Indian Stock Market and the Asset Pricing Models

Harshita, .; Singh, Shveta; Yadav, Surendra S.

doi:10.1016/s2212-5671(15)01297-6

Cited by 37 publications

(16 citation statements)

References 30 publications

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“…This further confirmed that both models do not completely explain the variation in price. (See table 5) Similar results were found by Nguyen, Ulku and Zhang (2015, Singh and Yadav (2015and , Zheng, (2015 .…”

Section: Interceptssupporting

confidence: 87%

“…This is an indication that for the CAPM 13% of the changes in the dependent variable could be attributed to the changes in the independent variables used in the model, while the Five Factor model was explaining a high percentage of 90% changes in the dependent variable. This result is comparable to Nguyen, Ulku and Zhang (2015, Singh and Yadav (2015and , Zheng, (2015 .…”

Section: Adjusted R-squaredsupporting

confidence: 86%

“…The the study covered a 8 year period from August 2007 to July 2015 Using data from the indian stock market and covering a period of fifteen yearsfrom October 1999 to September 2014. Singh and Yadav (2015) observed that the adjusted R square for CAPM on the Indian stock market ranged from 67% to 86%, while that of the Five Factor ranged from 83% to 93% for the individual portfolios that were sorted on Size -Book to market value, Sizeprofitability and Size-investment. This showed that the Five Factor model explained more variation than the CAPM.…”

Section: Literature Reviewmentioning

confidence: 99%

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A Test of the Fama-French Five Factor Model in Comparison to the Capital Asset Pricing Model at the Lusaka Securities Exchange

Musawa¹,

Kapena²,

Shikaputo³

2018

IJFA

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Purpose: The capital asset pricing model (CAPM) is one of the basic models in the security price analysis.Many asset pricing models have been developed to improve the CAPM.Among such models is the latest Fama and French five factor model which is being empirically tested in various stock markets. This study tested the five factor model in comparison to the capital asset pricing model. Testing the Fama and French Five factor model in comparison to the CAPM was important because the CAPM is widely taken to be the basic model in the security price analysis. Methodology: The Fama and French methodology was used to test the data from an emerging market, the Lusaka Securities Exchange. A deductive, quantitative research design and secondary data from the Lusaka Securities Exchange was used. Data was analyzed using multiple regression. Results: The results indicate that the Five Factor model is better than the CAPM in capturing variation in the stock returns. The Adjusted R-squared for the five factor model from all individual portfolio sorting was 0.9, while that for the CAPM was 0.13 Unique contribution to theory, practice and policy: This study has contributed to theory in that it has added a voice to the ongoing debt on the suitability of the new Fama and French Five Factor model which is at the cutting hedge in finance theory.Further the study is from developing capital market. Keywords:, CAPM, Stock returns, Fama and French five factor model

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Section: Interceptssupporting

confidence: 87%

Section: Adjusted R-squaredsupporting

confidence: 86%

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

A Test of the Fama-French Five Factor Model in Comparison to the Capital Asset Pricing Model at the Lusaka Securities Exchange

Musawa¹,

Kapena²,

Shikaputo³

2018

IJFA

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“…However, the two new factors (profitability and investment) they have added to improve explanatory power are relatively recent discoveries which are premature and the research of these factors in different markets and time periods is still limited. Thus far, Fama-French 5-factor model has been tested to Indian market (Harshita & Yadav, 2015) and Japan market (Kubota & Takehara, 2017) besides the U.S.…”

Section: Introductionmentioning

confidence: 99%

Sentiment-Augmented Asset Pricing in Bursa Malaysia: A Time-Varying Markov Regime-Switching Model

Goh

Chong

Lai

2018

MJES

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This paper examines the nonlinear effects of investor sentiment on asset pricing in Bursa Malaysia. The Fama and French three-factor model is re-augmented within a time-varying Markov regime-switching framework to investigate the three risk premiums, conditioned by four different proxies for investor sentiment (i.e. marketwide indicators). The study finds evidence that the stock returns movement of Bursa Malaysia exhibits a nonlinear two regimes pattern. Besides, changes in the investor sentiment to some extent function as a mediator in the regime switching dynamics between bear and bull market cycles in Malaysian stock returns. It is also found that an increase in positive sentiment of investors leads to a higher transition probability of regime switching during bear markets. In addition, the three risk premiums are timevariant, contingent upon the fluctuation of the proxies for investor sentiment within discrete regimes. The study finds that in general, the market premium falls when the stock market switches from bull to bear markets. On the contrary, both the size and value premiums increase when the stock market moves from bull to bear markets.

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“…The 1st group of researches empirically tests the FF5-Normal model using different data. For example, [4] [5] find out that the FF5-Normal model works well in India.…”

Section: Introductionmentioning

confidence: 99%