Testing the Performance of Asset Pricing Models in Different Economic and Interest Rate Regimes Using Individual Stock Returns
Using return data for all stocks continuously traded on the NYSE over the period July 1963 to December 2006, we tested the performance of the two-moment Capital Asset Pricing Model (CAPM) and the Fama French three-factor model in explaining individual stock returns. We found the performance of Fama...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Utara Malaysia
2010
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| Subjects: | |
| Online Access: | http://repo.uum.edu.my/25061/1/IJBF%207%201%202010%2079%2098.pdf http://repo.uum.edu.my/25061/ http://ijbf.uum.edu.my/index.php/previous-issues/139-the-international-journal-of-banking-and-finance-ijbf-vol-7-no-1-feb-march-2010 |
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