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A TEST OF ARBITRAGE PRICING THEORY: EVIDENCE FROM MALAYSIA

This study uses monthly data (from September 1988 to June 1997) on 213 stocks listed on the Main Board of the Kuala Lumpur Stock Exchange to investigate whether cross-sectional variations in stock returns are sufficiently explained by the Arbitrage Pricing Theory (APT). The study uses two approaches... Full description

Journal Title: The Asia Pacific journal of economics & business 2001, Vol.5 (1), p.76
Main Author: Ch'ng Huck Khoon
Other Authors: G S Gupta
Format: Electronic Article Electronic Article
Language: English
Subjects:
Quelle: Alma/SFX Local Collection
Publisher: Perth: Asia Pacific Journal of Economics and Business
ID: ISSN: 1326-8481
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title: A TEST OF ARBITRAGE PRICING THEORY: EVIDENCE FROM MALAYSIA
format: Article
creator:
  • Ch'ng Huck Khoon
  • G S Gupta
subjects:
  • Arbitrage
  • Capital assets
  • CAPM
  • Discriminant analysis
  • Emerging markets
  • Macroeconomics
  • Rates of return
  • Securities markets
  • Stock exchanges
  • Studies
ispartof: The Asia Pacific journal of economics & business, 2001, Vol.5 (1), p.76
description: This study uses monthly data (from September 1988 to June 1997) on 213 stocks listed on the Main Board of the Kuala Lumpur Stock Exchange to investigate whether cross-sectional variations in stock returns are sufficiently explained by the Arbitrage Pricing Theory (APT). The study uses two approaches-factor analysis and the macroeconomic factors technique. The results indicate that the APT model is quite robust, and that two unknown factors are significant in the first approach and just one (expected inflation) in the second approach to explaining the cross-sectional variations in stock returns. [PUBLICATION ABSTRACT]
language: eng
source: Alma/SFX Local Collection
identifier: ISSN: 1326-8481
fulltext: fulltext
issn:
  • 1326-8481
url: Link


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titleA TEST OF ARBITRAGE PRICING THEORY: EVIDENCE FROM MALAYSIA
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descriptionThis study uses monthly data (from September 1988 to June 1997) on 213 stocks listed on the Main Board of the Kuala Lumpur Stock Exchange to investigate whether cross-sectional variations in stock returns are sufficiently explained by the Arbitrage Pricing Theory (APT). The study uses two approaches-factor analysis and the macroeconomic factors technique. The results indicate that the APT model is quite robust, and that two unknown factors are significant in the first approach and just one (expected inflation) in the second approach to explaining the cross-sectional variations in stock returns. [PUBLICATION ABSTRACT]
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issn1326-8481
abstractThis study uses monthly data (from September 1988 to June 1997) on 213 stocks listed on the Main Board of the Kuala Lumpur Stock Exchange to investigate whether cross-sectional variations in stock returns are sufficiently explained by the Arbitrage Pricing Theory (APT). The study uses two approaches-factor analysis and the macroeconomic factors technique. The results indicate that the APT model is quite robust, and that two unknown factors are significant in the first approach and just one (expected inflation) in the second approach to explaining the cross-sectional variations in stock returns. [PUBLICATION ABSTRACT]
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