DSpace
 

KNUSTSpace >
Research Articles >
College of Science >

Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/11440

Title: Measuring the Systematic Risk of Stocks Using the Capital Asset Pricing Model
Authors: Abonongo, John
Ackora-Prah, Joseph
Boateng, Kwasi
Keywords: Systematic Risk
CAPM
Risk Premium
Market Beta
Expected Return
Issue Date: 2017
Publisher: Journal of Investment and Management
Citation: Journal of Investment and Management 2017; 6(1): 13-21 http://www.sciencepublishinggroup.com/j/jim; doi: 10.11648/j.jim.20170601.13
Abstract: Among the paramount information in the stock market is the awareness of the systematic risk of stocks which plays essential role in investment choices. This paper measured the systematic risk of seven stocks on the Ghana Stock Exchange (GSE) using monthly closing prices and the 91 day T-bill from the period 2011 to 2015. The CAPM was employed in measuring the systematic risk of the stocks. The results revealed that, CAL, FML and TLW were defensive stocks since each had a market beta less than one (1). PBC, CLYD, EGL and UNIL had the same systematic risk as the market since each recorded a market beta of one (1). All the seven stocks each had a positive market beta implying that they move in a similar manner as the market. The compensation for investing in each of the stock was approximately at 3%. The diversifiable risk associated with each of the stock was very low since few of the returns were scattered along the regression line.
Description: An article published in Journal of Investment and Management 2017; 6(1): 13-21 http://www.sciencepublishinggroup.com/j/jim; doi: 10.11648/j.jim.20170601.13
URI: http://hdl.handle.net/123456789/11440
Appears in Collections:College of Science

Files in This Item:

File Description SizeFormat
researchpaper.pdf533.66 kBAdobe PDFView/Open

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

 

Valid XHTML 1.0! DSpace Software Copyright © 2002-2010  Duraspace - Feedback