ASSET PRICING, SYSTEMATIC RISK AND EXPECTED RETURNS: AN EMPIRICAL COMPARISON OF CAPM AND MULTIFACTOR MODELS

Asset pricing models play an important role in understanding how investors are compensated for taking risk and how expected returns are determined across different securities and investment environments. Among these models, the Capital Asset Pricing Model (CAPM) remains one of the most influential frameworks because of its relatively simple explanation of expected return through systematic market risk and beta. However, extensive empirical research has questioned whether market beta alone is sufficient to explain differences in realized returns.