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Applying The Capital Asset Pricing Model To A Set Of Stocks Listed On The Bucharest Stock Exchange

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  • APOSTOL LUIZA MADALINA

    (THE NATIONAL UNIVERSITY OF SCIENCE AND TECHNOLOGY POLITEHNICA BUCHAREST, PITESTI UNIVERSITY CENTRE, ROMANIA)

Abstract

The Capital Asset Pricing Model can be used to estimate the return of a stock or a portfolio based on the market risk, since the investors will not be remunerated for the specific or the unsystematic risk because it can be eliminated through diversification. The only component of risk for which investors will be compensated is the systematic risk, the one associated with the market portfolio holding. The purpose of this study is to verify the applicability of the CAPM for seven stocks listed on the Bucharest Stock Exchange. The study used the annualized daily returns of the stocks for the period December 30, 2014 - December 30, 2023, the eight-year period being considered optimal to incorporate the general trend on the market. We used the BET-Plus index as a proxy of the market portfolio and the yield of the long-term government bonds issued by the Romanian Government for the risk-free rate.

Suggested Citation

  • Apostol Luiza Madalina, 2025. "Applying The Capital Asset Pricing Model To A Set Of Stocks Listed On The Bucharest Stock Exchange," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 5, pages 73-80, November.
    • Handle: RePEc:cbu:jrnlec:y:2025:v:5i:p:73-80
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