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    STUDIA OECONOMICA - Issue no. 2 / 2003  
         
  Article:   TESTING CAPITAL ASSET PRICING MODEL ON THE BSE.

Authors:  ALEXANDRU TODEA, ADRIANA CORNEA. 		 
       
         
  Abstract:  The relation between stocks’ rentability and their market risk was presented for the first time through the Capital Asset Pricing Model. The model itself has some difficulties in empirical testing, even though has a very strong theoretical base. This paper deals with testing the CAPM on the Bucharest Stock Exchange, using individual stocks and portfolios. The relation between rentability and market risk is direct and very weak on the BSE. This result is similar with that obtained on the important stocks exchanges, abroad. Thus, β remains an useful instrument for investors, but, it has to be used together with other factors (size and book-to market) in order to explain stocks’ rentability.  
         
     
         
         
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