asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market …

A test of the CAPM is developed conditional on a prior belief about the correlation between the true market return and … the inefficiency of the proxy. An extension of the proposed test to a CAPM with conditioning information links …

findings indicate that there is considerable evidence against the long-run neutrality (LRN) of money in Malaysia’s stock market …

month-of-the-year effect, long-term investors may adopt the buy-and-hold strategy in the Malaysia stock market to obtain …

This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for … standard CAPM model with constant beta (Model I), the standard CAPM model with time-varying beta (Model II), the CAPM model … conditional on segregating positive and negative market risk premiums with constant beta (Model III), as well as the CAPM model …