital asset pricing model (CAPM) in Singapore |
| title_short | Investigation of the capital asset pricing model (CAPM) in Singapore |
| title_sort | investigation of the capital asset pricing model capm in singapore |
| topic | DRNTU::Business |
| url | http://hdl.handle.net/10356/64285 |
| work_keys_str_mv | AT kangyongwee investigationofthecapitalassetpricingmodelcapminsingapore AT limpangheng investigationofthecapitalassetpricingmodelcapminsingapore AT sawmengtee investigationofthecapitalassetpricingmodelcapminsingapore |