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Journal articles on the topic 'The Efficient Market hypothesis and Fama-French three-factor model'

Author: Grafiati

Published: 7 July 2021

Last updated: 29 July 2025

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1

West, Jason. "Catastrophes and Insurance Stocks – A Benchmarking Approach for Measuring Efficiency." Annals of Actuarial Science 6, no. 1 (2011): 103–36. http://dx.doi.org/10.1017/s1748499511000340.

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AbstractThis study uses the numeraire portfolio to benchmark insurance stock returns as a natural measure for detecting abnormal insurance stock returns from catastrophic events. The assumptions underlying the efficient markets hypothesis using a numeraire denominated returns approach hold for catastrophic insurance events whereas other more traditional methods such as the market model and Fama-French three factor model often fail, typically due to the accumulation of estimation errors. We construct a portfolio of Australian insurance firms and observe the market reaction to major insured cata

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2

Xiao, Entong. "An Analysis of the Fama-French Three-Factor Models Capacity to Account for Cross-sectional Volatility in Stock Returns." Advances in Economics, Management and Political Sciences 42, no. 1 (2023): 1–6. http://dx.doi.org/10.54254/2754-1169/42/20232069.

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The studys main focus is on the Fama-French Three-Factor Models capacity to account for cross-sectional volatility in stock returns. The Fama-French Three-Factor Model was used to assess a sample of 720 equity funds and determine each funds excess returns and three-factor risk exposures. The exposure of each element was then tested using linear regression to see if it could predict the excess returns. The studys focus is on the shortcomings of the traditional Capital Asset Pricing Model (CAPM) and the possibility that the 3-factor model could offer a more precise and thorough explanation of st

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3

Qian, Kun. "The Application of Asset Pricing Models in the Capital Market." Highlights in Business, Economics and Management 40 (September 1, 2024): 887–92. http://dx.doi.org/10.54097/m8d86m08.

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With the development of China's financial and capital markets, more and more investors will choose to use different asset pricing models to analyze the effectiveness of their investments. Under the background of efficient markets hypothesis (EMH), this paper will use Fama-French three-factor model, GARCH family model and Heston model to analyze the validity and feasibility of these three commonly used models in Chinese market. Through empirical analysis, descriptive statistics and other research methods, it is found that all three models are effective but have certain limitations. It is found

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Xia, Churuo. "The Relationship Between Stock Price and Intrinsic Value of a Company." Theoretical and Natural Science 128, no. 1 (2025): 6–11. https://doi.org/10.54254/2753-8818/2025.24823.

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This study explores the relationship between stock prices and a companys intrinsic value by applying a comprehensive mathematical and empirical framework. Key financial models-including the Discounted Cash Flow (DCF) model, the Capital Asset Pricing Model (CAPM), and the Fama-French Three- and Five-Factor Models-are utilized to estimate intrinsic value and examine deviations in market pricing. While the Efficient Market Hypothesis (EMH) suggests that stock prices fully reflect all available information, real-world data often reveal consistent mispricing driven by behavioral biases, investor se

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Dash, Saumya Ranjan, and Jitendra Mahakud. "Market anomalies, asset pricing models, and stock returns: evidence from the Indian stock market." Journal of Asia Business Studies 9, no. 3 (2015): 306–28. http://dx.doi.org/10.1108/jabs-06-2014-0040.

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Purpose – This paper aims to investigate whether the use of conditional and unconditional Fama and French (1993) three-factor and Carhart (1997) four-factor asset pricing models (APMs) captures the role of asset pricing anomalies in the context of emerging stock market like India. Design/methodology/approach – The first step time series regression approach has been used to drive the risk-adjusted returns of individual securities. For examining the predictability of firm characteristics or asset pricing anomalies on the risk-adjusted returns of individual securities, the panel data estimation t

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Udoidem, John O., Bassey I. Frank, and Boniface C. Ekanem. "Macroeconomic Environment and Stock Price Movement in Nigeria: An Evaluation of Fama’s Model of Efficient Market." AKSU Journal of Administration and Corporate Governance 4, no. 2 (2024): 79–96. http://dx.doi.org/10.61090/aksujacog.2024.022.

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The study examined the link between macroeconomic environmental dynamics and stock price movements in Nigeria using Fama’s model of efficient market approach. The macroeconomic climate posed issues for Nigerian stock markets. The buying power of local currency occasionally impacted unfavourable changes in the majority of macroeconomic variables. In this study, an ex post facto research design was used. The study looked at certain macroeconomic variables and the evolution of Nigerian stock prices between 1985 and 2021. To test the hypothesis, quantile regression estimates of the Fama-French thr

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Castro, F. Henrique, and Claudia Yoshinaga. "Underreaction to open market share repurchases,." Revista Contabilidade & Finanças 30, no. 80 (2019): 172–85. http://dx.doi.org/10.1590/1808-057x201806230.

