摘要翻译：
本文利用2007年3月1日至2009年11月10日期间乌干达证券交易所上市的11家公司中的10家公司的月度股票收益率，检验了资本资产定价模型(CAPM)在乌干达股票市场上的有效性。由于没有现成的乌干达证券交易所（USE）数据，而且每日价目表仅以pdf格式放在USE网站：http://www.USE.or.ug上，本文还讨论了挖掘所需数据的程序。所有证券都放在一个投资组合中，以便分散公司特定的部分回报，从而提高贝塔估计的精确度。乌干达和非乌干达投资者和市场研究人员都应该对这份文件感兴趣。虽然许多发展中国家对外国参与资本和货币市场有法律限制，但乌干达的情况并非如此，它已成为鼓励外国资本流动的政府政策的一部分，以刺激小型和不发达市场的发展。本文考察了Black，Jensen和Scholes(1972)CAPM版本。这个版本预测了一个非零贝塔利率，以及高收益与高风险的关系。得到的估计的零贝塔率在统计上与零没有区别，估计的投资组合贝塔系数在统计上是显著的，这提供了证据，证明传统形式的CAPM仍然适用，尽管贝塔系数不能很好地解释风险和收益之间的关系。
---
英文标题：
《Testing the Capital Asset Pricing Model (CAPM) on the Uganda Stock
  Exchange》
---
作者：
David Wakyiku
---
最新提交年份：
2010
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--

---
英文摘要：
  This paper examines the validity of the Capital Asset Pricing Model (CAPM) on the Ugandan stock market using monthly stock returns from 10 of the 11 companies listed on the Uganda Stock Exchange (USE), for the period 1st March 2007 to 10th November 2009. Due to the absence of readily available Uganda Stock Exchange(USE) data, and the placement of daily price lists in pdf only, on the USE website: http://www.use.or.ug, the article also discusses the procedures taken to mine the data needed. The securities were all put in one portfolio in order to diversify away the firm-specific part of returns thereby enhancing the precision of the beta estimates. This paper should be of interest to both Ugandan and non-Ugandan investors and market researchers. While many developing countries have legal restrictions against foreign participation in capital and money markets, this is not so in Uganda, where it has become part of government policy to encourage foreign capital in flow, inorder to stimulate the development of the small and underdeveloped markets.   The Black, Jensen, and Scholes (1972) CAPM version is examined in this article. This version predicts a non zero-beta rate, along with the relation of higher returns to higher risk. The estimated zero-beta rate obtained is not statistically different from zero, and the estimated portfolio beta coefficient is statistically significant, providing evidence that the traditional form of CAPM holds on the USE, albeit having a beta coefficient that is not good at explaining the relationship between risk and return.
---
PDF链接：
https://arxiv.org/pdf/1101.0184