A meta-analysis on the capital asset pricing model

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FATHI SAEED; Tavakoli Farideh; Ostad Iman

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Journal: INVESTMENT KNOWLEDGE Year:2021 | Volume:9 | Issue:36 Page(s): 83-97

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Information Journal Paper

Title

A meta-analysis on the capital asset pricing model

Author(s)

FATHI SAEED | Tavakoli Farideh | Ostad Iman | Issue Writer Certificate

Keywords

Capital Asset Pricing ModelQ1

CAPM TestQ1

meta-analysisQ1

Abstract

Capital Asset Pricing Model is an equilibrium model to show the relationship between systematic risk and return of capital assets and indicate the pricing of assets due to their systematic risk. Abundance of empirical studies in testing standard and developed CAPM shows the importance of CAPM in estimating the price of financial assets. The meta-analytic approach of this paper creates a distinct realization to this context of finance by using of variance analysis, correlation test and means difference. So we use the statistical results of 418 CAPM Tests during 1972 to 2016. The results show that time period of the test, type of portfolio ranking, country development grade, type of systematic risk and the type of CAPM Test have a significant effect on the price of beta.

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APA: Copy

FATHI, SAEED, Tavakoli, Farideh, & Ostad, Iman. (2021). A meta-analysis on the capital asset pricing model. INVESTMENT KNOWLEDGE, 9(36 ), 83-97. SID. https://sid.ir/paper/390902/en

Vancouver: Copy

FATHI SAEED, Tavakoli Farideh, Ostad Iman. A meta-analysis on the capital asset pricing model. INVESTMENT KNOWLEDGE[Internet]. 2021;9(36 ):83-97. Available from: https://sid.ir/paper/390902/en

IEEE: Copy

SAEED FATHI, Farideh Tavakoli, and Iman Ostad, “A meta-analysis on the capital asset pricing model,” INVESTMENT KNOWLEDGE, vol. 9, no. 36 , pp. 83–97, 2021, [Online]. Available: https://sid.ir/paper/390902/en

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