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CAPM or APT? A comparison of two asset pricing models for Malaysia

This study uses monthly return data on 213 stocks listed on the main board of Kuala Lumpur Stock Exchange, Malaysia for the period September 1988 to June 1997 to compare two frequently cited asset pricing models: the capital asset pricing model, CAPM and the arbitrage pricing theory, APT. A comparis...

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Main Authors: Ch'ng, Huck Khoon, Sanda, Ahmadu Umaru, Gupta, G.S.
Format: Article
Language:English
Published: Universiti Utara Malaysia 1999
Subjects:
HG Finance
Online Access:http://repo.uum.edu.my/510/1/Ch%27ng_Huck_Khoon.pdf
http://repo.uum.edu.my/510/
http://mmj.uum.edu.my
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spelling my.uum.repo.5102015-06-28T01:35:39Z http://repo.uum.edu.my/510/ CAPM or APT? A comparison of two asset pricing models for Malaysia Ch'ng, Huck Khoon Sanda, Ahmadu Umaru Gupta, G.S. HG Finance This study uses monthly return data on 213 stocks listed on the main board of Kuala Lumpur Stock Exchange, Malaysia for the period September 1988 to June 1997 to compare two frequently cited asset pricing models: the capital asset pricing model, CAPM and the arbitrage pricing theory, APT. A comparison was performed along the lines of Chen (1983) and the results showed the APT to perform better than the CAPM in explaining the variations in cross section of returns. The implication for investors is that the market index is but one of several sources of risk , which should be taken into account in any decision governing investment in the stock market. Universiti Utara Malaysia 1999 Article PeerReviewed application/pdf en http://repo.uum.edu.my/510/1/Ch%27ng_Huck_Khoon.pdf Ch'ng, Huck Khoon and Sanda, Ahmadu Umaru and Gupta, G.S. (1999) CAPM or APT? A comparison of two asset pricing models for Malaysia. Malaysian Management Journal, 3 (2). pp. 49-72. ISSN 0128-6226 http://mmj.uum.edu.my
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
language English
topic HG Finance
spellingShingle HG Finance
Ch'ng, Huck Khoon
Sanda, Ahmadu Umaru
Gupta, G.S.
CAPM or APT? A comparison of two asset pricing models for Malaysia
description This study uses monthly return data on 213 stocks listed on the main board of Kuala Lumpur Stock Exchange, Malaysia for the period September 1988 to June 1997 to compare two frequently cited asset pricing models: the capital asset pricing model, CAPM and the arbitrage pricing theory, APT. A comparison was performed along the lines of Chen (1983) and the results showed the APT to perform better than the CAPM in explaining the variations in cross section of returns. The implication for investors is that the market index is but one of several sources of risk , which should be taken into account in any decision governing investment in the stock market.
format Article
author Ch'ng, Huck Khoon
Sanda, Ahmadu Umaru
Gupta, G.S.
author_facet Ch'ng, Huck Khoon
Sanda, Ahmadu Umaru
Gupta, G.S.
author_sort Ch'ng, Huck Khoon
title CAPM or APT? A comparison of two asset pricing models for Malaysia
title_short CAPM or APT? A comparison of two asset pricing models for Malaysia
title_full CAPM or APT? A comparison of two asset pricing models for Malaysia
title_fullStr CAPM or APT? A comparison of two asset pricing models for Malaysia
title_full_unstemmed CAPM or APT? A comparison of two asset pricing models for Malaysia
title_sort capm or apt? a comparison of two asset pricing models for malaysia
publisher Universiti Utara Malaysia
publishDate 1999
url http://repo.uum.edu.my/510/1/Ch%27ng_Huck_Khoon.pdf
http://repo.uum.edu.my/510/
http://mmj.uum.edu.my
_version_ 1644277810954502144
score 13.18916

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