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portada Capital Asset Pricing Models
Type
Physical Book
Author
Publisher
Language
English
Pages
156
Format
Paperback
Dimensions
22.9x15.2x0.9 cm
Weight
0.24 kg.
ISBN13
9786200314345
Categories

Capital Asset Pricing Models

Mohomed Ismail Mohamed Riyath (Author) · LAP Lambert Academic Publishing · Paperback

Capital Asset Pricing Models - Mohamed Riyath, Mohomed Ismail

New Book Imported to Taiwan
Delivery: 15 Oct - 23 Oct Shipping: 13 to 14 business days.
NT$ 2,300
NT$ 2,300

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Synopsis "Capital Asset Pricing Models"

This study intends to identify the better model in explaining variations of average stock returns of listed companies in the CSE when time series and cross sectional regressions are employed. The sample consists of all stocks listed in the main board of the CSE except Bank, Finance and Insurance Sector during the period from 1997 to 2014. The methodology used to form factor mimicking portfolios to estimate risk factors and portfolio returns is similar to the methodology of Fama and French 1993 and 2012 and to test the performance of asset pricing models Fama and MacBeth (1973) two step procedure is employed. The GRS F-test reveals that the Capital Asset Pricing Model (CAPM) is a poor model whereas the Fama and French (1993) Three Factor Model (FF3FM) and Carhart (1997) Four Factor Model (C4FM) are better models in explaining the cross sectional variations of stock returns of the listed companies in the CSE when time series regressions are employed. Fama-Macbeth t-test reveals that the C4FM is the only valid model in the size-BM sorted portfolios, The C4FM is found to be a superior model and performs better than FF3FM, Reward Beta Model (RBM) and CAPM.

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