ICPAM ELNAGGAR.ppsx

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Improved Capital Asset Pricing Model: A Multi- Objective Approach to Maximizing Capital Utility in Egypt, Apr 2020 The fundamental characteristics of conventional money power are: being a medium of demand for goods and services, capable of being saved or hoarded, and the advantage of superior liquidity to goods and services (Onken, 2000). Business demands money as capital for investment and must pay the productivity Cost of Capital (COC) or the Marginal Efficiency of Capital (MEC). Companies raise money from a number of sources. The Weighted Average Cost of Capital (WACC) is the rate that a company is expected to pay on average to all its security holders to finance its assets. WACC is used as a discount rate, as a measure of risk, to derive the value of a company, and to value projects in its capital budgeting process. It is also the relevant cost of the firm of new debt financing. There is a lot of debate about the WACC concept and its calculation in finance theory. There is confusion and overlap in WACC measurement between cost and profit. This paper proposes a new approach for allocating financial resources in the context of Egyptian culture. It uses an improved capital asset pricing model (ICAPM) to maximize the utility of capital and investors’ remunerations given the dual-goal of society benefits (economic and social) by means of the cost of capital and profits. A multi-objective optimization technique is developed with two target models, based on the relationship between independent factors; which are the three categories of investments that satisfy society demands: subsistence, comfort and luxuries; and the dependent factors which are the cost of capital as production return, and the expected profit as a return for investment risk. In this paper, the ICAPM is formulated and solved as a multi-objective model. The proposed model is applied on real data estimated from Central Bank of Egypt (CBE) Annual Report 2017- 2018, and Egypt Exchange 30 (EGX 30) Historical Data (Jan 17 – Dec 17). The results show the best allocation for the three available alternatives with the lowest cost of capital and the highest total return.

Humanomics, 2008

Purpose -The purpose of this paper is to describe the application of the Islamic financing method based on direct musharakah to the conventional capital asset pricing model yielding several interesting hypotheses.

This paper offers evidence confirming the validity of applying modern portfolio theory and capital asset pricing models to the emerging stock market of Egypt. The results indicate that market risk, as measured by beta and preference for skewness, seems to play a significant role in the returns dynamics in the Egyptian stock market. There is a significant and positive premium for companies with positive skewness. With regard to the return-risk trade off, the results indicate that a portfolio that was based on consumer staples and financial companies (mainly banks) with low betas had outperformed a portfolio containing construction, materials, hotels, and weaving companies with larger betas. Historically, the government's nationalizations that took place, between the mid fifties to the mid sixties, had adversely affected companies in the industrial and construction sectors more than consumer staples companies and banks. This could explain why lower beta companies were observed more in consumer staples, banks, and pharmaceuticals.

Modern Applied Science, 2018

This paper aimed to test the validity of capital asset pricing model (CAPM) and arbitrage pricing theory (APT) in Jordanian stock Market using three different firms of three main sectors, financial, industrial, and service sector for the period Q1 (2000) to Q4 (2016), using published information obtained from Amman stock exchange (ASE), these models were designed to measure the cost of capital using the coefficient of systematic risk factor, that used in the valuation of capital assets. We reviewed the most important similarities and differences between the two models out of sectors analysis. The study showed, first, there are some differences between the two models in term of the amount of systematic risk that can be eliminated by diversification in the three sectors. Second, the application of APT model showed that large percentage of risk can be eliminated by diversification more than CAPM model. Third, the banking sector in Jordan faces more systematic risks than other sectors.

Modern Applied Science, 2018

This paper aimed to test the validity of capital asset pricing model (CAPM) and arbitrage pricing theory (APT) in Jordanian stock Market using three different firms of three main sectors, financial, industrial, and service sector for the period Q1 (2000) to Q4 (2016), using published information obtained from Amman stock exchange (ASE), these models were designed to measure the cost of capital using the coefficient of systematic risk factor, that used in the valuation of capital assets. We reviewed the most important similarities and differences between the two models out of sectors analysis. The study showed, first, there are some differences between the two models in term of the amount of systematic risk that can be eliminated by diversification in the three sectors. Second, the application of APT model showed that large percentage of risk can be eliminated by diversification more than CAPM model. Third, the banking sector in Jordan faces more systematic risks than other sectors.

International Journal of Financial Research, 2021

This study has aimed to demonstrate the relative importance of financial analysis using ratios for each of lenders and investors in Jordan when making decision.Also; this study, included the financial ratios that could be adopted by decision makers in the industry (area) of lending or investment. The study included two categories; first is the category of financial intermediaries; to express the category of investors in Amman stock exchange (ASE), while the second category included employees of credit departments -in Jordanian banks- for the category of lenders.The collection of study data was based on a review of the subject's scientific literature, previous studies and by preparing a questionnaire that was designed on the basis of the theoretical framework of the study and its hypotheses.The objectives of financial analysis are to judge the efficiency of management and to use the information available to make various administrative decisions. The study found that financial rat...

Accounting and Finance Research, 2015

The purpose of this article is to look for the suitable model for estimating the cost of equity capital in the Tunisian stock market, using a sample of 26 Tunisian listed firms over the period 2003 to 2010. By conducting a comparative analysis between the CAPM, the three-factor model of Fama and French (1993) and the four-factor pricing model proposed by Carhart (1997), the latter model emerges as one who explains better the returns variations on the Tunisian Stock Exchange. We also conclude to the existence of a growth, small size and contrarian anomalies.

Jurnal Pajak dan Keuangan Negara, 2021

This study aims to see which groups of stocks are included in the efficient stock group using the Capital Asset Pricing Model (CAPM) and the Accumulation and Distribution Line method. The population in this study was 697 shares of companies listed on the Indonesian stock exchange during the period 2016 to 2019. The sampling method used was purposive sampling so that 109 observational data that met the criteria were obtained. To assess the efficiency of shares is done by comparing the stock actual return (Ri) with the expected return of stock E (Ri). Efficient stocks have a value of Ri greater than E (Ri) or [Ri> E (Ri)], while inefficient stocks are stocks that have a value of Ri less than E (Ri) or [Ri <E (Ri)]. This study found that there are 54 company stocks that are included in the efficient stock category and 55 stocks which are included in the inefficient category.

Journal of Economics, Finance and Accounting Studies

The focus of this research was to determine and investigate the application of the Capital Asset Pricing Modeling (CAPM) technique in analyzing investment decisions in particular banking stocks that specialize in digital banking operating models. Investors generally follow the IT or digital sector (Tech stocks) due to the sector&#39;s track record of delivering high returns and the promise for even greater returns in the future. In the banking sector, investors continue to pursue digital bank stocks as their holdings because they believe they may create value and expand. Six digital banking stocks were chosen for this study, all of which are listed on the Indonesian Stock Exchange and have an observation period of April 2021 to March 2022. These stocks are Bank Jago Tbk, Bank Neo Commerce Tbk, Bank Danamon Tbk, Bank Permata Tbk, Bank BTPN Tbk, and Bank OCBC NISP Tbk. This research uses linear regression analysis to determine the beta coefficient for the Capital Asset Pricing Modelin...

Global Journal of Management and Business Research, 2012

The current research study tests the CAPM, (Capital Asset Pricing Model) in Pakistan’s stock market, Karachi Stock Exchange KSE. Capital Asset Pricing Model explains the links present between risk and return in efficient markets. Therefore the current study has focused on the calculation of Beta of ten companies registered on KSE, and actual and expected returns have been compared. The data analysis revealed the limited applicability of CAPM to the KSE, 100-index. Further studies may be conducted to check the applicability of the model, by taking a large sample of companies, especially in Pakistani stock exchanges.