Advantages Of The Capital Asset Pricing Model

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1. Introduction The Capital Asset Pricing Model (CAPM) is an asset pricing model that was first introduced by William Sharpe (1964) and John Lintner (1965). Despite more than four decades has passed, CAPM is still very popular as this model helps to estimate the cost of capital for companies and individual and it helps to assess the performance of the portfolio (Fama & French, 2004). However, empirical evidence has proved that it is not very realistic as it is based on very strong assumptions and there are some critiques to this model. This essay will discuss the uses of Sharpe-Lintner CAPM, the assumptions of their CAPM and its critiques and also the development of new models such as the alternative asset pricing model which is Arbitrage…show more content…
Eugene Fama (1970) claimed that there are three different form of test to the efficient market model which are the weak form tests, semi-strong test and strong form test (Fama, 1970). The weak form tests are the information set are historical prices, the semi-strong form test refers to prices efficiently adjust to other information that is publicly available such as declaration of annual earnings, stock splits are considered whereas the strong form tests concerned with whether given investors have monopolistic access to any information relevant for price formation (Fama & Malkiel, 1970). Therefore, the market is considered only as semi-strong returns on the investments based on the CAPM model. Hence, there is a minimum expected return which is known as risk-free rate and investors who are willing to take on higher risk will need to bear risk-premium price (Mullins,…show more content…
According to the research of Stephen Ross and Richard Roll, the most important factors are the following: change in Inflation, change in the level of industrial production, shifts in risk premiums, change in the shape of the term structure of interest rates (Investopedia, Elvin Mirzayev, 2015). However, it still possesses some assumptions such as diversified portfolio investments to avoid systematic risk, no arbitrage opportunity exists among the well-diversified portfolios, the capital market is perfect and the investors can lend or borrow money at the risk free rate (Investopedia, Elvin Mirzayev, 2015; William,

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