ESTIMATING BETA AND THE SECURITY MARKET LINE CAPM TEST FOR DOW JONES 30 DURING THE PERIOD (2015-2019).

The aim of this study is estimating beta and the security market line CAPM test for Dow Jones 30 during the Period (2015-2019). The study discusses the definition of CAPM. Also, it discusses the study of CAPM and estimating beta; it then explains tested the CAPM model by using two passes first-pass regression and second-pass regression. Moreover, in first pass regression we calculate the excess return, beta, alpha ?i, and R-Squared as regressed on S&P 500 for S&P 500 and companies, and In second pass regression as it was shown before in this study if CAPM is valid, then ?0 should equal zero and ?1 equal excess return. The study uses the financial models and equations estimating beta and the security Market Line CAPM test. And the result show the CAPM, the average excess return equal 0.005809 (0.006658919 - 0.00085028) which is not equal to ?1 also ?0, not equal zero. Furthermore, the t-test for beta is not significant. As the result, the test of SML failed, so the CAPM is not valid and not describe the relationship between the excess return and portfolio ? in the study. So the CAPM is not valid and the model does not clarify the result which came out, and we cannot explain the relationship between return and the sensitivity of stock in the portfolio.