earticle

영어

CAPM explains the rate of return for the risk asset by β, systematic risk. There are some assumption in CAPM. But CAPM can not explain the movement of stock price sufficiently due to limitation of the assumptions. Therefore many scholars study which variables with the exception of β effect on the rate of return of risk asset for supplementing this limitation by using PER, size of firm etc.. But it will be natural that PER, size of firm etc. to be determinant factors of β also effect on the abnormal rate of return, because PER, size of firm etc. used in their studies already effect on determination of β, . That is, the determinant factors of β effect on determination of abnormal rate of return according as β, effects on abnormal rate of return. Therefore, this study tests empirically how the determinant factors of β, effect on determination of β, ,and how β and the determinant factor of β effect on the abnormal rate of return in CAPM.