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

ผู้แต่ง

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

คำสำคัญ:

CAPM, Latent-Vatent-Variable Model, return predictability

บทคัดย่อ

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.

ดาวน์โหลด

เผยแพร่แล้ว

1993-01-01

รูปแบบการอ้างอิง

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. สืบค้น จาก https://so04.tci-thaijo.org/index.php/kjss/article/view/244078

ฉบับ

ปีที่ 14 ฉบับที่ 1 (1993): January - June

ประเภทบทความ

Research articles

สัญญาอนุญาต

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