Stock Price Determination: A Comparative Analysis of the Capital Asset Pricing Model and the Arbitrage Pricing Theory in the Philippine Context 1989-1999
Date
2000
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Abstract
This paper aims to analyze the relationships between the stocks that comprise the Philippine Composite Index and specific macroeconomic variables such as money supply growth, inflation, T -bill rates, and changes in the foreign
exchange rate. Two models, the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), were used to evaluate individually the common stock issues comprising the Philippine Composite Index, and comparisons were made based on the results of the respective regressions. This
paper determined that while the study produced results that were not inconsistent with the CAPM, the APT provided additional explanatory power compared to the CAPM, as borne out by the regression results.
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Stock price