For determining the expected return, and asset pricing, CAPM (Capital pricing model) is being used dominantly grounded on only market (systematic) risk-factor though several anomalies have been revealed in this model. Fama French (1993) addressed those developed Three-factor model by combining size value factors besides factors. Over time, Carhart (1997) has further a addressing momentum factor...

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 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 ...