Stock Volatility tests with the CAPM and Fama–French three-factor model: particular reference to world's top 10 largest companies

Abstract

The primary purpose of this study is to show the return portfolio and stock volatility of the world's top 10 most prominent companies. The risks and return portfolio has been shown in this study by using the CAPM model using the Fama-French three-factor model implied different equity observations from stock prices. Besides, this study evaluates the relationship between systematic risk and the expected return of the selected companies’ stocks. A comprehensive analysis has accomplished with the secondary data sources from world's largest stock market. The expected return structure have also explored by comparing the market competition. Moreover, using these combined models, the comparison of different forces of the stock market among the selected companies have addressed in this study.