Yakob, Noor Azuddin and Beal, Diana and Delpachitra, Sarath (2005) Risk-return relationship from the Asia Pacific perspective. In: 3rd Financial Markets Asia-Pacific Conference, 26-27 May 2005, Sydney, Australia.
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Despite the criticisms on the validity of the CAPM, finance researchers continue to adopt the model in trying to describe the relationship between risk and return. The introduction of the GARCH(p,q)-M model provides an avenue for testing the model within the time-varying variance framework. This study employs the same model to address the issue within ten selected Asia Pacific countries. The result, though not comprehensive, shows that the CAPM still holds in explaining the risk-return relationship in China and Malaysia. The significant positive risk parameter coefficient suggests a positive linear relationship which indicates that investors are compensated for assuming high risk. Judging by the significant finding in China and Malaysia, this study provides evidence that the conditional CAPM is a useful tool for decision making in investments and corporate finance.
|Item Type:||Conference or Workshop Item (Commonwealth Reporting Category E) (Paper)|
|Uncontrolled Keywords:||capital asset pricing model; CAPM; risk return relationship; GARCH(p,q)-M model; China; Malaysia|
|Fields of Research (FOR2008):||15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management|
15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150202 Financial Econometrics
14 Economics > 1403 Econometrics > 140303 Economic Models and Forecasting
|Subjects:||350000 Commerce, Management, Tourism and Services > 350300 Banking, Finance and Investment > 350302 Financial Econometrics|
|Socio-Economic Objective (SEO2008):||B Ecomonic Development > 91 Economic Framework > 9102 Microeconomics > 910206 Market-Based Mechanisms|
|Deposited On:||11 Oct 2007 10:18|
|Last Modified:||22 Sep 2011 14:30|
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