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ABSTRACT This article aims to investigate the long-term performance of a portfolio of firms that announced the repurchase of their own stocks in the Brazilian market from 2003 to 2014. Open market stock repurchase is a means to distribute cashflow to shareholders. Some of the reasons for a firm to buy back its own stocks are: to adjust its capital structure; to reduce excessive cash levels; as an alternative to dividends; and signaling to the market in order to reduce information asymmetry between the firm and its investors. If the signaling hypothesis is true, then forming a portfolio with sh

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Zehir, Emre, and Aslı Aybars. "Is there any effect of ESG scores on portfolio performance? Evidence from Europe and Turkey." Journal of Capital Markets Studies 4, no. 2 (2020): 129–43. http://dx.doi.org/10.1108/jcms-09-2020-0034.

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PurposeThe purpose of this paper is to examine the performance of portfolios that are constructed based on environmental, social and governance (ESG) scores and consist of stocks located in Europe and Turkey.Design/methodology/approachIn order to form the portfolios, firstly all stocks are ranked in a descending way based on ESG-based (ESG, environmental, social and governance) scores, separately. Then, 10% of stocks with the highest scores are included in the “Top” portfolio and 10% of stocks with the lowest scores are included in “Bottom” portfolio and totally performance of eight portfolios

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9

John, Udoidem, Ankoh U. Esang, and Ekong O. Kemfon. "Fama’s model of efficient market: Analysis of the performance of insurance companies and the insurance stock price movement in Nigeria." International Journal of Multidisciplinary Research and Growth Evaluation 5, no. 2 (2024): 772–84. http://dx.doi.org/10.54660/.ijmrge.2024.5.2.772-784.

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The study analyzed the performance of insurance companies and the insurance stock price movement in Nigeria using Fama’s model of efficient market approach. Lack of information about insurance stock prices movement can influence investor’s decision making on insurance stock investments. An ex post facto research design was employed in the study. The research covers the activities of 19 insurance companies that are listed on the Nigerian Stock Exchange as at December 31, 2022. The data sample of the study comprises of daily stock prices data of 19 listed insurance companies for the period Janua

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10

Ajadi, Adedeji. "Can equity mutual funds outperform the benchmark and simple passive portfolios?" Business Performance Review 2, no. 1 (2024): 8–15. http://dx.doi.org/10.22495/bprv2i1p1.

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This study evaluates the risk-adjusted performance of equity mutual funds in Nigeria against the market benchmark and two alternative passive portfolios available to investors. Data on monthly net asset values (NAVs) of 30 actively managed, equity-based mutual funds that operated in Nigeria between 2012 and 2021 were collected and analyzed. Risk-adjusted performance measures including the Treynor ratio, Sharpe ratio, Jensen’s alpha, information ratio, Modigliani–Modigliani (M2) measure, Sortino ratio, and the Fama-French 3-factor regression model are used to evaluate the performance of mutual

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Hariyanto, Dedi, Rayenda Khresna Brahmana, and Wendy Wendy. "The dynamics of familiarity bias during extreme events: Investor responses across industries." Investment Management and Financial Innovations 22, no. 3 (2025): 49–63. https://doi.org/10.21511/imfi.22(3).2025.04.

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The efficient market hypothesis is struggling to explain market behavior during rare, high-impact events. In such uncertain times, familiarity guides the decisions, allowing the brain to rely on subconscious processing for optimal outcomes. Therefore, this research aimed to examine the relationship between elevated familiarity bias and abnormal returns during rare events. Data were collected from all companies listed and active on the Indonesia Stock Exchange from 1997 to 2020. A systematic sampling method was used to establish the sample criteria, which led to a total of 5,615 observations de

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Hariyanto, Dedi, Rayenda Khresna Brahmana, and Wendy Wendy. "Sectoral Herding During Global Rare Events: Evidence from the Indonesian Capital Market." Jurnal Manajemen Bisnis 15, no. 1 (2024): 99–116. http://dx.doi.org/10.18196/mb.v15i1.21601.

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Research Aims: This research aims to examine the effects of increased levels of herding on abnormal returns during rare events.Design/Methodology/Approach: Time series regression including all stocks across 9 sectors in the Indonesia Stock Exchange from 1997 to 2020, totaling 5,615 observations is used. The primary model is predicated on three factors derived from Fama-French and prospect theory to incorporate herding as a primary risk factor in assessing the impact of on abnormal returns during rare events.Research Results: The results show that various events produce impacts on herding behav

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Lee, Inho, and Shiyong Yoo. "An Event Study on the Effects of North Korea Risks on South Korea‘s Stock Market." Journal of Derivatives and Quantitative Studies 22, no. 2 (2014): 251–84. http://dx.doi.org/10.1108/jdqs-02-2014-b0004.

