size and book-to-market ratio in Chapter 3. This is a cross-sectional test of the conditional CAPM. The models examined …-factor asset pricing models. Models tested are the CAPM, the Fama-French three-factor model and a four-factor model including the … coefficients of coskewness and cokurtosis have the correct sign as predicted by the higher-moment CAPM theory but only cokurtosis …

kernel that depends on returns, as in the CAPM or the APT, can accurately price assets. In this sense, theory based on …

returns. The finance literature has uncovered several potential failings of the Capital Asset Pricing Model (CAPM). I … investigate the ability of additional risk factors, which are not considered by the CAPM, to explain these problems. In particular … to refine and reassess the cross-sectional evidence against the CAPM.In the first chapter, I test the cross …

, headquartered in Malaysia, and considered to be an emerging market. Statistical analysis was carried out using one-way analysis of …

The paper investigates hedging effectiveness of dynamic and constant models in the emerging market of Malaysia where … new capital control measures in Malaysia. Findings show that rankings of the hedging models change for the in … of higher information asymmetry following the imposition of capital controls in Malaysia. Overall, despite the structural …

in the literature. CAPM predicts exact linear relationshipbetween return and betas (SML). This means that estimated time …