scholarly journals Technology prospect and the cross-section of stock returns: evidence from the Australian market

2013 ◽  
Vol 11 (1) ◽  
pp. 295-303
Author(s):  
Qi Shi ◽  
Ali F. Darrat ◽  
Bin Li ◽  
Richard Chung
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Cross Section ◽  
Factor Models ◽  
Estimation Methods ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
The Cross ◽  
Three Factor

We examine the link between technology prospect and stock returns in the Australian market. Our results suggest that the technology-based asset pricing model outperforms the CAPM and Fama-French three-factor models in explaining the cross-section of the Australian Fama-French 25 size/book-to-market portfolios. The results prove robust to using alternative estimation methods and continue to supports the importance of the technology factor for shaping the cross section of the Fama-French portfolios returns.

Interest Rate Risk and the Cross Section of Stock Returns

2014 ◽  
Vol 49 (2) ◽  
pp. 483-511 ◽  
Author(s):  
Abraham Lioui ◽  
Paulo Maio
Keyword(s):  
Asset Pricing ◽  
Interest Rate ◽  
Stock Returns ◽  
Cross Section ◽  
Interest Rate Risk ◽  
Pricing Model ◽  
Nested Models ◽  
Asset Pricing Model ◽  
Rate Risk ◽  
The Cross

AbstractWe derive a macroeconomic asset pricing model in which the key factor is the opportunity cost of money. The model explains well the cross section of stock returns in addition to the excess market return. The interest rate factor is priced and seems to drive most of the explanatory power of the model. In this model, both value stocks and past long-term losers enjoy higher average (excess) returns because they have higher interest rate risk than growth/past winner stocks. The model significantly outperforms the nested models (capital asset pricing model (CAPM) and consumption CAPM (CCAPM)) and compares favorably with alternative macroeconomic models.

Cross section of stock returns on Shari’ah-compliant stocks: evidence from Pakistan

2019 ◽  
Vol 12 (2) ◽  
pp. 282-302 ◽  
Author(s):  
Salman Ahmed Shaikh ◽  
Mohd Adib Ismail ◽  
Abdul Ghafar Ismail ◽  
Shahida Shahimi ◽  
Muhammad Hakimi Mohd. Shafiai
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Cross Section ◽  
Factor Model ◽  
Five Factor Model ◽  
Value Premium ◽  
Expected Returns ◽  
Content Type ◽  
The Cross ◽  
Three Factor

Purpose This paper aims to study the cross section of expected returns on Shari’ah-compliant stocks in Pakistan by using single- and multi-factor asset pricing models. Design/methodology/approach To estimate cross section of expected returns of Shari’ah-compliant stocks, the study uses capital asset pricing model (CAPM), Fama-French three-factor model and Fama-French five-factor model. Data for the period 2001-2015 on 217 companies are used. For the market portfolio, PSX-100 and Dow Jones Islamic Index for Pakistan are used. Findings The study could not find empirical support for CAPM using Lintner (1965), Black et al. (1972) and Fama and Macbeth (1973) approach. Nonetheless, the relation between beta and returns is positive in up-market and negative in down-market. The results of Fama-French three-factor and five-factor models suggest that size premium is positive and significant for explaining the cross section of stock returns of small size stocks, whereas value premium is positive and significant for explaining the cross section of returns of high value stocks. Practical implications The results suggest that fund managers can use Shari’ah-compliant stocks for portfolio diversification and for offering specialized investments given the positive market excess returns and the existence of size and value premium on Shari’ah-compliant stocks. Originality/value This is the first study on Fama-French (2015) five-factor model for Islamic capital markets in Pakistan.

scholarly journals A Statistical Factor Asset Pricing Model Versus the 4-Factor Model

2019 ◽  
Vol 16 (4) ◽  
pp. 545
Author(s):  
Verônica De Fátima Santana ◽  
Alex Augusto Timm Rathke
Keyword(s):  
Time Series ◽  
Asset Pricing ◽  
Cross Section ◽  
Factor Model ◽  
Abnormal Returns ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Statistical Factor ◽  
The Cross ◽  
Section Dimension

This research aims to compare the performance of a statistical factor asset pricing model with the Fama-French-Carhart 4-factor model. We perform a Principal Component Analysis (PCA) to extract latent risk factors using data of stocks listed on B3 from 2001 to 2015. We test the abilities of the two models to explain assets' returns both in the time-series and in the cross-section dimension. We found that the statistical factor models generates statistically significant abnormal returns in the time-series analysis while the 4-factor model does not. In the cross section dimension, neither model generates significant abnormal returns but they also are not able to generate positive risk premia. Similar results are found if we consider different sets of time and assets. Therefore, although the 4-factor model performs slightly better in the set of tests, neither of the models can be considered fully adequate to explain expected returns of assets in the Brazilian stock market.

Sign in / Sign up

Export Citation Format

Share Document