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

Aggarwal, Ritika

doi:10.17010/ijrcm/2017/v4/i2/116087

Cited by 3 publications

(3 citation statements)

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“…Similarly, the performance of mutual funds in Nepal also used the CAPM, Fama French-3 factor, and Carhart-4 factor models to evaluate the performance of mutual funds. The results of his study also showed that all three models were able to explain mutual fund performance, with the CAPM model performing the best among the three models (Aggarwal, 2017). However, a study on the performance of mutual funds in India found that the Fama French-3 factor model was the best model to evaluate mutual fund performance.…”

Section: Discussionmentioning

confidence: 97%

Predicting Pakistans’ Mutual Fund Performance: An Evaluation of Traditional and Modern Measures

KHAN,

ALI

2023

qjssh

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Mutual Funds enable small investors to benefit from the capital market with minimal investments, thanks to the expertise of professional managers. This study focuses on the Pakistani Mutual Fund industry and evaluates the suitability of traditional and multifactor asset pricing models in assessing Mutual Fund performance. Since multifactor models are rarely used in Pakistani research, this study employs the CAPM, Fama French, and Carhart models to assess the performance of Pakistan Mutual Funds. Data from 100 open-end Mutual Funds between 2005 and 2017 was collected from the Mutual Fund Association of Pakistan, while risk-free rates data was gathered from the State Bank of Pakistan and stock data from the Pakistan Stock Exchange. Ratio analysis, CAPM, Fama French-3 Factor, and Carhart-4 Factor models were used to analyze the data and determine which model was most suitable. The results indicate that the CAPM affects the market factors of the majority of portfolios. Conversely, the size factor, value factor, and momentum factor in the Fama French and Carhart models have an insignificant effect on the majority of portfolios. The Gibbon Rose Shanken test reveals that the CAPM model is the most suitable for evaluating Mutual Fund performance in Pakistan. The findings of this study have implications for asset management company managers and investors alike. It provides valuable insights into which funds perform better and which types of funds are ideal for investment.

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Section: Discussionmentioning

confidence: 97%

Predicting Pakistans’ Mutual Fund Performance: An Evaluation of Traditional and Modern Measures

KHAN,

ALI

2023

qjssh

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Section: Introductionmentioning

confidence: 99%

“…To avoid heavy manual setting of parameters, some scholars tried to machine learning based models to study the problem of enterprise valuation [1] [16]. However, they focus on the linear models, such as multiple linear regression models, with the assumption that the selected factors linearly affect the enterprises' value [1][8] [17], while ignoring their nonlinear interaction. In addition, they only make use of the technical indicators, such as corporate fundamental financial factors and turnover rates [2][7] [10], while ignoring other important factors like macroeconomics, market conditions, industry, external influences and internal factors of enterprises.…”

Section: Introductionmentioning

confidence: 99%

Research on the Influencing Factors and Estimation Model of Enterprise Value: Evidence from China's New OTC Market

2024

infse

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As a national securities trading venue for small and medium-sized enterprises, China's new over-the-counter (OTC) market, also known as the "new third board", plays an important role in China's economic development. To accurately estimate the value of enterprises listed on the China's new OTC market and help investor to make better investment decisions, we first construct a comprehensive factor system that may affect the market value of enterprises. Then, we design an ensemble valuation model based on XGboost and random forest with the selected influencing factors. Experimental results show that the proposed valuation model can significantly improve the accuracy of the valuation for the enterprises listed on China's new OTC market compared with traditional valuation models.

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An Exploration of the Critical Risk Factors in Sustainable Telecom Services: An Analysis of Indian Telecom Industries

et al. 2021

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Different sources of risk factors can occur in sustainable supply chain management due to its complex nature. The telecommunication service firm cannot implement multiple improvement practices altogether to overcome the risk factors with limited resources. The industries should evaluate the relationship between risk factors and explore the determinants of improvement measures. The purpose of the present study is to identify and analyze critical risk factors (CRFs) for enhancing sustainable supply chain management practices in the Indian telecommunication industry using interpretive structural modelling (ISM). Risk factors are identified through a literature survey, and then with the help of experts, nine CRFs are identified using a fuzzy Delphi method (FDM). The relationship among these CRFs has been analyzed using ISM, and the driving and the dependence power of those CRFs are analyzed. Results indicate that both “government policies (laws and regulations)” and “the impact of rapid change in technology” are independent or key factors that affect the sustainability of the telecommunications supply chain. In addition, results provide significant managerial implications, including enhanced sustainability, and the government should build justice, fairness, open laws, certainties, and regulations to prevent risk in the telecommunications industry supply chain; service providers should monitor the rapidly evolving technologies and focus on technical learning and organizational capacity development to overcome the impact of technological changes. The contribution of this study is using a novel approach to establish a hierarchical structural model for an effective understanding of CRFs relationships and to explore decisive risk factors that can help telecom service providers to better plan and design effective improvement strategies to enhance sustainability supply chain management.

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

Cited by 3 publications

References 0 publications

Predicting Pakistans’ Mutual Fund Performance: An Evaluation of Traditional and Modern Measures

Predicting Pakistans’ Mutual Fund Performance: An Evaluation of Traditional and Modern Measures

Research on the Influencing Factors and Estimation Model of Enterprise Value: Evidence from China's New OTC Market

An Exploration of the Critical Risk Factors in Sustainable Telecom Services: An Analysis of Indian Telecom Industries

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