A better stock pricing model: A systematic literature review

Abstract

Background:The Fama and French five-factor model (FF5M) is one of the stock valuation model that is on the cutting edge of finance research. Results from the empirical tests from various stock markets were the FFM5 has been tested since its launch in 2014 are mixed. Hence, it is important that empirical evidence testing the FF5M in comparison with lower models such as the Fama and French three-factor model (FF3M) and the Capital Asset Pricing Model (CAPM) is documented.Aim: To identify a research gap that still remains to be filled relating to stock valuation models in the field of finance. Conclusion:The results of the empirical evidence have revealed that although the FF5M is a great milestone in stock pricing models, it has also left room for better models to be further developed from it in future.

Asset pricing in global scenario: a bibliometric analysis

“…Several authors have studied asset pricing in a national and international setting, including the research of Bai and Green (2020), Buckberg (1995), De Santis andGerard (1997), Harshita et al (2015), Harvey (1991), Musawa et al (2020), Singh and Yadav (2015), Wang et al (2013) in which they talked about the importance of using the international version of CAPM for valuing the asset pricing models. Researcher's also focussed on the market structure of economies, whether the world market is segmented or integrated (Errunza & Miller, 2016;Errunza, Losq, & Padmanabhan, 1992;El Hedi Arouri, Rault, Sova, Sova, & Teulon, 2013;Patro, 2001;Pirinsky & Wang, 2011;Stulz, 1995;Thomadakis & Usmen, 1991).…”

“…Several authors have studied asset pricing in a national and international setting, including the research of Bai and Green (2020), Buckberg (1995), De Santis and Gerard (1997), Harshita et al. (2015), Harvey (1991), Musawa et al. (2020), Singh and Yadav (2015), Wang et al.…”