Iqbal, Javed; Brooks, Robert; Galagedera, Don UA - Volkswirtschaftliche Fakultät, … - 2007
This paper tests and compares the CAPM of Black (1972) and the Mean Lower Partial Moment (MLPM) Capital Asset Pricing Model of Bawa and Lindenberg (1977) and Harlow and Rao (1989) in the context of emerging markets. It is well known that returns in emerging markets are non-normal and have...