Multi- Index CAPM vs APT: A Comparison Of Two Asset Pricing Models For Malaysia

Abstract

This study compares the relative validity of the two multi-index models of asset pricing, viz. the Capital Asset Pricing Model and the Arbitrage Pricing Theory. The monthly return data on listed on the main board of the Kuala Lumpur Stock Exchange, Malaysia for the period 10 June 1997 are used for the purpose. The comparison is performed along the lines of ‘and Ch'ng, Sanda and Gupta (1999) as well as the attributes of a good model as per ). and Hendry and Richard (1982). The results suggest thatthe neither model is better than Thus, either of these two models could be used to explain the variations of returns across