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There have always been North Korea Risks in South Korea stock market since its opening. Some studies have concluded that it does not have a substantial impact on South Korea’s economy due to chronic geopolitical risks, while others have argued it has had an impact. However, in light of the Efficient Market Hypothesis (EMH) it can be argued that both opinions view that information about North Korea Risks affects stock markets and that stock prices react to it. This study analyzed the effects of North Korea Risks on South Korea’s stock market using event study methodology empirically, and it tes

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14

Mahajan, Arvind. "Information content of web-based stock ratings: the case of Motley fool CAPS data." Journal of Advances in Management Research 15, no. 3 (2018): 393–410. http://dx.doi.org/10.1108/jamr-02-2018-0025.

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Purpose The purpose of this paper is to answer a fundamental question – are individual stock picks by a particular internet investment community informative enough to beat the market? The author observes that the stock picks by the CAPS community are reflective of existing information and portfolios based upon CAPS community stock rankings do not generate abnormal returns. The CAPS community is good at tracking existing performance but, it lacks predictive ability. Design/methodology/approach The study uses a unique data set of stock ratings from Motley Fools CAPS community to determine the in

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15

Chunga, Joseph Paul, and Yu Ping. "How Efficiently Can Infant Stock Markets Exhibit the Random Walk? Evidence From Malawi." International Journal of Economics and Finance 15, no. 5 (2023): 26. http://dx.doi.org/10.5539/ijef.v15n5p26.

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It is no secret that the Malawi Stock Exchange (MSE) is still in its infancy. In 2011, the Malawi government in conjunction with the World Bank launched the Financial Sector Technical Assistance Project (FSTAP). The project targeted an improvement in financial literacy and also the automation of trading on the MSE to an advanced stage so as to improve market efficiency. This paper investigated the weak form and semi-strong efficient market hypotheses on the Malawi Stock Market in the wake of such a project with aid of parametric and non-parametric tests. The weak form efficiency of the market

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16

Rahayu, Rika, and Mar'atus Zahro. "Penilaian returns investasi saham dengan Augmented Three Factor model pada kondisi political uncertainty di Indonesia." Jurnal Ekonomi Modernisasi 18, no. 1 (2022): 74–85. http://dx.doi.org/10.21067/jem.v18i1.6601.

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This study aims to analyze the market factor portfolio beta, small minus big portfolio beta, high minus low portfolio beta, market volatility beta portfolio effect on investment returns with the Fama and French augmented three factor model in the manufacturing industry under conditions of political uncertainty. This research is a quantitative research with the hypothesis that there is an effect of market factor portfolio beta, small minus big portfolio beta, high minus low beta portfolio, market volatility beta portfolio on investment returns with the Fama and French augmented three factor mod

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17

Chen, Hongxi. "Is the Fama French model robust in the Chinese stock market?" Highlights in Business, Economics and Management 40 (September 1, 2024): 647–54. http://dx.doi.org/10.54097/gxkx5g31.

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Many previous studies have analyzed the different stock return models in various segments of the Chinese stock market. This essay analyzes the Fama-French five factors and three factors model in the main board, the second board, and STAR market. It finds that the three-factor models are efficient in all three markets expect for the STAR market, while the five-factor model is inefficient in testing the second board market alone and overall efficient in testing the mixed market and the STAR market. Furthermore, it is also found that the MKT factors are the most significant contributors to the po

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18

ALAOUI TAIB, Asmâa, and Safae BENFEDDOUL. "Explaining the time series of stock returns." Journal of Academic Finance 14, no. 2 (2023): 2–16. http://dx.doi.org/10.59051/joaf.v14i2.634.

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Abstract:  Objective: In this paper, we test and compare the explanatory power of the two asset pricing models: the conventional CAPM and the empirical Fama and French three-factor model (1993) in the Moroccan stock market. Method: According to the Fama and French (1993) methodology, we analyze monthly data covering the sample period from July 2012 to June 2020. Results: The main findings support the superiority of the Fama and French three-factor model. The mimic risk factors pertained to the size and the book-to-market ratio have a significant role in explaining the Morocca

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Amanda, Citra, and Zaäfri Ananto Husodo. "Empirical test of Fama French three factor model and illiquidity premium in Indonesia." Corporate Ownership and Control 12, no. 2 (2015): 362–73. http://dx.doi.org/10.22495/cocv12i2c3p2.

