A Test of Conditional CAPM Preliminary Findings for the Thai Capital Market.

Authors

  • Anya Khanthavit Faculty of Commerce and Accountancy, Thammasat University.
  • Angkarat Priebjrivat School of Business Administration, NIDA

Keywords:

CAPM, Latent-Vatent-Variable Model, return predictability

Abstract

The study employs five Thai securities to test the conditional capital asset pricing model which allows expected returns to be time-varying but constrains market betas to be constant. It finds weak evidence against the proportionality restrictions implied by the model. But the zero-intercept conditions are strongly rejected.

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Published

01-01-1993

How to Cite

Khanthavit, A., & Priebjrivat, A. (1993). A Test of Conditional CAPM Preliminary Findings for the Thai Capital Market. Kasetsart Journal of Social Sciences, 14(1), 109–116. Retrieved from https://so04.tci-thaijo.org/index.php/kjss/article/view/244078

Issue

Vol. 14 No. 1 (1993): January - June

Section

Research articles

License

This is an open access article under the CC BY-NC-ND license http://creativecommons.org/licenses/by-nc-nd/4.0/

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