In recent years, the rapid and significant development of emerging markets has globally led to insight from potential investors academicians seeking assess these in terms risk inheritance. Therefore, this study aims explore validity applicability capital asset pricing model (henceforth CAPM) multi-factor models, namely Fama–French Pakistan’s stock market for period June 2010–June 2020. This col...

This paper investigates risk premiums embedded in commodity convenience yields, i.e., returns on convenience-claim investments. The analysis is conducted in two steps. First, monthly convenience yields are extracted from a broad sample of commodity futures by using a three-factor model. Second, a multi-factor asset pricing model with conditional betas is estimated to determine risk premiums emb...

When consumption betas of stocks are computed using year-over-year consumption growth based upon the fourth quarter, the consumption-based asset pricing model (CCAPM) explains the cross-section of stock returns as well as the Fama and French (1993) three-factor model. The CCAPM's performance deteriorates substantially when consumption growth is measured based upon other quarters. For the CCAPM ...

Equity markets are increasingly seen as important sources of investment funds in many emerging economies. Furthermore, many countries see the development of such markets as a means to facilitate both foreign equity portfolio investment and foreign direct investment (FDI). This may occur through acquisition of shareholdings in domestic companies, which supplements the low levels of funding from ...

This paper employs a new approach to analyze potentially omitted non-diversifiable factors in the idiosyncratic risks from multi-factor asset pricing models. It is shown that if there is an omitted non-diversifiable hidden factor, the idiosyncratic risks will contain persistent cross-sectional memory. An extended Rescaled Variance test generalized from L. Giraitis, P. Kokoszaka, R. Leipus, and ...