Cheng, Ai-Ru; Jahan-Parvar, Mohammad R.; Rothman, Philip - In: Journal of Empirical Finance 17 (2010) 3, pp. 413-427
This paper analyzes excess market returns in the relatively understudied financial markets of nine Middle Eastern and North African (MENA) countries within the context of three variants of the Capital Asset Pricing Model: the static international CAPM; the constant-parameter intertemporal CAPM;...