2024
DOI: 10.24136/eq.2043
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Conventional and downside CAPM with higher-order moments: Evidence from emerging markets

Lesław Markowski

Abstract: Research background: Conventional CAPM is a well-known and tested theory on various capital markets. It was also repeatedly rejected as a model of capital pricing. This article proposes a different approach to both CAPM testing and the use of other risk measures. In addition, research is global, including emerging countries. Purpose of the article: This paper investigates the standard CAPM, and this model is based on higher moments of the return distribution for the global emerging market. In addition, this pa… Show more

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