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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Universiti Utara Malaysia
1999
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/510/1/Ch%27ng_Huck_Khoon.pdf |
| _version_ | 1825739693438795776 |
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| 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 |
| collection | UUM |
| 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. |
| first_indexed | 2024-07-04T05:13:38Z |
| format | Article |
| id | uum-510 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T05:13:38Z |
| publishDate | 1999 |
| publisher | Universiti Utara Malaysia |
| record_format | eprints |
| spelling | uum-5102015-06-28T01:35:39Z https://repo.uum.edu.my/id/eprint/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 https://repo.uum.edu.my/id/eprint/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 |
| 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 |
| title | 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_short | 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 |
| topic | HG Finance |
| url | https://repo.uum.edu.my/id/eprint/510/1/Ch%27ng_Huck_Khoon.pdf |
| work_keys_str_mv | AT chnghuckkhoon capmoraptacomparisonoftwoassetpricingmodelsformalaysia AT sandaahmaduumaru capmoraptacomparisonoftwoassetpricingmodelsformalaysia AT guptags capmoraptacomparisonoftwoassetpricingmodelsformalaysia |