Download or read book Revisting CAPM And FAMA French Three Factor Model In Indian Equity Market written by Neharika Sobti and published by . This book was released on 2019 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study aims to explore the applicability of the two most widely used asset pricing models - Capital Asset Pricing Model (CAPM) and Fama French Three Factor Model in the Indian equity market for the period 2005-2015. The study follows Fama Macbeth (1973) methodology of two pass regression to compare both models and draw new insights with regard to informational efficiency of the Indian equity markets. An attempt has been made to evaluate the ability of the alternative asset pricing model to explain variation in returns owing to firm specific characteristics like size and value for 498 companies listed on S&P CNX 500. The study found that Fama French Three Factor Model is a better model than one factor CAPM. A non-linear relationship was found between excess returns and beta (systematic risk) for CAPM contradicting the previous studies. Size effect stills prevails in India equity market whereas value effect is not discernable for the current period.
Download or read book CAPM and the Fama French Three Factor Model written by Claire Downey and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Download or read book Comparison of CAPM Three Factor Fama French Model and Five Factor Fama French Model for the Turkish Stock Market written by Yaşar Erdinç and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, I try to test the capital asset pricing model (CAPM), three-factor Fama-French (3F-FF) model and five-factor Fama-French (5F-FF) model for the Turkish stock market. The sample is from June 2000 to May 2017. My results show that the five-factor model explains better the common variation in stock returns than the three-factor model and capital asset pricing model. Moreover, the CAPM has no power in explaining monthly excess returns of sorted portfolios. Although three-factor model seems to have significant coefficients, intercepts in this model have significant t-values indicating that the model has problems in explaining the portfolio returns. I use equal weight market portfolio for all the models in order to explain the cross-sectional variations in the stock returns.
Download or read book Modelling Stock Returns in India written by Rajeev Kumar Upadhyay and published by . This book was released on 2019 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since reforms, Indian security market has gone through significant changes and as result the efficiency of many models developed earlier might have been affected. The same may be true with three factors CAPM. This study aims to test the validity of three factors CAPM model proposed by Fama and French (1993) in changed Indian context. For the study, assessment period is 1999-2013 and BSE-500 has been taken as proxy for market. Results show that in Indian market, no size effect and a weak value effect exists but size or value of stocks cannot discriminate stocks robustly. Beta is significant and none of the three factors alone can explain the variations in the expected return but two or three factors together can explain to some degree. The ability of three factors CAPM in explaining the expected return increases during low GDP growth period and falls during high GDP growth period.
Download or read book Does Fama French Three Factor Model Outweigh the CAPM Model Evidence from the Dhaka Stock Exchange written by Mohammad Abu Sayeed and published by . This book was released on 2015 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we compare the explanatory power of a single index model with the multifactor asset-pricing model of Fama and French (1996) for Dhaka stock exchange for the period of January 1, 2010 to December 31, 2012. We find that all the three factors have significant determining impact on stock returns. Moreover, the three factor model has higher explanatory power than the CAPM to account for time series variation of stock returns. Our findings show that firm size and book-to-market equity helps to explain the variation in average stock returns in a meaningful manner. In summary, our findings suggest that CAPM beta is not alone sufficient to explain the average expected stock returns in Bangladesh.
Download or read book Cross sectional and Multivariate Test of CAPM and Fama French Three factor Model written by Zhuo Yi and published by . This book was released on 2006 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this project, I test the the mean-variance Capital Asset Pricing Model (CAPM) and the Fama-French Three-Factor Model. I employ two datasets which consist of 25 portfolios formed on size and the book equity to market equity ratio and 11 portfolios formed on dividend yield. I also divide the whole period into two to consider the sub-period effects. I employ the cross-sectional tests as well as the multivariate time-series tests for both of the models. The results do not unambiguously show that one model fits better than the other. Moreover, the two sub-period results are inconsistent with each other and with the results from the whole period.
Download or read book Is More Always Better An Empirical Investigation of the CAPM and the Fama French Three Factor Model in Indonesia written by Bambang Sutrisno and published by . This book was released on 2019 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the performance of the CAPM and the Fama-French three-factor model in Indonesia. This research employs time-series regression with monthly data from 2005 to 2015. The results reveal that the Fama-French three-factor model performs better than the CAPM in describing the excess return of stock portfolios in Indonesia. This result is robust to the equally-weighted method and the impact of the global financial crisis. Although the Fama-French three-factor model is superior to the CAPM, the results indicate that there are other factors to consider in determining asset pricing models that better capture stock return variations in the Indonesian stock market. This research implies that the investors should consider Fama-French factors when making their investment decisions. Furthermore, the investors should evaluate another factor impact the average returns.
Download or read book Northrop Frye written by Robert D. Denham and published by . This book was released on 1974 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Equity Markets in India written by Shveta Singh and published by Springer. This book was released on 2016-05-06 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book presents a comprehensive view of the Indian equity markets over the past two decades (1994-2014). Equity markets constitute the most important segment of stock exchanges; in fact, the status of equity returns is, by and large, considered as a barometer of the state of a country’s economy. Returns earned by the equity investors on their funds invested in equity markets have become a decisive factor in the growth of such markets. In this context, the book discusses all the major aspects of equity returns and also conducts a dis-aggregative analysis based on underlying factors like age, size, ownership structure, industry affiliation/sector, among others, to explain the factors affecting returns and risk. While on the one hand the study ascertains the market rates of return (earned) on equities from the investors’ perspective (by including both the capital gains and the dividend income), it also shows how to compute the rates of returns on equities from the corporate perspective (that is, rate of return earned on equity funds). It further assesses the required/expected rate of return and examines the volatility in stock returns, with a focus on its behaviour during the period of the study. It deepens investors’ understanding of equity investment, helping them to make more-informed investments. While of interest to the investor community, this book also contributes significantly to the existing literature on market returns and is a valuable reference resource for academics, researchers and market participants, financial institutions and other intermediaries, regulators and policy makers.
