ACKNOWLEDGEMENTS 4
ABSTRACT 5
TABLE OF CONTENTS 7
LIST OF TABLES 8
CHAPTER 1.INTRODUCTION 9
CHAPTER 2. DEVELOPED MARKETS VS. EMERGING MARKETS 12
Differences between developed and emerging markets 12
Market size 12
Market efficiency 13
Market Transparency 13
Market liquidity 14
Market Integration 14
History of the CAPM 15
Difficulties with the CAPM 16
Criticism of beta 17
Versions of the Capital Asset Pricing model 18
The traditional CAPM 18
Emerging market CAPM models 19
The Global CAPM 19
The three moment CAPM 20
The four moment CAPM 20
The local CAPM 21
CHAPTER 3. RESEARCH METHODOLOGY 23
Data selection 23
Stock market activity 24
Methodology 24
Global risk free rate 24
Country risk premium 25
Local risk free rate 25
Market portfolio 25
Beta estimation 25
EMPIRICAL RESULTS AND INTERPRETATION OF THE FINDINGS 27
Emerging market data 27
Investigation of the data 28
Market correlations 31
Country risk premium 32
Excess market returns 33
Beta estimates 34
CONCLUSION 44
REFERENCES 46
OVERVIEW OF THE APPENDICES 51
Appendix A 52
Appendix B 54
Appendix C 57
Appendix D 58
Appendix E 64
