TAILIEUCHUNG - Modeling the autoregressive capital asset pricing model for top 10 selected securities in BSE

The study generalized for selecting of non -linear capital asset pricing model for top securities in BSE and made an attempt to identify the marketable and non-marketable risk of investors of top companies. The analysis was conducted at different stages. They are Vector auto regression of systematic and unsystematic risk. | Modeling the autoregressive capital asset pricing model for top 10 selected securities in BSE INTERNATIONAL JOURNAL OF MANAGEMENT IJM ISSN 0976-6502 Print ISSN 0976-6510 Online IJM Volume 7 Issue 2 February 2016 pp. 314-325 http ijm IAEME Journal Impact Factor 2016 Calculated by GISI MODELING THE AUTOREGRESSIVE CAPITAL ASSET PRICING MODEL FOR TOP 10 SELECTED SECURITIES IN BSE Dr. . David Sam Jayakumar Assistant Professor Jamal Institute of Management Tiruchirappalli 620 020 W. Samuel Research Scholar Jamal Institute of Management Tiruchirappalli 620 020 ABSTRACT Systematic risk is the uncertainty inherent to the entire market or entire market segment and Unsystematic risk is the type of uncertainty that comes with the company or industry we invest. It can be reduced through diversification. The study generalized for selecting of non - linear capital asset pricing model for top securities in BSE and made an attempt to identify the marketable and non-marketable risk of investors of top companies. The analysis was conducted at different stages. They are Vector auto regression of systematic and unsystematic risk. Key words Systematic Risk Unsystematic Risk and Vector Auto Regression Cite this Article Dr. . David Sam Jayakumar and W. Samuel. Modeling The Autoregressive Capital Asset Pricing Model For Top 10 Selected Securities In BSE. International Journal of Management 7 2 2016 pp. 314-325. http ijm INTRODUCTION AND RELATED WORK The capital asset pricing model CAPM of William Sharpe 1964 and John Lintner 1965 marks the birth of asset pricing theory resulting in a Nobel Prize for Sharpe in 1990 . Four decades later the CAPM is still widely used in applications such as estimating the cost of capital for firms and evaluating the performance of managed portfolios. The CAPM builds on the model of portfolio choice developed by Harry Markowitz 1959 . In Markowitz s model an investor selects a .

• Đầu tư Chứng khoán
• Non linear capital asset pricing model
• Non marketable risk of investors
• Vector auto regression
• Systematic and unsystematic risk
• Capital asset pricing model
• Risk return Portfolio theory asset pricing models
• Portfolio theory
• Capital market line
• Security market line
• Arbitrage pricing theory
• Corporate finance
• Risk management
• Capital structure
• Dividend policy
• Pricing model
• The capital asset pricing model
• Phe capital asset pricing model
• Economics and business
• Three factor model
• Business cycle
• Developing countries
• the three factor model
• Investment environment
• Lecture Investments
• Active portfolio management
• Capital markets
• Market risk premium
• Lecture Money Banking and Finance
• Bài giảng Tiền tệ ngân hàng
• Individual stock return
• Deriving the SML
• Managerial finance
• Lecture Managerial finance
• Financial statements
• Basic return concepts
• Basic risk concepts
• Noise trader risk
• Vietnam’s stock market
• Behavioral capital asset pricing model
• Kurtosis coefficient
• Cost of equity
• Cost of capital
• Competitive advantage period
• Empirical analysis
• Equity asset valuation
• Lecture Equity asset valuation
• Equity valuation
• Return concepts
• Quity risk premium
• Asset pricing
• Consumption based capital asset pricing model
• Risk premium
• Habit formation
• CCAPM horse race
• Fama and French three factor model
• HCMC stock exchange
• Explaining changes
• Investment appraisal
• Capital budgeting applications
• Market imperfections
• From financial statements
• Multiple linear regression model
• Average spread
• Variability in the returns
• Outstanding shares
• Closing bid
• Equilibrium in capital markets
• Financial instruments