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This study, using more than 10 years of monthly time-series data and controlling for the non-crisis as well as crisis period, investigates the existence of Fama-French three factors and liquidity to the excess return of stock portfolio in Indonesia. The results show that market beta is consistently positive and significant in each portfolios, when sorted by size-illiquidity and book-to-market (BM)-illiquidity. SMB could explain ILLIQ and vice versa, and in general the hypothesis in this research are accepted, also there are consistency in SMB when sorted by size-illiquidity and also BM-illiqui

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20

Guo, Xiaomin. "Enhancing Performance for Fama-French Model Based on New Factors: Evidence from Multiple Industries." Advances in Economics, Management and Political Sciences 118, no. 1 (2024): 176–86. https://doi.org/10.54254/2754-1169/2024.18569.

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As a matter of fact, in the current complex and volatile financial markets, the traditional Fama-French five-factor model shows some limitations in explaining stock returns. With this in mind, this study introduces new technical indicators (e.g., MACD, RSI, and CCI), to improve the model's performance as well as analyze the performance of the technology, energy, healthcare, financial, construction, and commodities sectors. To be specific, this research uses data collection, model construction, hypothesis testing, and statistical analysis to improve the model's explanatory power and predictive

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Silfia, Silfia, and Zaafri A. Husodo. "The Fama-French Three Factor Model Test on Excess Stock Return: Evidence From Hong Kong, Indonesia and Singapore Capital Market." Wiga : Jurnal Penelitian Ilmu Ekonomi 14, no. 1 (2024): 220–31. http://dx.doi.org/10.30741/wiga.v14i1.1103.

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The presence of the capital market has a very important role in the world economy because the capital market carries out economic and financial functions. One of the instruments in the capital market is stock. In stock investment, investors expect a return with a size that is in accordance with the level of risk they can afford. This study wants to test whether the Fama-French Three Factor Model variables, namely market excess returns, book-to-market equity and firm size, can be used to explain excess returns on the stock markets of Hong Kong and Indonesia with the observation period of 2018–2

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Cui, Yina. "The Recent Progress and State-Of-Art Applications of CAPM Model." Highlights in Science, Engineering and Technology 49 (May 21, 2023): 432–37. http://dx.doi.org/10.54097/hset.v49i.8561.

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Conventionally, CAPM model is widely used to estimate the value of securities, but it is not efficient in Chinese securities market due to the non-systematic risk. Therefore, this paper aims to analyze the development of CAPM multi-factor model and multi-effect Asset pricing (e.g., the Fama French multi-factorial model). Primarily, this paper introduces the background and function of CAPM model. Afterwards, it is pointed out that more factors need to be considered to improve the performance of CAPM model. Therefore, Fama-French models of three-factor and five-factor are demonstrated. The paper

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Martin, R. Douglas, and Daniel Z. Xia. "Efficient bias robust regression for time series factor models." Journal of Asset Management 23, no. 3 (2022): 215–34. http://dx.doi.org/10.1057/s41260-022-00258-0.

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AbstractWe introduce a robust regression estimator for time series factor models called the mOpt estimator. This estimator minimizes the maximum bias due to outlier generating distribution deviations from a standard normal errors distribution model, and at the same time has a high normal distribution efficiency. We demonstrate the efficacy of the mOpt estimator in comparison with the non-robust least squares (LS) estimator in applications to both single factor and multifactor time series models. For the case of single factor CAPM models we compared mOpt and LS estimates for cross sections of l

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Maiz Jiménez, Jaime González, and Edgar Ortiz Calisto. "Testing the overreaction hypothesis in the mexican stock market." Contaduría y Administración 65, no. 1 (2019): 153. http://dx.doi.org/10.22201/fca.24488410e.2019.1794.

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<p>The objective of this work is to test the overreaction hypothesis in the Mexican Stock Market for the period of 2002-2015, using monthly data and applying the Cumulative Average Residuals (CAR) methodology via the CAPM model and the three-factor model proposed by Fama and French. The CAR model is applied to test how winner and loser portfolios perform during the period under analysis. Overall, the evidence shows that average CAR for the loser portfolio is 0.706%, whereas CAR for the winner portfolio is 0.364%, and that are statistically different; nevertheless, both portfolios are co-

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Aronne, Alexandre, Luigi Grossi, and Aureliano Angel Bressan. "Identifying outliers in asset pricing data with a new weighted forward search estimator." Revista Contabilidade & Finanças 31, no. 84 (2020): 458–72. http://dx.doi.org/10.1590/1808-057x201909620.

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ABSTRACT The purpose of this work is to present the Weighted Forward Search (FSW) method for the detection of outliers in asset pricing data. This new estimator, which is based on an algorithm that downweights the most anomalous observations of the dataset, is tested using both simulated and empirical asset pricing data. The impact of outliers on the estimation of asset pricing models is assessed under different scenarios, and the results are evaluated with associated statistical tests based on this new approach. Our proposal generates an alternative procedure for robust estimation of portfoli

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Xue, Wenhui. "Analyzing the data from beverage companies to evaluate the validity of the Fama-French three-factor model." BCP Business & Management 34 (December 14, 2022): 243–48. http://dx.doi.org/10.54691/bcpbm.v34i.3020.

