The study of Fama and French’s three factors and momentum in Pacific Basinstock markets

• Main Authors: Yung-Shi Liau, 廖永熙
• Other Authors: Jack J. W. Yang
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/08534211436561612853

博士 === 雲林科技大學 === 管理研究所博士班 === 96 === This study tests capital asset pricing model (CAPM), Fama and French’s (1992) three factors and Carhart’s (1997) four factors model using two-step procedure regression introduced by Fama and MacBeth (1973). Since the special market microstructure differs from U.S. and Europe, the Asian emerging markets suffer from price limits, fewer companies, smaller market value, insider trading, investors component and government intervention problems. Whether the differentia of market microstructure still validate CAPM, three factors and four factors model deserves investigation. This study applies weekly data from Hong Kong, Singapore, South Korea, Taiwan and Thailand during 2000-2006 to test this hypothesis. The results are as followed: 1.Regarding the test of CAPM, market risk premium is significant in all market except for Hong Kong. Singapore, Taiwan and Thailand are positive and South Korea is negative. Furthermore, CAPM is not suitable for Asian emerging markets. 2.Regarding the test of Fama and French’s (1992) three factors model, size risk premium is significant positive in all market except for Taiwan and book to market equity risk premium is significant positive in all market. Furthermore, three factors model is not suitable for Asian emerging markets. 3.Regarding the test of Carhart’s (1997) four factors model, momentum risk premium where 42 out of 72 portfolios are significant positive while 28 coefficients are significant negative in Hong Kong. The momentum risk premium where 49 out of 72 portfolios are significant positive while 16 coefficients are significant negative in Singapore. The momentum risk premium where 48 out of 72 portfolios are significant positive while 17 coefficients are significant negative in South Korea. The momentum risk premium where 38 out of 72 portfolios are significant positive while 29 coefficients are significant negative in Taiwan. The momentum risk premium where 38 out of 72 portfolios are significant positive while 21 coefficients are significant negative in Thailand. Furthermore, four factors model is only suitable for the portfolio (6,130), (9,150) and (12,150) in Hong Kong and (3,110), (9,110), (9,140) and (12,130) in Thailand.