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CAPM Evaluating Relation


  • Gabriela-Victoria ANGHELACHE

    (Academy of Economic Studies, Bucharest)

  • Viorel LEFTER

    (Academy of Economic Studies, Bucharest)

  • Andreea NEGRU (CIOBANU)

    (Academy of Economic Studies, Bucharest)

  • Georgeta BARDASU

    (Academy of Economic Studies, Bucharest)


Considering as starting point the theory developed by H. Markowitz in the years '50, J. Treynor (1962), W. Sharpe (1964), J. Lintner (1965) and J. Moshin (1966) have elaborated the famous model for evaluating the financial assets, CAPM. This model is utilized in order to set up the expected yield of an asset starting from the yield of a non-risky asset and the average yield of the capital market. As we shall see, the crucial element of the CAPM model is given by the coefficient beta (B) that measures the sensitiveness of the asset as against the market risk (known as systematic risk). The restrictive conditions involved for getting a valid extended CAPM model have generated the specialists΄concern in respect of finding out another derivate of the original CAPM applicable to the integrated capital markets. So the international CAPM model was created, which has been developed starting from the hypothesis that the investors are interested for yields expressed in their national currency. The international CAPM model requires that the investors take into account the exchange risk whenever they are placing their capital in foreign assets.

Suggested Citation

  • Gabriela-Victoria ANGHELACHE & Viorel LEFTER & Andreea NEGRU (CIOBANU) & Georgeta BARDASU, 2012. "CAPM Evaluating Relation," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 60(4), pages 147-154, November.
  • Handle: RePEc:rsr:supplm:v:60:y:2012:i:4:p:147-154

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    More about this item


    financial asset; CAPM model; market risk; sensitiveness; yield;

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill


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