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Cost Of Equity Capital For Insurance Companies Listed In Saudi Stock Exchange

Cost Of Equity Capital For Insurance Companies Listed In Saudi Stock Exchange

Bendob Ali
URI: http://e-biblio.univ-mosta.dz/handle/123456789/11246
Date: 2018-01-31

Résumé:

This study tests the capital asset pricing model (CAPM) for measuring the cost of equity capital. It analysis the heteroscedasticity problem in all insurance companies listed on the Saudi stock exchange during the period between 02/01/2010 to 13/11/2013. We conclude that there is the ARCH effect in the residue of CAPM to all the companies studied; which the CAPM model indicates is not qualified to estimate the cost of equity capital, especially during the period of higher volatility, and as such requires reliance on models (CAPM-GARCH) to estimate the cost of capital.

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