Asset Pricing in the Asian Region: Discussion Paper No 94
Drew, Michael E. & Veeraraghavan, Madhu (2001) Asset Pricing in the Asian Region: Discussion Paper No 94. [Working Paper]
In this asset pricing study, three questions are addressed. First, does the multifactor model of Fama and French (1993) capture returns in Asian stock markets in a meaningful manner? Second, do small firms and high bookto-market equity firms carry a risk premia? Third, can competing hypotheses (such as survivorship bias, datasnooping and irrationality) explain the multifactor model results? The answers from this study are as follows: The multifactor model of Fama and French (1993) provides a parsimonious description of the cross-section of returns, with the relationship between firm size, book-to-market equity and average stock returns being robust for Asian markets over the 1990s. We find that small firms and high book-to-market equity firms carry a risk premia, providing opportunities for mean-variance efficient investors. Finally, our findings reject the claim that the results of multifactor model can be explained by competing hypotheses for the Asian experience.
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|Item Type:||Working Paper|
|Additional Information:||Madhu Veeraraghavan - School of Accounting and Finance, Griffith University|
|Keywords:||Multifactor asset pricing models, Asian region, size effect, book, to, market equity effect|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2001 (Please consult author)|
|Deposited On:||11 Nov 2004|
|Last Modified:||02 Feb 2012 19:44|
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