مجلة الإستراتيجية والتنمية
Volume 8, Numéro 1, Pages 374-396
2018-01-31
الكاتب : Bendob Ali .
This study tests the capital asset pricing model (CAPM) for measuring the cost of equity capital. It analysis the heteroscedasticity problem in all insurance companies listed on the Saudi stock exchange during the period between 02/01/2010 to 13/11/2013. We conclude that there is the ARCH effect in the residue of CAPM to all the companies studied; which the CAPM model indicates is not qualified to estimate the cost of equity capital, especially during the period of higher volatility, and as such requires reliance on models (CAPM-GARCH) to estimate the cost of capital.
1. CAPM 2. GARCH models 3. Cost of capital 4. Insurance companies 5. Saudi stock exchange
Shaalan Tharwh
.
pages 170-180.
Bouaichaoui Youcef
.
pages 335-348.
Zeghoud Teber
.
pages 658-682.
Arar Nour Elhouda
.
Mehadjebia Nassira
.
pages 849-868.
صحبي أسماء
.
سويقي حورية
.
ص 1433-1449.