n Journal of Emerging Trends in Economics and Management Sciences - Test of capital asset pricing model in Amman Stock Exchange

Volume 6, Issue 2
  • ISSN : 2141-7024
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Study primarily designed to test whether the capital asset pricing model met the scientific application of shares for the companies that listed in Amman Stock Exchange in order to achieve this goal , It was collected financial data on study variables that represented monthly for sample companies and prices monthly closing index likely market value of free shares which have free return of risk (Treasury Bills), where the researcher calculates beta for stocks sample companies, both separately then test the capital asset pricing model through a simple linear regression by using statistical analysis program (SPSS). Where the study found a number of results that were the most important: beta coefficient, which is a statistical measure of systemic risk could not interpret without 8.2% of the stock dividend for public shareholding companies that listed in Amman Stock Exchange in other words, stock returns have not been fully interpreted by a beta factor, and it also can say that there are other influential factors on stock returns, that the model could not be interpreted, the final result reached by the researcher that this model is not fit to predict accurately returns traded in Amman Stock Exchange for shares, since it is not available, we have evidence that this form applies to companies that listed in the Amman Stock Exchange companies. Find recommended the following: the requirement to study other influential factors, such as earnings per share index and earnings per share index. Expand the length of time to research not less than ten years and to include a greater number of data, noted the necessity of complying with the central bank transparency and disclosure of versions of the monthly Treasury exporting permissions.

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