Abstract: The purpose of this study is to determine the effect of the stock market conditions, at different estimation periods for capital asset pricing model (CAPM) variables, on the ability of the CAPM to explain the change in stock returns, applied to the Egyptian stock market.
Where the researcher assumes that the different levels of market return (low - high) may affect the ability of the capital asset pricing model to explain the change in the stock returns. Especially most of the literary reviews of the capital asset pricing model were not exposed to the conditions of measuring the returns. That is the approach of the present study was to test the theory of capital asset pricing model at a different level of market return at a different basis of estimation.....
Keywords: Capital Asset Pricing Model (CAPM); Market returns; stocks expected returns; risk-free rate; systematic risk; Stock Exchange
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