The Fama-French Three Factor Model and the Capital Asset Pricing Model : Evidence from the Indian Stock Market

2017 ◽  
Vol 4 (2) ◽  
pp. 36
Author(s):  
Ritika Aggarwal
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Factor Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Model Evidence ◽  
Indian Stock Market ◽  
Three Factor

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.

An Empirical Test of Capital Asset-pricing Model and Three-factor Model of Fama in Indian Stock Exchange

2018 ◽  
Vol 43 (4) ◽  
pp. 294-307
Author(s):  
Nenavath Sreenu
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Stock Exchange ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Expected Return ◽  
Asset Pricing Model ◽  
Three Factor

This article aims to test the capital asset-pricing model (CAPM) and three-factor model of Fama in Indian Stock Exchange, and it has focused on the recent growth of capital markets in India and the need of practitioners in these markets to determine a stable price for securities, and achieving expected returns has brought into consideration the theories predicting price securities Among different models the CAPM of Sharp. The study uses a sample of daily data and annual average for 54 companies listed on the National Stock Exchange, during the period from 2010 to 2016. The research article’s intention is to find whether the relationship between expected return and risk is linear, if beta is a complete measure of the risk and if a higher risk is compensated by a higher expected return. The results confirm that the intercept is statistically insignificant, upholding theory, for both individual assets and portfolios. The tests do not essentially provide validation against CAPM and Fama; however, other simulations can be built, more close to reality, by improving the model and offering an alternative which also takes into account the specific conditions of the Indian capital market and the global financial crisis consequences.

scholarly journals Analisis Komparasi Capital Asset Pricing Model dan Fama-French Three Factor Model untuk Penentuan Investasi Pada Saham Indeks IDX30 (Periode 2016 – 2018)

2020 ◽  
Vol 2 (2) ◽  
pp. 1
Author(s):  
Nadyah Brhigitta Dwiyuningsih Dotulong ◽  
Lanto Miriatin Amali ◽  
Selvi Selvi
Keyword(s):  
Asset Pricing ◽  
Annual Report ◽  
Factor Model ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Three Factor

Penelitian ini bertujuan untuk mengetahui Metode Capital Asset Pricing Model dan Fama-French Three Factor Model untuk penentuan investasi pada saham Indeks IDX30 periode 2016 – 2018 serta untuk membandingkan antara dua model tersebut model manakah yang memiliki tingkat akurasi yang lebih tinggi untuk mempertimbangkan tingkat return dan risikonya. Metode yang digunakan dalam penelitian ini adalah deskriptif komparatif dengan pendekatan kuantitatif. Adapun data yang digunakan adalah data berupa laporan keuangan tahunan (annual report) Indeks IDX30 periode 2016 – 2018. Hasil penelitian ini menunjukkan bahwa Metode Capital Asset Pricing Model merupakan model yang lebih akurat dibandingkan Fama-French Three Factor Model. Selain terlihat sederhana, model Capital Asset Pricing Model ini juga lebih akurat dalam menentukan investasi sesuai dengan tingkat pengembalian yang diharapkan dan risiko yang bersedia ditanggung dan model ini dapat memberikan informasi secepat-cepatnya mengenai tingkat pengembalian dan risiko yang akan ditanggung investor. Kata-kata Kunci:Metode Capital Asset Pricing Model, Fama-French Three Factor Model, dan Indeks IDX30. 

scholarly journals The Capital Asset Pricing Model And Fama-French Three Factor Model In An Emerging Market Environment

2017 ◽  
Vol 16 (4) ◽  
pp. 231-256 ◽  
Author(s):  
Adam Karp ◽  
Gary Van Vuuren
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Emerging Market ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Market Environment ◽  
Asset Pricing Model ◽  
Three Factor

This paper tests the validity and accuracy of the Capital Asset Pricing Model and the Fama-French Three-Factor Model, by predicting the variation in excess portfolio returns on the Johannesburg Stock Exchange. Portfolios of stocks were constructed based on an adapted Fama-French (1993) approach, using a  annual sorting procedure, based on Size and Book-to-Market metrics respectively. The sample period spans six years, 2010 to 2015, and includes 46 companies listed on the JSE. The results indicate that both models perform relatively poorly because of inadequate market proxy measures, market liquidity restrictions, unpriced risk factors and volatility inherent in an emerging market environment. The Value Premium is found to explain a larger proportion of variation in excess returns than the Size Premium, and is more pronounced in portfolios with relatively higher book-to-market portfolios.

