Abstract
This study examines whether market equilibrium models of capital asset prices have any empirical validity in the Korean stock market, which is thin and relatively under-developed. In any study of the Korean stock market, the impurity of its ex post stock price and the attendant presumption of suspected non-normality of the stock return distribution cannot be ignored. This study finds that the Capital Asset Pricing Model (CAPM) has some explanatory power in the Korean stock market. In particular when data are segmented by time periods, the results tend to validate the general premises of the CAPM for the most recent period, i.e., between 1984 and 1987. [313]
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