A Review of Capital Asset Pricing Models

22 Pages Posted: 5 Oct 2004

See all articles by Don U. A. Galagedera

Don U. A. Galagedera

Monash University - Department of Econometrics and Business Statistics

Date Written: March 2004

Abstract

This paper provides a review of the main features of asset pricing models. The review includes single-factor and multi-factor models, extended forms of the Capital Asset Pricing Model (CAPM) with higher-order co-moments and asset pricing models conditional on time varying volatility models.

Keywords: Asset pricing, CAPM, single-factor models, multi-factor models

JEL Classification: G11, G12

Suggested Citation

Galagedera, Don (Tissa) U. A., A Review of Capital Asset Pricing Models (March 2004). Available at SSRN: https://ssrn.com/abstract=599441 or http://dx.doi.org/10.2139/ssrn.599441

Don (Tissa) U. A. Galagedera (Contact Author)

Monash University - Department of Econometrics and Business Statistics ( email )

900 Dandenong Road
Caulfield East, VIC 3145
Australia
+61 3 9903 1578 (Phone)
+61 3 9903 2007 (Fax)

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