Multifactor capital asset pricing model in emerging and advanced markets using two error components model

• Main Authors: Radamanee Noppasit, Woraphon Yamaka, Paravee Maneejuk, Wachirawit Puttachai, Songsak Sriboonchitta
• Format: Journal
• Published: 2020
• Subjects: Business, Management and Accounting; Decision Sciences; Economics, Econometrics and Finance
• Online Access: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85083289460&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/70298
• Institution: Chiang Mai University

© 2020 Inderscience Enterprises Ltd. We aim to explore the macroeconomic factors that are able to influence the return of the stock market in emerging and advanced markets. To find such factors, we analyse the data from three emerging countries and three developed countries. The multifactor capital...