Stock Volatility Tests with the Capm and Fama-French Three-Factor Model: Particular Reference World's Top 10 Largest Companies

• Autorzy: Mohammad Morshadul Hasan , Shajib Khan
• Języki publikacji: EN

Abstrakty

EN

The primary purpose of this study is to show the return portfolio and stock volatility of the world's top 10 most prominent companies. The risks and return portfolio has been shown in this study by using the CAPM model using the Fama-French three-factor model implied different equity observations from stock prices. Besides, this study evaluates the relationship between systematic risk and the expected return of the selected companies' stocks. A comprehensive analysis has accomplished with the secondary data sources from world's largest stock market. The expected return structure have also explored by comparing the market competition. Moreover, using these combined models, the comparison of different forces of the stock market among the selected companies have addressed in this study. (original abstract)

Słowa kluczowe

EN

Capital Asset Pricing Model (CAPM); Fama-French model; Global company

PL

Model wyceny aktywów kapitałowych; Model Famy i Frencha; Przedsiębiorstwo globalne

• Czasopismo: Roczniki Naukowe Wyższej Szkoły Bankowej w Toruniu
• Rocznik: 2020
• Numer: nr 19(1)
• Strony: 1--20

Twórcy

autor

Mohammad Morshadul Hasan

• Nanjing Audit University, China

autor

Shajib Khan

• Nanjing Audit University, China

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Identyfikatory

DOI

https://doi.org/10.19197/tbr.v19i1.315