Capital Asset Pricing Model: Evidence from the Stock Exchange of Mauritius

Subadar Agathee Ushad

The IUP Journal of Financial Economics, 2011, vol. IX, issue 1, 24-40

Abstract: The aim of this paper is to examine whether the Capital Asset Pricing Model (CAPM) is able to explain the stock returns in the Mauritian stock market. The sample in the present study consists of all securities listed on the official market of the Stock Exchange of Mauritius (SEM). Using data from 1998 to 2007, the study provides minor support for the three-moment CAPM, with no significant support for either the two-moment or the four-moment CAPM in the case of SEM.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjfe:v:09:y:2011:i:1:p:24-40

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