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https://ptsldigital.ukm.my/jspui/handle/123456789/454340| Title: | Risk and return: CAPM and CCAPM |
| Authors: | Chen, Ming-Hsiang |
| Conference Name: | The thirteenth Annual PACAP/FMA Finance Conference |
| Keywords: | Asset pricing CAPM Capital markets -- Taiwan CCAPM |
| Conference Date: | 2001-07-05 |
| Conference Location: | Westin Chosun Hotel, Seoul, Korea Radisson Plaza Hotel, Seoul, Korea |
| Abstract: | Can consumption growth serve a better measure of risk than market beta? This paper tests the performance of the traditional CAPM and consumption-based CAPM (CCAPM) across seven industry sub-sectors in the emerging Taiwan stock market. The empirical performance of the CAPM is encouraging. The relationship between stock returns and beta is statistically significant and the coefficient of determination of the regression is high across all seven sectors of the Taiwan stock market. In comparison, the CCAPM fails to explain the assets market in Taiwan although the consumption beta should offer a better measure of systematic risk theoretically. |
| Pages: | 8 |
| Call Number: | HG4026.A536 2001 katsem |
| URI: | https://ptsldigital.ukm.my/jspui/handle/123456789/454340 |
| Appears in Collections: | Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding |
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