Tests of Multifactor Asset Pricing Models in Asian Stock Markets

  title={Tests of Multifactor Asset Pricing Models in Asian Stock Markets},
  author={Dazhi Zheng and Thomas C. Chiang and Edward Nelling},
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… 
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An empirical investigation of Tobin’s-Q augmented various Asset Pricing Models: Evidence from Pakistan

  • M. Azam
  • Economics, Business
    Journal of Social Sciences and Management Studies
  • 2022
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