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The Fama-Fench 3-factor model (FF3) is one of the most commonly used models for valuing companies. It is curious to see whether this model can reasonably capture the changes in the treacherous stock market and accurately predict the expected returns of a company in practice. In this article, machine learning is adopted to analyze data from the past five years in terms of the 10-year t-bill return as the risk free rate and the S&P 500 rate of return as the market rate of return to compare and analyses the rate of return of Nestle, Danone, Unilever, Coca-Cola and PepsiCo over the past five y

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NUNES, RICARDO. "The Efficient Market Hypothesis as an Extension of Neoclassical Theory: A Theoretical and Empirical Critique." Journal of Economics, Finance and Accounting Studies 7, no. 4 (2025): 117–34. https://doi.org/10.32996/jefas.2025.7.4.10.

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This article critically analyses the Efficient Market Hypothesis (EMH), proposed by Eugene Fama in 1970, as an extension of the principles of the neoclassical general equilibrium model to financial markets. The EMH asserts that asset prices fully reflect all available information, making it impossible to systematically achieve abnormal returns. The study begins by presenting the three forms of market efficiency—weak, semi-strong, and strong—and their implications for investment strategies. It then reviews theoretical and heterodox criticisms of the EMH, drawing on behavioural finance, historic

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Shalaei, Shima Khajeh. "Studying the Impact of Accruals Quality and Market Risk Premium on Stock return Excess Using Fama-French Three Factor Model." Journal of Politics and Law 10, no. 2 (2017): 114. http://dx.doi.org/10.5539/jpl.v10n2p114.

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Determining effective agents in stock return excess behavior (stock risk premium) is one of the key points in investors decision that its benefit and quality of its elements (like accruals) are the impressive factors on stock return excess (stock risk premium) which influence users decision making. Accruals are temporary adjustments that postpone fulfilled cash flows recognition and estimate error degree. Criteria estimating to study these items quality seem necessary because of affecting over future cash flows. Therefore the current study aims to investigate the effect of accruals quality and

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Bergaoui, Nejla, and Abdelwahed Trabelsi. "A State-Space Version of Fama and French’s Three-Factor Model: Evidence from the Tunisian Stock Exchange." International Journal of Business and Management 11, no. 11 (2016): 214. http://dx.doi.org/10.5539/ijbm.v11n11p214.

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We develop a state-space version of the three-factor model of Fama and French (1993) for exploring the macroeconomic determinants of risk underlying size (SMB) and value (HML) factors. To the best of our knowledge, this is the first study that examines how loadings on HML and SMB factors are affected by unanticipated changes in macroeconomic factors and whether they exhibit an asymmetric behavior over the business cycle. We test the hypothesis that the betas associated with HML and SMB factors of firms with different size or a different BE/ME ratio react differently to changes in macroeconomic

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Zheng, Yizhe. "An Analysis of the Validity of the Chinese A-share Market During the 14th Five-year Plan Period." Advances in Economics, Management and Political Sciences 39, no. 1 (2023): 68–78. http://dx.doi.org/10.54254/2754-1169/39/20231936.

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The Efficient Market Hypothesis (EMH), initially formulated and subsequently refined by the renowned American economist Eugene Fama in 1970, classifies markets into three tiers of efficiency: weak, semi-strong, and strong. As the world's second-largest economy, China has assumed an increasingly prominent role on the global stage due to its distinctive socialist framework and the ongoing development and enhancement of its capital market. The 14th Five-Year Plan, a pivotal component of China's social development agenda for 2021-2025, holds immense significance in propelling China's economic prog

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Qiu, Haiyang. "Investment Portfolio with Convex Optimization and Risk Adjustment Using Multi-Factor Model and Multi-Armed Bandit Algorithm." Advances in Economics, Management and Political Sciences 104, no. 1 (2024): 63–76. http://dx.doi.org/10.54254/2754-1169/104/2024ed0075.

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This paper examines the creation of investment portfolios through convex optimization, multifactor models, and the multi-armed bandit (MAB) algorithms, focusing on the KL-UCB strategy to optimize decisions in uncertain settings. It explores the impact of systematic risk factors using the Fama-French three-factor model, estimating the influence of market, size, and value premiums via linear regression. The use of Monte Carlo simulation is detailed for generating potential asset allocations and calculating their expected returns, volatility, and Sharpe ratios. The optimize minimize function from

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Qiu, Haiyang. "Investment Portfolio with Convex Optimization and Risk Adjustment Using Multi-Factor Model and Multi-Armed Bandit Algorithm." Advances in Economics, Management and Political Sciences 102, no. 1 (2024): 28–41. http://dx.doi.org/10.54254/2754-1169/102/2024ed0075.

