The explanatory power of six asset-pricing models are tested and compared in this study. The models include the four known asset pricing models: the CAPM, the Fama and French's (1996) Three-Factor model, the Carhart's (1997)'s Four-Factor model, a model similar to Zepeda's (1999) Five-Factor model. Additionally, it includes two new models - the Five-Factor-Volume (5F-V) model and the Six-Factor model, which are developed in line with Ross's (1976) Arbitrage Pricing Theory.
| Identifer | oai:union.ndltd.org:ADTP/201925 |
| Date | January 2006 |
| Creators | Kartika, Tjandra |
| Source Sets | Australiasian Digital Theses Program |
| Language | EN-AUS |
| Detected Language | English |
| Rights | Copyright Tjandra Kartika 2006 |
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