This study compares CAPM versus FF3FM using multiple regression analysis and Thiel's U2 Test for stock returns in Kuala Lumpur Stock Exchange. Explanatory power of market, size, and growth factors for the time-series expected stock returns is also examined in this study. The results indicate ...
A Statistical Comparison of the CAPM to the Fama-French Three Factor Model and the Carhart's Model The goal of this study is to compare the CAPM to the Fama-French (FF) Three Factor Model and to Carhart‟s extension of the FF Model with regard to (1) s... ZY Bello - 《Social ...
In the study, the Kuala Lumpur Composite Index (KLCI) for Malaysia, the Jakarta Islamic Index (JKII) for Indonesia, the Karachi Meezan Index (KMI) for Pakistan and the Participation Index (KATLM) for Turkey were selected for the study and analysis was carried out on...