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This paper examines the creation of investment portfolios through convex optimization, multifactor models, and the multi-armed bandit (MAB) algorithms, focusing on the KL-UCB strategy to optimize decisions in uncertain settings. It explores the impact of systematic risk factors using the Fama-French three-factor model, estimating the influence of market, size, and value premiums via linear regression. The use of Monte Carlo simulation is detailed for generating potential asset allocations and calculating their expected returns, volatility, and Sharpe ratios. The optimize minimize function from

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Siwach, P., P. R. Kumar, and V. Gupta. "Effect of Underwriter’s Reputation on Performance of small business IPOs." Finance: Theory and Practice 27, no. 6 (2023): 54–66. http://dx.doi.org/10.26794/2587-5671-2023-27-6-54-66.

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The purpose of the study is to determine the impact of the underwriter’s reputation on shaping the short- and long-term IPO success of small businesses. The paper uses IPO data from 2012 to 2020, three reputable proxy and event-time methodologies to analyze the company’s performance through market-adjusted excess returns, cumulative abnormal returns and buy & hold returns. Similarly, to mitigate common predispositions, use the calendar-time methodology, Fama-French three-factor model and Carhart four-factor model with high and low reputational groups. The study revealed a significant posit

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Fama, Eugene F., and Joel M. Stern. "A Look Back at Modern Finance: Accomplishments and Limitations." Journal of Applied Corporate Finance 28, no. 4 (2016): 10–16. http://dx.doi.org/10.1111/jacf.12206.

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In a conversation held in June 2016 between Nobel laureate Eugene Fama of the University of Chicago and Joel Stern, chairman and CEO of Stern Value Management, Professor Fama revisited some of the landmarks of “modern finance,” a movement that was launched in the early 1960s at Chicago and other leading business schools, and that gave rise to Efficient Markets Theory, the Modigliani‐Miller “irrelevance” propositions, and the Capital Asset Pricing Model. These concepts and models are still taught at prestigious business schools, whose graduates continue to make use of them in corporations and i

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Asthana, Akash, Syed Shafi Ahmed, and Anjana Tiwari. "Empirical Evidence on the Validity of the Unconditional Higher Moment CAPM in the Bombay Stock Exchange." Asian Journal of Economics, Business and Accounting 24, no. 5 (2024): 146–53. http://dx.doi.org/10.9734/ajeba/2024/v24i51299.

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The traditional Capital Asset Pricing Model (CAPM) assumed a normal distribution of returns, which was criticized by various researchers who recognized the non-normal distribution of returns in the Sharpe-Lintner CAPM. The introduction of unconditional higher moments, namely co-skewness and co-kurtosis, as additional measures of systematic risk may enhance the model's explanatory power, especially when the distribution function of stock returns is asymmetric. The present study empirically investigates the applicability of unconditional higher order moment CAPM and the impact of higher moments

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Fatima, Nudrat, Muhammad Waqas, Rameez Hassan, Ahmad Fraz, and Muhammad Arif. "Cash to Price Ratio & Stock Returns: Evidence from Emerging Markets." International Journal of Economics and Finance 9, no. 11 (2017): 153. http://dx.doi.org/10.5539/ijef.v9n11p153.

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This study examines the impact of size premium and value premium on average return in emerging economies i.e. Pakistan, India and China equity markets for the period from June 2000 to June 2015 by using three factors model. This study predicts the significance and positive relationship between value premium(C/P Ratio) and stock return for all non-financial companies listed on Karachi stock exchange, Bombay stock exchange and Shanghai stock exchange on the basis of market Capitalization. The regression results of the study illustrate that size premium predict returns more for small firms than b

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Saeed Hassan Chowdhury, Shah. "Idiosyncratic volatility, investor sentiment, and returns of the GCC stock markets." Investment Management and Financial Innovations 18, no. 4 (2021): 190–202. http://dx.doi.org/10.21511/imfi.18(4).2021.17.

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Standard finance theory suggests that idiosyncratic volatility should not influence stock returns. In reality, if investors are unable to achieve efficient diversification, such risk may affect stock returns. The purpose of the study is to examine the presence of idiosyncratic volatility and sentiment in the stock markets of the GCC (Gulf Cooperation Council) countries. Monthly idiosyncratic volatility is estimated using the Fama-French three-factor model. A unified sentiment proxy for each market is created by employing Principal Component Analysis (PCA). Then, Ordinary Least Squares (OLS) re

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Peswani, Shilpa, and Mayank Joshipura. "Low-risk investment strategy: sector bets or stock bets?" Managerial Finance 48, no. 3 (2022): 521–39. http://dx.doi.org/10.1108/mf-09-2021-0415.

