| Author (Year) | Research Purpose | Model | Method | Data |
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| Country | Variables | Frequency & Period |
| Sharpe (1964) |
| CAPM | - |
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| Merton (1973) |
| ICAPM | - |
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| Black (1976) |
| Wealth CAPM | - |
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| Lucas (1978) |
| CCAPM | - |
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| Bredeen (1979) |
| ICAPM | - |
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| Fama et al. (1993) |
| FF |
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| Chen (2003) | Consumption beta | CAPM, CCAPM | OLS | Taiwan | Price indices, dividend payments, | M1991:7-2000:3 |
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| Market beta |
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| Risk-free rate, CPI |
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| Fletcher (2004) | Predictability | 3-4 m. CAPM | GMM | UK | Excess returns, SMB, HML, FTA, LAB | M1975:1-2001:12 |
| David T. (2005) | International asset pricing | D-I-CAPM,VAR | GMM | G7 | Equity returns, exchange rate, | M1978:7-1998:4 |
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| US inflation, MSCI, dividend yield |
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| G7 average forward premiums |
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| Lee (2007) | Supply effect | DCAPM | SUR | US | Price, earnings and dividend per share | Q1981:1-2001:4 |
| Grauer (2009) | Wide range of betas | CAPM, FF | GLS | Standard | Excess returns, risk premiums, SMB, HML | M1963:7-2005:12 |
| Darrat et al. (2011) | Model comparison | CCAPM, | GMM | 17 MSCI | Consumption, CPI, population | Q1970:2-2007:4 |
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| Surplus CAPM |
| Countries | Returns on MSCI index, GDP |
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| Chen et al. (2000) | Estimate of beta | CAPM, ANOVA | OLS | China | Stock price, SSE index, 3-m deposit rate | DWM1994:1:4-1998:12:31 |
| Ma (2001) | Robustness exam | CAPM | OLS | China | Shenzhen component index | W1997:9:30-2000:10:29 |
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| 3-y bond rate, size, PE |
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| Sun et al. (2002) | Herd behavior | CAPM | GLS | China | SSE index, returns on stock | D1992:1:2-2000:12:29 |
| Zhao (2011) | Robustness exam | CAPM | Dual reg. | China | SSE index, 3-month deposit rate, stock price | W2006:1:1-2008:12:31 |
| Jin (2011) | Model comparison | CAPM-AEPD | MLE | China, US | Hushen 300 index, 3-m deposit rate | D2006:1:4-2010:12:31 |
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| DJI, 10-y Treasure bill rate | D2006:1:3-2010:12:31 |
| Dai et al. (2011) | Predictability | 2-3-4 m. CAPM | OLS, WNN | China | SHIBOR rate, stock price, SSE index | D2007:1:4-2011:2:1 |
| Li et al. (2012) | Robustness exam | CAPM-AEPD | MLE | China | CAC40 index, stock price | D2006-2010 |
| Zhuo (2013) |
| CAPM-SSAEPD | MLE | US | SP500 | D2002-2011 |
| Yang (2014) |
| CAPM-SSAEPD | MLE | US | Fama and French (1993) 25 portfolios | D1926-2011 |