Purpose- This empirical study aims to measure the sectoral market risk premiums in Turkish stock for period of 2016 and 2021 also estimate years 2022, 2023 2024. Capital Asset Pricing Model (CAPM) is most widely used popular method analysis investment projects, valuation, firm mergers acquisitions, initial public offerings, secondary offerings. The premium CAPM defined as difference between exp...

We consider the standard discrete-time model of a frictionless financial market and show that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value. In contrast to the classical no-arbitrage criteria, this density process may change its sign. We also give an application to the CAPM.

This study empirically tests and compares the performances of three famous financial asset valuation models in Moroccan stock exchange: CAPM, Fama French three-factor model, five-factor model. Our sample considers monthly data covering period July 2002 to June 2020. The main findings reveal that GRS test typically rejects each examined On basis our analysis, we find value effect is more pronoun...