Long-run adjustment of size, value, momentum and growth premium in equity returns: Evidence from South Asian emerging markets
| Autor: | Muhammad Ayub Siddiqui, Adnan Shoaib |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Macroeconomics
Economics and Econometrics 050208 finance South asia Short run Financial economics Risk premium 05 social sciences Equity (finance) Momentum factor General Business Management and Accounting Accounting 0502 economics and business Economics Size value 050207 economics China Market value Emerging markets 050203 business & management Finance |
| Zdroj: | Investment Analysts Journal. 46:97-116 |
| ISSN: | 2077-0227 1029-3523 |
| Popis: | This study scrutinizes the long-run adjustment of risk premiums in equity returns of the emerging stock markets of Pakistan, China and India, the three emerging South Asian economies, by keeping in view leading contributions of the Fama and French (1992) and Carhart (1997) models. Unlike the multifactor models based on macroeconomic factors, this study integrates firm-specific risk factors related to the market premium. The firm-specific growth factor, derived by Ho, Strange, and Piesse (2008), is incorporated as GML, which is based on assets to market value of the firm. The results from a sample of 1 198 companies, taken from three emerging markets for the period of 2001−2013, indicate that market risk premium is the leading factor affecting risk premium in Pakistan and India. Further results reveal that, although market momentum is high enough to overestimate betas in the short run, it congregates to stabilisation and correction in the long run. In contrast, Chinese markets appear to be predomin... |
| Databáze: | OpenAIRE |
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