The Analysis of Investment Performance between Value and Growth Stocks in Korea and Singapore
碩士 === 國立成功大學 === 財務金融研究所 === 95 === Fama and French (1993) propose three-factor capital asset pricing model consisting of market factor, firm size factor, and BE/ME factor to explain average stock return. In addition, Griffin and Lemmon (2002) use the probability of bankruptcy (O-score) as a natura...
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| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/70354206556285719160 |
| Summary: | 碩士 === 國立成功大學 === 財務金融研究所 === 95 === Fama and French (1993) propose three-factor capital asset pricing model consisting of market factor, firm size factor, and BE/ME factor to explain average stock return. In addition, Griffin and Lemmon (2002) use the probability of bankruptcy (O-score) as a natural proxy for firm distress and find that O-score is related to stock return since it can capture the additional information about stock return above BE/ME.
Therefore, this study builds a new capital pricing model using Fama and French’s three-factor model plus financial distress factor (O-score) to check whether this new model could explain the stock returns more complete than Fama and French’s three-factor model. Finally, this study also compares this new four-factor model with Carhart’s (1995) four-factory model and makes some suggestions for the later research.
This study finds that our four-factor model has stronger explanative power than Fama and French’s three-factor model since the intercepts are more insignificant different from zero and the adjusted R-square becomes higher than Fama and French’s three-factor model.
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