The emergence of CAPM Hybrid model against traditional CAPM : evidence from Malaysian finance industry / Akmal Nashreq Abd Malik

Abd Malik, Akmal Nashreq (2016) The emergence of CAPM Hybrid model against traditional CAPM : evidence from Malaysian finance industry / Akmal Nashreq Abd Malik. [Student Project] (Unpublished)

Abstract

This research paper will investigate the frontier between CAPM and the CAPM Hybrid. For CAPM Hybrid, Bond Yield is used as a proxy of risk free rate instead of using treasury-bills as what's been practiced in the traditional CAPM. The data on KLCI , bond yield rate and treasury bills will be collected from Bursa Malaysia from the year 2009 to 2014. For the purpose of conducting a panel data analysis, 7 companies from banking industry will be selected by using a stratified random sampling. Various tests such as Root Mean Square Error (RMSE) and Mean Absolute Error (MAE), Paired Sample T Test, Unit root, multicollinearity, serial correlation and heteroscedasticity test will be taken to detect the econometric problem within the datasets.

Metadata

Item Type: Student Project
Creators:
Creators
Email / ID Num.
Abd Malik, Akmal Nashreq
2013758289
Contributors:
Contribution
Name
Email / ID Num.
Advisor
Bujang, Imbarine
imbar074@uitm.edu.my
Subjects: H Social Sciences > HB Economic Theory. Demography > Methodology > Mathematical economics. Quantitative methods
H Social Sciences > HG Finance > General works. Financial institutions
H Social Sciences > HG Finance > Malaysia
Divisions: Universiti Teknologi MARA, Sabah > Kota Kinabalu Campus > Faculty of Business and Management
Programme: Bachelor of Business Administration (Hons) Finance
Keywords: CAPM; Banking; Financial model
Date: 2016
URI: https://ir.uitm.edu.my/id/eprint/73049
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