Research Article 
An Empirical Testing of Capital Asset Pricing Model in Bangladesh
Mostafizur Rahman, Azizul Baten and Ashraf-Ul- Alam
Journal of Applied Sciences, 2006, 6(3), 662-667.
Abstract
Capital Asset Pricing Model (CAPM) provides an equilibrium linear relationship between expected return and risk of an asset. The purpose of this study is to investigate the risk-return relationship within the CAPM framework. The study also aims at exploring whether CAPM is a good indicator of asset pricing in Bangladesh. For this the period 1999-2003 have been considered. Fama-French (1992) methodology on five variables-Stock market return, Beta, Book to market value, Size (Market capitalization) and Size 1 (Sales) are used to test this model. In this study the findings on the CAPM we have shown that the variables we have taken have significant relationship with stock return is still too alive on this ground.
ASCI-ID: 35-1138
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