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PurposeThe portfolio of low-risk stocks outperforms the portfolio of high-risk stocks and market portfolios on a risk-adjusted basis. This phenomenon is called the low-risk effect. There are several economic and behavioral explanations for the existence and persistence of such an effect. However, it is still unclear whether specific sector orientation drives the low-risk effect. The study seeks to answer the following important questions in Indian equity markets: (a) Whether sector bets or stock bets mainly drive the low-risk effect? (b) Is it a mere proxy for the well-known value effect? (c)

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Chong, Venny Sin-Woon, Ming Ming Lai, and Lee Lee Chong. "Effects of human capital and fund characteristics on mutual fund performance in Malaysia." F1000Research 10 (September 9, 2021): 905. http://dx.doi.org/10.12688/f1000research.72895.1.

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Background: The evolution of the mutual funds industry has changed investors’ perspective. Instead of just focusing on which fund performances are best, investors pay great attention to who is managing and delivering superior returns in their investment portfolios. Nonetheless, it is very scant of comprehensive studies concern with human capital managerial characteristics that link with fund performances. Hence, this study proposes the integration of fund performances, managerial characteristics, systematic risk, expense, and turnover ratio, with single and simultaneous equations based on asse

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Ielasi, Federica, Monica Rossolini, and Sara Limberti. "Sustainability-themed mutual funds: an empirical examination of risk and performance." Journal of Risk Finance 19, no. 3 (2018): 247–61. http://dx.doi.org/10.1108/jrf-12-2016-0159.

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PurposeThis paper aims to analyze the portfolio characteristics and the performance measures of sustainability-themed mutual funds, compared to ethical mutual funds that implement different sustainable and responsible investment strategies.Design/methodology/approachThe study refers to a European sample of 106 ethical funds and 51 sustainability-themed funds. The monthly performance of each fund is downloaded from Bloomberg for the period from January 1996 to December 2015. By applying a Fama and French (1993) three-factor model, the authors overcome the limits of a capital asset pricing model

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Finnerty, John D., Shantaram Hegde, and Chris B. Malone. "Fraud and firm performance: keeping the good times (apparently) rolling." Managerial Finance 42, no. 2 (2016): 151–72. http://dx.doi.org/10.1108/mf-01-2015-0009.

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Purpose – The purpose of this paper is to examine the hypothesis that a period of sustained supernormal firm performance (for up to five years before fraud commission) creates financial pressure on actors/agents so they have a propensity to behave fraudulently to keep the good times (apparently) rolling. Design/methodology/approach – Applying the Fama and French (1993) three-factor model using a range of calendar time portfolio methodologies, the authors measure abnormal drifts in stock performance in periods up to five years before alleged fraud commission dates. The authors examine a sample

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Junlin, He, Zhang Xiyun, and Gong Ping. "MISLEADING OR BENEFICIAL? ASSESSING THE EXPLOITATION POTENTIAL OF STOCK BUYBACK ANNOUNCEMENTS IN THE MALAYSIAN STOCK MARKET." EMC Review - Časopis za ekonomiju - APEIRON 26, no. 2 (2023). http://dx.doi.org/10.7251/emc2302328j.

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In the traditional sense, stock buyback announcements are generally perceived as advantageous news. However, with the evolution of the capital market, some scholars argue that such declarations possess the potential for exploitation as a means to artificially inflate stock prices, thereby deceiving investors. Consequently, within the framework of the Efficient Market Hypothesis and the Theory of Asymmetric Information, we employed an event study approach to empirically investigate 30 listed companies in Malaysia that announced stock buybacks in the before June 2022. To fortify the robustness o

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Caleb Orenge Nyarikini, Robert Kisavi Mule, and Priscilla Ombongi. "Influence of Financial Gearing on Volatility of Stock Returns at the NSE in Kenya." International Journal of Business & Management, September 8, 2023. http://dx.doi.org/10.24940/theijbm/2023/v11/i7/bm2307-015.

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This study sought to examine the effect of financial gearing on firm-specific volatility of stock returns. Efficient Market Hypothesis, Modern Portfolio Theory and Fama & French three-factor model informed the study. The research employed a quantitative approach with a correlational research design using secondary data. Firms forming the NSE 25 share index formed the target population (N = 25), with annual data for 10 years from 2010 to 2019, yielding 250 data points. Fixed effects dynamic panel data regression model was used to analyse data. The results indicated that Financial Gearing me

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Caleb Orenge Nyarikini, Dr. Robert Kisavi Mule, and Dr. Priscilla Ombongi. "Effect of Capital Expenditure on Idiosyncratic Volatility of Stock Returns at the NSE in Kenya." International Journal of Business & Management, September 8, 2023. http://dx.doi.org/10.24940/theijbm/2023/v11/i7/bm2307-011.

