Proceedings of the 2023 3rd International Conference on Enterprise Management and Economic Development (ICEMED 2023)

Analysis of the Validity of the Capital Asset Pricing Model: A Comparison Based on the FTSE ALL-Share and the UK Three-Month Treasury Bills

Authors
Cheng Xie1, *
1Queen’s University Belfast, Finance, Queen’s Management School, Belfast, BT7 1NN, UK
*Corresponding author. Email: Cxie02@qub.ac.uk
Corresponding Author
Cheng Xie
Available Online 23 August 2023.
DOI
10.2991/978-94-6463-224-8_25How to use a DOI?
Keywords
systematic risk of assets; expected rate of return on assets; two regression analysis; validity; empirical test of capital asset pricing model
Abstract

CAPM (Capital Asset Pricing Model) is the most important model in modern finance that can be used to: calculate the systematic risk of assets, estimate the expected rate of return on assets, and evaluate the performance of a portfolio. In this study, FTSEALL-Share and UK three-month Treasury bills are used as the market portfolio and risk-free rate to compare and determine whether there is correlation between beta coefficient and excess return. The purpose of this study is to conduct two regression analyses and empirical tests of the capital asset pricing model using R-studio coding and finally conclude the validity of the capital asset pricing model.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2023 3rd International Conference on Enterprise Management and Economic Development (ICEMED 2023)
Series
Advances in Economics, Business and Management Research
Publication Date
23 August 2023
ISBN
978-94-6463-224-8
ISSN
2352-5428
DOI
10.2991/978-94-6463-224-8_25How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

TY  - CONF
AU  - Cheng Xie
PY  - 2023
DA  - 2023/08/23
TI  - Analysis of the Validity of the Capital Asset Pricing Model: A Comparison Based on the FTSE ALL-Share and the UK Three-Month Treasury Bills
BT  - Proceedings of the 2023 3rd International Conference on Enterprise Management and Economic Development (ICEMED 2023)
PB  - Atlantis Press
SP  - 189
EP  - 196
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-224-8_25
DO  - 10.2991/978-94-6463-224-8_25
ID  - Xie2023
ER  -