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Empirical evidence on the capital asset pricing model (CAPM) in two Scandinavian stock exchanges

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  • Östermark, R

Abstract

In the paper the Capital Asset Pricing Models of two Scandinavian Stock Markets are compared. With Finnish Stock data, a lower coefficient of determination is obtained than with Swedish Stock data. With Swedish data, the explanatory power of the squared beta and standard error components is markedly better. In so far as the sign of the regression coefficients is concerned, the Finnish models show a better correspondence with international evidence on the maifunctioning of the CAPM. With Swedish data, the coefficients are fairly close to those obtained with multiple factor models in the US-stock market. The finding suggests that the standard CAPM is unable to exhaustively represent the economic forces of capital asset pricing, especially in Sweden.

Suggested Citation

  • Östermark, R, 1991. "Empirical evidence on the capital asset pricing model (CAPM) in two Scandinavian stock exchanges," Omega, Elsevier, vol. 19(4), pages 223-234.
    • Handle: RePEc:eee:jomega:v:19:y:1991:i:4:p:223-234
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    Citations

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    Cited by:

    1. Ho, Ron Yiu-wah & Strange, Roger & Piesse, Jenifer, 2006. "On the conditional pricing effects of beta, size, and book-to-market equity in the Hong Kong market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 199-214, July.
    2. João Paulo Vieito & Wing-Keung Wong & Zhen-Zhen Zhu, 2016. "Could the global financial crisis improve the performance of the G7 stocks markets?," Applied Economics, Taylor & Francis Journals, vol. 48(12), pages 1066-1080, March.
    3. Lesław Markowski, 2019. "Stock market situation and relations between beta coefficients and returns determined by the CAPM on the example of companies from the ICT sector," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 54, pages 393-408.
    4. Rutkowska-Ziarko, Anna & Markowski, Lesław & Pyke, Christopher & Amin, Saqib, 2022. "Conventional and downside CAPM: The case of London stock exchange," Global Finance Journal, Elsevier, vol. 54(C).
    5. Rutkowska – Ziarko, Anna & Markowski, Lesław & Abdou, Hussein A., 2024. "Conditional CAPM relationships in standard and accounting risk approaches," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    6. Vieito, João Paulo & Wong, Wing-Keung & Chow, Sheung Chi, 2016. "Stock Market Liberalizations and Efficiency: The Case of Latin America," MPRA Paper 68949, University Library of Munich, Germany.
    7. Dinh, Minh Thi Hong, 2017. "The returns, risk and liquidity relationship in high frequency trading: Evidence from the Oslo stock market," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 30-40.

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    Keywords

    CAPM Scandinavian stock markets;

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