capital in the emerging markets. The Capital Asset Pricing Model (CAPM) that is most often used for this purpose in the …. Various factor models have been proposed to overcome the shortcomings of the CAPM. This paper examines both the CAPM and the … countries. We find, as expected, that the CAPM is not able to do this task. However, a four-factor model, including factors such …

capital in the emerging markets. The Capital Asset Pricing Model (CAPM), which is most often used for this purpose in the …. Various factor models have been proposed to overcome the shortcomings of the CAPM. This paper examines both the CAPM and … find, as expected, that the CAPM is not able to do this task. However, factor models, including factors such as the excess …

increase risk premia measured by relative swap spreads. The effect of deficits is significantly lower under EMU. This effect …

data from 49 countries we extend the conventional capital-asset pricing model (CAPM) to include a property rights risk …-factor. In the conventional CAPM model only a single risk factor – systemic risk – is considered. However, when using a world … CAPM model performs better in countries with more secure property rights. …

The pricing of equity in six European emerging capital markets is analysed using both the conventional CAPM and a â …€˜conditional’ CAPM wherein up and down markets are separated. International influences on the stock markets are also analysed. The … between beta and returns when up and down markets are separated. The international CAPM performs well in some markets that …

compared to CAPM and FFM only in the Indian context. The Fama French model seems to be an appropriate performance benchmark for …