Comparison of the Capital Asset Pricing Model and the Three-Factor Model in a Business Cycle: Empirical Evidence from the Vietnamese Stock Market

2020 ◽  
Vol 36 (2) ◽  
Author(s):  
Luong Tram Anh
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Using Data ◽  
The Cost ◽  
Three Factor

Using data from 2010 to 2019, for the first time, the Capital Asset Pricing Model (CAPM) and the Three-factor Model (TFM) are compared in different contexts of the Vietnamese economy (recession and recovery). This paper employs four tests including the t-test, determination coefficient R2, Chow-test and GRS-test to examine the performance of the two models. Results show the superiority of the TFM over the CAPM in both contexts of the economy, consistent with Fama and French’s studies. This promises that the TFM can be used to replace the CAPM in capturing the cost of equity. Another finding is that the two models tend to perform better in recession than recovery. This study contributes to the literature about asset-pricing models and their performances in different economic contexts. Moreover, the findings also offer insights into the use of the CAPM and TFM in developing countries in general and Vietnam, in particular.

scholarly journals An Empirical Analysis of CAPM and Fama-French Three-Factor Model -- Based on the Example of Shanghai Stock Exchange

2020 ◽  
Vol 2 (2) ◽  
Author(s):  
Ziyi Li
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Market Risk ◽  
Rate Of Return ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Expected Return ◽  
Asset Pricing Model ◽  
Three Factor

Some scholars, represented by William F. Sharpe and John Lintner, have established the "Capital Asset Pricing Model" (CAPM) in the 1960s. This model finds that under certain assumptions the expected rate of return shows a clear linear relationship with market risk (systemic risk), no matter for a single asset or a combined asset. Capital Asset Pricing Model (CAPM), is regarded as the spine of modern price theory in financial market. It has been applied widely to asset pricing analysis and determination, such as stocks, funds and bonds and to investment decision field. This essay based on CSMAR data, separately uses CAPM and the Fama-French Three-Factor Model to conduct empirical test on the expected return of SSE A-share portfolio. The main conclusion is that in China’s stock market, market risk is not the only factor which determines the expected return of the market portfolio or individual stock, while the size factor (SMB) and book-to-market ratio factor (HML) can better explain the portfolio’s expected rate of return.

scholarly journals ZASTOSOWANIE TRÓJCZYNNIKOWEGO MODELU FAMY-FRENCHA I CAPM DLA WYBRANYCH SPÓŁEK NOTOWANYCH NA GPW W WARSZAWIE W LATACH 2007-2017

2019 ◽  
Vol 20 (2) ◽  
pp. 116-127
Author(s):  
Dorota Witkowska
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Single Factor ◽  
Capital Asset ◽  
Rates Of Return ◽  
Asset Pricing Model ◽  
Stock Indexes ◽  
Three Factor

Presented research aims in evaluation if three-factor model better describes rates of return than single-factor capital asset pricing model. Investigation concerns 30 selected companies listed on WSE in years 2007-2017. The whole period of analysis is divided into seven samples according to observed market tendency in Poland. Research is conducted for daily rates of return whereas comparative analysis is provided for portfolios constructed from companies belonging to stock indexes WIG20, mWIG40 and sWIG80.

Application of CAPM in the Indian Stock Market A Comprehensive Reassessment

2005 ◽  
Vol 1 (2) ◽  
pp. 1-12 ◽  
Author(s):  
Raj S. Dhankar ◽  
Rohini Singh
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Stock Exchange ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Conflicting Evidence ◽  
Empirical Tests ◽  
Indian Stock Market

There is conflicting evidence on the applicability of Capital Asset Pricing Model in the Indian stock market. Data for 158 stocks listed on the Bombay Stock Exchange was analyzed using a number of tests from 1991–2002, the period which roughly coincides with the period after liberalization and initiation of capital market reforms. Taken in aggregate the various empirical tests show that CAPM is not valid for the Indian stock market for the period studied.

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