Improving the methodology for calculation of the return on shares using the asset pricing model

Financial markets are a typical example of a highly organized mechanism that contains layers of both regular and fluctuating processes. The most typical case here is the example of fluctuations in the value of shares of the banking sector against the background of news or insiders about changes in the interest rate. On the other hand, there are companies whose share price changes in opposite directions at the same event. The methodology for studying global and structural changes based on exogenous sources that set long-term trends in the financial market is the technical and fundamental approaches. For individual cases of analyzing the profitability of companies, private modifications of the CAPM model can be created, which have improved calculation indicators. The author has studied the dynamics and trajectory of the stock market in relation to the S&P 500 index of the largest American corporations. A wide time interval made it possible to test the behavior of the system during the last three major global crises, including the collapse of the mortgage market in 2008-2010, a sharp slowdown in economic growth in 2015, and the coronavirus pandemic in 2019. The author substantiates the expediency of using a modified CAPM model for improving the accuracy of investment assessments of financial market entities.