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The Nairobi Securities Exchange (NSE) provides a platform for investors to stake their money for a return, for businesses to raise equity capital and for the government to mobilize resources to attain national development goals and fulfill Vision 2030 development blueprint in Kenya. Despite the importance of NSE both locally and regionally, volatility of stock returns in the market has been a common phenomenon for the past 8 years. This is evidenced by a continuous decline in the NSE 20 share index from 5,406 points in 2014 to 1,672 points in 2022. Studies have shown that at equilibrium, only

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Sedhain, Roshan, and S. Shijin. "Expectations and Stock Market in Nepal." Vision: The Journal of Business Perspective, September 3, 2021, 097226292110390. http://dx.doi.org/10.1177/09722629211039053.

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This study examines the presence of both rational and adaptive expectations hypotheses in the Nepalese stock market by employing panel data analysis under the Fama–French three-factor model. Under the adaptive expectation hypothesis, the book to market equity is an essential determinant in the Nepalese stock market, and only the past 2-year information can explain investment decisions. Likewise, under the rational expectation hypothesis, the value factor, size factor and excess market return are important determinants during the investment decision. The past 3 years of information and the next

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Fahad, Atiar Hossain, Faysal Ahmad Khan, S. M. Shaiqul Alam, and Md Athekur Rahman. "CAPM and Fama-French Three-Factor Model: A Dual Examination of Risk-Return Predictive Capabilities in the Bangladesh Capital Market." Journal of Financial Markets and Governance 3, no. 2 (2024). https://doi.org/10.54728/jfmg.202408.00083.

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This study investigates the impact of different risk factors on stock returns in the Bangladesh capital market by empirically testing the Capital Asset Pricing Model (CAPM) and the Fama-French Three-Factor Model. The aim is to conduct a comparative analysis to determine which model better explains stock returns in an emerging market like Bangladesh, known for its volatility, inefficiency, and instability. While CAPM and Fama-French models are extensively tested in developed markets, their application in Bangladesh remains underexplored. This research fills that gap by analyzing monthly returns

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Hamdan, Mohammed, Pedro Fernandez Calavia, and Nasir Aminu. "Wealth and familiarity bias: sin stocks investment in Europe." Journal of Asset Management, May 22, 2024. http://dx.doi.org/10.1057/s41260-024-00360-5.

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AbstractOur study investigates the relationship between European society’s wealth and how they invest in sin stocks—stocks of listed firms involved in producing tobacco, alcohol, and gambling goods and services returns. Using time series data from 24 European countries from 2000 to 2020 to check the performance of sin stocks, we tested 3 hypotheses to explore the possibility that sin stock returns are related to the wealth of the countries they are based on and to the levels of consumption of alcohol and gambling in those countries. Three quantitative methods are used to measure risk-adjusted

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Kumar, Harish, and Mridul Dawar. "Seasonality in the Indian Stock Markets: A Study of Calendar Effects." MUDRA : Journal of Finance and Accounting 4, no. 01 (2017). http://dx.doi.org/10.17492/mudra.v4i01.9780.

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Theoretical and technological advances in Behavioural Finance over the last decades seem to have shifted the paradigm away from the Efficient Market Hypothesis proposed by Fama in 1970s. The hypothesis implied that securities are always priced efficiently since all the relevant information is fully reflected in their prices. However, this normative statement comes under heavy scrutiny with the existence of seasonality in stock returns. This paper investigates seasonality in the Indian stock markets through the existence of calendar effects. Employing time series analysis on data from January 1

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Zhou, Xiaoguang, Yuxuan Lin, and Jie Zhong. "A six-factor asset pricing model of China's stock market from the perspective of institutional investors' dominance." International Journal of Emerging Markets, October 20, 2022. http://dx.doi.org/10.1108/ijoem-05-2022-0834.

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PurposeChina's stock market, which serves as an example of emerging markets, is steadily maturing in the context of globalization. In order to analyze the pricing mechanism of China's stock market, this paper builds a six-factor model to address the market features that are structurally efficient but not entirely efficient.Design/methodology/approachThis study updates the Fama–French factor model's construction process to account for the unique features of China's stock market before creating a model that incorporates size, volume, value, profitability, and profit-income factors based on insti

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Kumari, Vineeta, Waleed M. Al-ahdal, and Hafiza Aishah Hashim. "Economic effects of the 2024 US presidential election: sector-wise insights from India." Journal of Economic Studies, April 4, 2025. https://doi.org/10.1108/jes-11-2024-0765.

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PurposeThis study delves into the short-term Indian stock market responses to the 2024 US presidential election results. Additionally, it examines how these impacts are scattered across different economic sectors.Design/methodology/approachThis study adopts the event study method with the market model to estimate normal returns. It uses a 252-day estimation window (−254, −3) and a five-day event window (−2, +2). This study uses both parametric and non-parametric test statistics for hypothesis testing. The sample includes 1,877 stocks listed on India’s National Stock Exchange (NSE). For robustn

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