• DOI:10.1108/S1569-376720200000021010
• Corpus ID: 224895630

Tests of Multifactor Asset Pricing Models in Asian Stock Markets

@inproceedings{Zheng2020TestsOM,
  title={Tests of Multifactor Asset Pricing Models in Asian Stock Markets},
  author={Dazhi Zheng and Thomas C. Chiang and Edward Nelling},
  year={2020}
}

• Dazhi Zheng, T. Chiang, Edward Nelling
• Published 28 September 2020
• Economics, Business

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.