Book chapter
TESTS OF MULTIFACTOR ASSET PRICING MODELS IN ASIAN STOCK MARKETS: New Challenges and Opportunities
Emerging Market Finance: New Challenges and Opportunities, pp 165-183
01 Jan 2020
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This chapter examines a multifactor model for stock returns in nine Asian markets (Japan, China, South Korea, Hong Kong, Taiwan, Singapore, Indonesia, Malaysia, and Thailand). The authors develop a model using the market risk premium, size, book-to-market, profitability, investment, momentum, price-to-earnings ratio, and dividend yield factors for each market. The empirical results suggest that this eight-factor model can better explain the variations of stock returns than the original Fama-French three-factor model. Factor-based models using local data outperform those using data from US markets. In addition, the evidence suggests that the eight-factor model can better explain stock returns when the market is under stress.
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Details
- Title
- TESTS OF MULTIFACTOR ASSET PRICING MODELS IN ASIAN STOCK MARKETS
- Creators
- Dazhi Zheng - West Chester UniversityThomas C. Chiang - Drexel UniversityEdward Nelling - Drexel University
- Publication Details
- Emerging Market Finance: New Challenges and Opportunities, pp 165-183
- Series
- International Finance Review
- Publisher
- Emerald Group Publishing; BINGLEY
- Number of pages
- 19
- Resource Type
- Book chapter
- Language
- English
- Academic Unit
- Finance
- Web of Science ID
- WOS:001054430100010
- Scopus ID
- 2-s2.0-85134167599
- Other Identifier
- 991021881408704721
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InCites Highlights
Data related to this publication, from InCites Benchmarking & Analytics tool:
- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Business, Finance