Author(s)

Zihao Zhang

Corresponding Author

Zihao Zhang

ABSTRACT

In modern finance theory, the Capital Asset Pricing Model (CAPM) is one of the most fundamental models used to predict the price of assets. It states that the expected return of a risky asset is linearly related to its systematic risk factor, i.e., beta. In this paper, we aim to test the effectiveness of CAPM in social media stock market. The study is conducted for a period of 301 trading days ranging from April 22nd, 2019 to June 30th, 2020 with daily return data and Fama-MacBeth rolling OLS regression methodology being applied. The results show that CAPM has a certain explainability and can be helpful for investors when making decisions.

KEYWORDS

CAPM, Beta, Social media market, regression