IDEAS home Printed from https://ideas.repec.org/a/rsr/supplm/v60y2012i4p147-154.html
   My bibliography  Save this article

CAPM Evaluating Relation

Author

Listed:
  • 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)

Abstract

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
    as

    Download full text from publisher

    File URL: http://www.revistadestatistica.ro/suplimente/2012/4/srrs4_2012a23.pdf
    Download Restriction: no

    More about this item

    Keywords

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rsr:supplm:v:60:y:2012:i:4:p:147-154. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Adrian Visoiu). General contact details of provider: http://edirc.repec.org/data/stagvro.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.