Multivariate testing of the capital asset pricing model in the Hong Kong stock market

Author Name: Yue-Cheong Chan Published online: 06 Oct 2010. Journal name: Taylor & Francis

E(Ri ) =i E(Rm )

Independent

Dependent

Market portfolio (Rm)

Expectation operator E(.)

Expected return(ri)

Coefficient ()

This paper is one of the exploratory studies that use multivariate approach to test CAPM in the emerging Asian stock market. Such a method can capture the statistical properties of residual terms and thus give an e ciency gain in the parameter estimates. It is suggested future research be carried out in thesamevein. For example, some recent researchon the United States stock market has found evidenceofcross-autocorrelation in stock returns and it may be fruitful to incorporate this property into the estimation procedure.

Beta lives - some statistical perspectives on the capital asset pricing model
Author Name: C. J. Adcock & E. A. Clark Published Date: 15 Oct 2010 Journal Name: Taylor & Francis
Independent variable Dependent variable

Risk free rate Rf

Coefficient
Expected return [Ri]

Market portfolio
{E ([RM]

Risk free Rf}