Abstract
Background: Capital Assets Pricing Model (CAPM) advocates the
single predictive power of stock beta and argued that stock beta is
only the factor which measure common stock returns to the extent
on which the asset is corelated. However, Arbitrage Pricing Theory
(APT) confirmed the multifactor effect on common stock returns.
Therefore, the expected returns from the market can be the product
of firm performance and the overall economy of the country.