Risk-return relationship from the Asia Pacific perspective

Paper

Yakob, Noor Azuddin, Beal, Diana and Delpachitra, Sarath. 2005. "Risk-return relationship from the Asia Pacific perspective." Daly, Kevin (ed.) 3rd Financial Markets Asia-Pacific Conference. Sydney, Australia 26 - 27 May 2005 Sydney, Australia.

Paper/Presentation Title	Risk-return relationship from the Asia Pacific perspective
Presentation Type	Paper
Authors	Yakob, Noor Azuddin (Author), Beal, Diana (Author) and Delpachitra, Sarath (Author)
Editors	Daly, Kevin
Journal or Proceedings Title	Proceedings of the 3rd Financial Markets Asia-Pacific Conference
Number of Pages	12
Year	2005
Place of Publication	Sydney, Australia
ISBN	9780646448435
Conference/Event	3rd Financial Markets Asia-Pacific Conference
Event Details	3rd Financial Markets Asia-Pacific Conference Event Date 26 to end of 27 May 2005 Event Location Sydney, Australia
Abstract	Despite the criticisms on the validity of the CAPM, finance researchers continue to adopt the model in trying to describe the relationship between risk and return. The introduction of the GARCH(p,q)-M model provides an avenue for testing the model within the time-varying variance framework. This study employs the same model to address the issue within ten selected Asia Pacific countries. The result, though not comprehensive, shows that the CAPM still holds in explaining the risk-return relationship in China and Malaysia. The significant positive risk parameter coefficient suggests a positive linear relationship which indicates that investors are compensated for assuming high risk. Judging by the significant finding in China and Malaysia, this study provides evidence that the conditional CAPM is a useful tool for decision making in investments and corporate finance.
Keywords	capital asset pricing model; CAPM; risk return relationship; GARCH(p,q)-M model; China; Malaysia
ANZSRC Field of Research 2020	350208. Investment and risk management
	350203. Financial econometrics
	380203. Economic models and forecasting
Byline Affiliations	Centre for Australian Financial Institutions

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