عنوان مقاله :
Forecasting the Ability of Dynamic versus static CAPM: Evidence from Amman Stock Exchange
پديد آورندگان :
Ajlouni, Mohd M. Yarmouk University - Faculty of Economics and Business Administration - Finance and Banking Sciences Department, Jordan , Alrabadi, Dima W.H. Yarmouk University - Faculty of Economics and Business Administration - Finance and Banking Sciences Department, Jordan , Alnader, Tariq K. Yarmouk University - Master of Finance and Banking Sciences, Jordan
چكيده فارسي :
This study tests whether the dynamic (conditional) Capital Asset Pricing Model (CAPM) outperforms the staticone in forecasting the returns of the industrial companies listed in Amman Stock Exchange (ASE) over theperiod 2000-2011. We investigate the in-sample forecasting ability of CAPM estimated via OLS, GJR-GARCH(1, 1), and Kalman Filter. The results indicate that the dynamic CAPM estimated through GJR-GARCH (1, 1)provide the most accurate in-sample forecasts of stock returns. Moreover, this model shows the lowest values ofAkaike Information Criterion and explains the cross section of returns of most sample stocks
كليدواژه :
Conditional CAPM , Time , Varying Beta , In , Sample Forecast , GARCH , Kalman Filter , AmmanStock Exchange
عنوان نشريه :
المجله الاردنيه في اداره الاعمال
