The Capital Asset Pricing Model And Fama-French Three Factor Model In An Emerging Market Environment

Autor:	Adam Karp, Gary van Vuuren
Rok vydání:	2017
Předmět:	Fama–French three-factor model Financial economics Consumption-based capital asset pricing model Value premium Diversification (finance) Arbitrage pricing theory Capital asset pricing model Business Security market line Market liquidity
Zdroj:	International Business & Economics Research Journal (IBER). 16:231-256
ISSN:	2157-9393 1535-0754
DOI:	10.19030/iber.v16i4.10040
Popis:	This paper tests the validity and accuracy of the Capital Asset Pricing Model and the Fama-French Three-Factor Model, by predicting the variation in excess portfolio returns on the Johannesburg Stock Exchange. Portfolios of stocks were constructed based on an adapted Fama-French (1993) approach, using a annual sorting procedure, based on Size and Book-to-Market metrics respectively. The sample period spans six years, 2010 to 2015, and includes 46 companies listed on the JSE. The results indicate that both models perform relatively poorly because of inadequate market proxy measures, market liquidity restrictions, unpriced risk factors and volatility inherent in an emerging market environment. The Value Premium is found to explain a larger proportion of variation in excess returns than the Size Premium, and is more pronounced in portfolios with relatively higher book-to-market portfolios.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e965afc9386b08445a7705b4943e72a0 https://doi.org/10.19030/iber.v16i4.10040 Zobrazit plný text záznamu