Testarea modelului CAPM pentru piața de capital din România
Testing the CAPM model for the Romanian capital market

Summary/Abstract: This paper investigates the the relationship between return and risk, by analyzing ten companies listed on the Bucharest Stock Exchange for the period of 2010 – 2020. Using the Capital Asset Pricing Model (CAPM), I determined if the shares of these companies are correctly valuated on the market. By analyzing descriptive statistics I showed that between the risk and the return of a portfolio consists of risky assets there is a positive relationship, therefore if the risk increases, then the profitability increases too. The CAPM model indicated that the estimates for alpha coefficient are not significantly different from zero, while for beta coefficient estimates are significantly different from zero on a number of shares. The results obtained by estimating the regression models answer to the question if the analyzed shares are correctly priced on the Romanian capital market.

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