Download or read book Cross sectional and Multivariate Tests of the CAPM and Fama French Three factor Model written by Yuanyuan Liang and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This project tests the Sharpe (1964)-Lintner (1965)-Black (1972) Mean-Variance Capital Asset Pricing Model (CAPM) and Fama-French's (1993) Three-Factor Model using the cross-sectional and multivariate tests. Four different time periods of American stock market returns ranging from 1933 to 2003 are examined. Although both models are rejected by the multivariate tests, Fama and French argue that the three-Factor Model fits better in the 1963-1993 period. The results in this paper covering different time periods from 1933 to 2003, however, do not unambiguously support Fama and French's conclusion.
Download or read book The Current State of Quantitative Equity Investing written by Ying L. Becker and published by CFA Institute Research Foundation. This book was released on 2018-05-10 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative equity management techniques are helping investors achieve more risk efficient and appropriate investment outcomes. Factor investing, vetted by decades of prior and current research, is growing quickly, particularly in in the form of smart-beta and ETF strategies. Dynamic factor-timing approaches, incorporating macroeconomic and investment conditions, are in the early stages but will likely thrive. A new generation of big data approaches are rendering quantitative equity analysis even more powerful and encompassing.
Download or read book Financial Management from an Emerging Market Perspective written by Soner Gokten and published by BoD – Books on Demand. This book was released on 2018-01-17 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the main reasons to name this book as Financial Management from an Emerging Market Perspective is to show the main differences of financial theory and practice in emerging markets other than the developed ones. Our many years of learning, teaching, and consulting experience have taught us that the theory of finance differs in developed and emerging markets. It is a well-known fact that emerging markets do not always share the same financial management problems with the developed ones. This book intends to show these differences, which could be traced to several characteristics unique to emerging markets, and these unique characteristics could generate a different view of finance theory in a different manner. As a consequence, different financial decisions, arrangements, institutions, and practices may evolve in emerging markets over time. The purpose of this book is to provide practitioners and academicians with a working knowledge of the different financial management applications and their use in an emerging market setting. Six main topics regarding the financial management applications in emerging markets are covered, and the context of these topics are "Capital Structure," "Market Efficiency and Market Models," "Merger and Acquisitions and Corporate Governance," "Working Capital Management," "Financial Economics and Digital Currency," and "Real Estate and Health Finance."
Download or read book Indian Financial Sector written by Rakesh Mohan and published by International Monetary Fund. This book was released on 2017-01-20 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper traces the story of Indian financial sector over the period 1950–2015. In identifying the trends and turns of Indian financial sector, the paper adopts a three period classification viz., (a) the 1950s and 1960s, which exhibited some elements of instability associated with laissez faire but underdeveloped banking; (b) the 1970s and 1980s that experienced the process of financial development across the country under government auspices, accompanied by a degree of financial repression; and (c) the period since the 1990s till date, that has been characterized by gradual and calibrated financial deepening and liberalization. Focusing more the third period, the paper argues that as a consequence of successive reforms over the past 25 years, there has been significant progress in making interest and exchange rates largely market determined, though the exchange rate regime remains one of managed float, and some interest rates remain administered. Considerable competition has been introduced in the banking sector through new private sector banks, but public sector banks continue have a dominant share in the market. Contractual savings systems have been improved, but pension funds in India are still in their infancy. Similarly, despite the introduction of new private sector insurance companies coverage of insurance can expand much further, which would also provide greater depth to the financial markets. The extent of development along all the segments of the financial market has not been uniform. While the equity market is quite developed, activities in the private debt market are predominantly confined to private placement form and continue to be limited to the bluechip companies. Going forward, the future areas for development in the Indian financial sector would include further reduction of public ownership in banks and insurance companies, expansion of the contractual savings system through more rapid expansion of the insurance and pension systems, greater spread of mutual funds, and development of institutional investors. It is only then that both the equity and debt markets will display greater breadth as well as depth, along with greater domestic liquidity. At the same time, while reforming the financial sector, the Indian authorities had to constantly keep the issues of equity and efficiency in mind.
Download or read book Stationarity of the Fama French Three Factor Model Factor Premiums in India written by G. Raghuram and published by . This book was released on 2017 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: The monthly factor premium time series for the three factors (market, size and value) in the Fama-French three factor model in India are found to be stationary for period April 01, 1991 till March 31, 2015. The stationarity behavior for the time series is inferred from a visual examination as well as by use of the Augmented Dickey Fuller test (Said & Dickey, 1984; Said, 1991; Fuller, 2009), the Phillips-Perron test (Philips & Perron, 1987) and the KPSS test (Kwiatkowski et al., 1992). Thus. it can be inferred that the investors' return expectations from the overall market have not changed in spite of tremendous developments in the Indian economy and the transformations in the Indian stock market during the study period. It could also be noted that the Granger causality tests involving the market risk premium, size and value premium showed that size premium Granger causes value premium. This implies that at least a part of variation in stock returns due to value could possibly be explained by size.
Download or read book Factor Investing and Asset Allocation A Business Cycle Perspective written by Vasant Naik and published by CFA Institute Research Foundation. This book was released on 2016-12-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
