Capital Asset Pricing Models: Comparative Study on Asset Pricing Models in Explaining Stock Returns in the Colombo Stock Exchange - Softcover

Mohamed Riyath, Mohomed Ismail

Softcover

ISBN 10: 6200314349 ISBN 13: 9786200314345

Verlag: LAP LAMBERT Academic Publishing, 2019

Inhaltsangabe

This study intends to identify the better model in explaining variations of average stock returns of listed companies in the CSE when time series and cross sectional regressions are employed. The sample consists of all stocks listed in the main board of the CSE except Bank, Finance and Insurance Sector during the period from 1997 to 2014. The methodology used to form factor mimicking portfolios to estimate risk factors and portfolio returns is similar to the methodology of Fama and French 1993 and 2012 and to test the performance of asset pricing models Fama and MacBeth (1973) two step procedure is employed. The GRS F-test reveals that the Capital Asset Pricing Model (CAPM) is a poor model whereas the Fama and French (1993) Three Factor Model (FF3FM) and Carhart (1997) Four Factor Model (C4FM) are better models in explaining the cross sectional variations of stock returns of the listed companies in the CSE when time series regressions are employed. Fama-Macbeth t-test reveals that the C4FM is the only valid model in the size-BM sorted portfolios, The C4FM is found to be a superior model and performs better than FF3FM, Reward Beta Model (RBM) and CAPM.

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Über die Autorin bzw. den Autor

Mr. MIM. RIYATH is a Lecturer in Accountancy at the Advanced Technological Institute - Sammanthurai of Sri Lanka Institute of Advanced Technological Education. He has obtained Master of Science (M.Sc) in Management at University of Sri Jayewardenepura.

Details zur Ausgabe

• Verlag: LAP LAMBERT Academic Publishing
• Erscheinungsdatum: 2019
• Sprache: Englisch
• ISBN 10: 6200314349
• ISBN 13: 9786200314345
• Einband: Taschenbuch
• Anzahl der Seiten: 156
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: Fastbook Publishing; customerservice@vdm-vsg.de; ; Brivibas gatve 197; Riga; 1039; Lettland