Testing Stock Market Efficiency and the Asset Pricing Model: Some Evidence from Sri Lanka

2017 ◽  
Vol 51 (4) ◽  
pp. 317-330
Author(s):  
Ravi Dilantha Rathnasekara
Keyword(s):  
Asset Pricing ◽  
Sri Lanka ◽  
Stock Market ◽  
Market Efficiency ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Stock Market Efficiency

Fact, Fiction, and the Size Effect

2018 ◽  
Keyword(s):  
Asset Pricing ◽  
Size Effect ◽  
Financial Markets ◽  
Market Efficiency ◽  
Risk Adjustment ◽  
Empirical Work ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Data Errors ◽  
Small Stock

In the earliest days of empirical work in academic finance, the size effect was the first market anomaly to challenge the standard asset pricing model and prompt debates about market efficiency. The notion that small stocks have higher average returns than large stocks, even after risk adjustment, was a path-breaking discovery, and for decades it has been taken as an unwavering fact of financial markets. In practice, the discovery of the size effect fueled a crowd of small-cap indexes and active funds to the point that the investment landscape is now segmented into large and small stock universes. However, despite its long and illustrious history in academia and its commonplace acceptance in practice, there is still confusion and debate about the size effect. We examine many claims about the size effect and aim to clarify some of the misunderstanding surrounding it by performing simple tests using publicly available data. For one, using 90+ years of U.S. data, there is no evidence of a pure size effect; moreover, it may not have existed in the first place, if not for data errors and insufficient adjustments for risk and liquidity.

The five-factor asset pricing model tests for the Chinese stock market

2017 ◽  
Vol 43 ◽  
pp. 84-106 ◽  
Author(s):  
Bin Guo ◽  
Wei Zhang ◽  
Yongjie Zhang ◽  
Han Zhang
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Model Tests ◽  
Chinese Stock Market ◽  
Pricing Model ◽  
Asset Pricing Model

scholarly journals An Empirical Research of the Consumption-based Capital Asset Pricing Model: Evidence from China’s Stock Market

2021 ◽  
Vol 2 (4) ◽  
Author(s):  
Wenlai Yang
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Empirical Research ◽  
Empirical Method ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Model Evidence

Recently, the Capital Asset Pricing Model has been widely used in the stock market. The traditional Capital Asset Pricing Model has been revised and expanded to the Consumption-based Capital Asset Model. This article does the research in the following ways. Firstly, this article summarizes the Capital Asset Pricing Model and empirical method. Secondly, it analyzes and processes the data worked out of the Capital Asset Pricing Model. Finally, it analyzes the empirical results.

scholarly journals CAPITAL ASSET PRICING MODEL TESTING IN WEST AFRICA ECONOMIC AND MONETARY UNION STOCK MARKET: THE CASE OF IVORIAN LISTED FIRMS

2017 ◽  
Vol 5 (2) ◽  
pp. 23-30
Author(s):  
Zimy Samuel Yannick Gahé ◽  
Zhao Hongzhong ◽  
Brou Matthias Allate ◽  
Thierry Belinga
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Returns ◽  
Monetary Union ◽  
Economic And Monetary Union ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Listed Firms ◽  
Asset Pricing Model

This paper investigates the validity of Capital Asset Pricing Model (CAPM) for the West African Economic and Monetary Union (WAEMU) stock market using monthly stock returns of twenty Côte d’Ivoire’s listed firms from January 2002 to December 2011. We split this interval into different time periods. Each one of them has also been divided into two different sub-periods among which one served as estimation mean and the second one helped to test the estimated parameters obtained using a times series regression. Afterwards some statistical tests have been conducted to see whether the CAPM’s hypotheses hold or not. The findings showed that higher risk is not associated with higher level of return within the study area. Also, there was no relation between stock return and non-systemic risk except for one period where we found evidence that stock returns were affected by other risk than the systematic risk. On the contrary the stock expected rate of return had a linear relationship with the systematic risk. The study suggested that the listed companies consider other factors and variables which could explain their returns.

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