Financial evaluation of Tadawul All Share Index (TASI) listed stocks using Capital Asset Pricing Model
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Received November 30, 2019;Accepted May 7, 2020;Published May 15, 2020
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DOIhttp://dx.doi.org/10.21511/imfi.17(2).2020.06
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Article InfoVolume 17 2020, Issue #2, pp. 69-75
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Cited by3 articlesJournal title: Computational Intelligence and NeuroscienceArticle title: Application of Capital Asset Pricing Model Based on BP Neural Network in E-commerce FinancingDOI: 10.1155/2022/5654271Volume: 2022 / Issue: / First page: 1 / Year: 2022Contributors: Guojing Geng, Zhigui Guan, Gengxin SunJournal title: Journal of MathematicsArticle title: Application of Radial Basis Function Neural Network Coupling Particle Swarm Optimization Algorithm to Classification of Saudi Arabia Stock ReturnsDOI: 10.1155/2021/5593705Volume: 2021 / Issue: / First page: 1 / Year: 2021Contributors: Khudhayr A. Rashedi, Mohd Tahir Ismail, Nawaf N. Hamadneh, S. AL Wadi, Jamil J. Jaber, Muhammad Tahir, Riaz AhmadJournal title: Journal of Sustainable Finance & InvestmentArticle title: Environmental social governance: a core value to responsible stakeholders and stock market sustainability in the Kingdom of Saudi ArabiaDOI: 10.1080/20430795.2020.1827602Volume: 12 / Issue: 4 / First page: 1085 / Year: 2022Contributors: Nisa Vinodkumar, Ghadah Alarifi
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The Kingdom of Saudi Arabia is strongly committed to stimulating savings culture in the local community by providing financial literacy in financial planning, investments, and budgeting. Inculcating the savings and investment behavior among the people will help materialize one of the elements of Saudi Vision 2030. Tadawul, being the most liquid stock market in the Middle East and North Africa, offers investors the ability to grow their capital with confidence through facilitating trading in different securities such as equities, debt instruments, and Exchange Traded Funds (ETFs). There is a great scope for investors to invest in the companies listed in Tadawul All Share Index (TASI) due to its strong economic fundamentals. The present study aims to apply the CAPM in Tadawul listed stocks, which will help in understanding the systematic and unsystematic risk associated with stocks, understanding their actual and theoretical return on stocks. The methodology adopted is the analysis of secondary data for all listed stocks in Tadawul using the Bloomberg terminal. The financial valuation includes elements like beta, alpha, correlation and standard deviation, expected return and actual return. The practical value obtained from the study will help investors go for undervalued stocks with lower beta, higher expected annual return, and lower systematic risks. Thus, the result shows the predicting power in KSA market and the scope for long-term investments by the investors to boost their savings and investment behavior and materialize one element of Vision 2030.
Acknowledgment
This research was funded by the Deanship of Scientific Research at Princess Nourah bint Abdulrahman University through the Fast-Track Research Funding Program.
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JEL Classification (Paper profile tab)G10, G14
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References32
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Tables4
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Figures0
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- Table 1. Valuation of stocks listed in Tadawul as of 2019
- Table 2. Beta (β) value of stocks listed in Tadawul as of 2019
- Table 3. Alpha (α) value of stocks listed in Tadawul as of 2019
- Table 4. Correlation between stock returns and benchmark index returns as of 2019
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