العلاقة بين العائد والمخاطرة وفقا لنموذج تسعير الأصول الرأسمالية -دراسة تطبيقية على عينة من الشركات المدرجة في بورصة السعودية

Abstract

This study aims to examine the accuracy of the Capital Asset Pricing Model (CAPM) in assessing the risk-return relationship in the Saudi financial market, through an applied analysis of four banks listed on the Saudi Stock Exchange during the period 2022–2025: Al Rajhi Bank, Riyad Bank, Al Ahli Saudi Bank, and Arab National Bank. The study further seeks to demonstrate the role of the beta coefficient in measuring systematic risk and determining required stock returns within the specific context of the Saudi market. The study reached the following findings: A significant divergence was found between CAPM-predicted returns and actual realized returns. Riyad Bank and Arab National Bank fell considerably short of model expectations, Al Ahli Bank recorded a negative actual return despite positive forecasts, while Al Rajhi Bank demonstrated relative resilience against the model's sharply negative predictions. Beta analysis classified Al Rajhi Bank as an aggressive stock (β = 1.198), whereas the other three banks exhibited defensive characteristics with negative beta values. The study concludes that the risk-free rate of return in Saudi Arabia frequently exceeds expected equity returns, which may explain a rational investor preference toward safer and more viable alternative investment instruments.