Arbitrage pricing theory and the capital asset pricing model - evidence from the Malaysian stock market / Mohd Khairul Izhar Zolkefley

The Arbitrage Pricing Theory (APT) had been proposed as an alternative model to the Capital Asset Pricing Model (CAPM) that could predict the expected return of securities. This research had used the monthly returns of ninety one securities listed on Bursa Malaysia from year 1998-2007 by using the APT and CAPM to seek which model could predict the unpredictable expected returns of securities and which model provide better estimation to the actual returns. The method will be used both equations from the models to find the securities expected returns. Data will be process by using Microsoft Excel and the Statistical Package for Social Science (SPSS). Empirical result indicates that both Capital Asset Pricing Model and Arbitrage Pricing Theory could predict the unpredictable expected returns of securities and Capital Asset Pricing Model provide better estimation to the actual returns of the