Study on the Evaluation of Financial Assets by Capital Asset Pricing Model

EasyChair Preprint 6128

Abstract

CAPM is the model by which the expected return of a financial asset can be determined, related to the cost of invested capital and the systematic risk determined by the general evolution of the capital market. The model is used to set the prices of risky securities when building a diversified portfolio of financial securities. The present study aims to highlight the change in the price of financial securities together with the changes in the general index of the Bucharest Stock Exchange (BET). The research sample consists of a number of four companies: BCM, EFO, TUFE and CAOR, belonging to the hotel and restaurant industry, listed on the Bucharest Stock Exchange, premium category. The research was conducted for a period of 104 weeks (01.01.2019 - 31.12.2020) and the result of the research showed that the profitability of the stock market may record weekly, in the future, values ​​between 0.0498% ± 3.8693%, compared to values ​​recorded during 2020. Also, the securities of the companies included in the research registered subunit volatilities, with relatively stable prices, being less volatile with the capital market. Following the application of the CAPM model, it was concluded that the shares of the companies included in the research are undervalued, respectively recorded a level of expected return on the portfolio lower than the expected return on the market portfolio, being recommended in this case their acquisition.

Keyphrases: Capital Asset Pricing Model, Capital Market Line, Market Market Security, Market return, Stock Return, Systematic Risk

@booklet{EasyChair:6128,
  author    = {Nicolae Balteș and Ruxandra Maria Pavel},
  title     = {Study on the Evaluation of Financial Assets by Capital Asset Pricing Model},
  howpublished = {EasyChair Preprint 6128},
  year      = {EasyChair, 2021}}