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… 
2 Citations

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
Despite the strong growing popularity of Asset Pricing Models, it is difficult to estimate which factor contributes significantly in explaining average excess portfolio returns particularly in

Time varying intra/inter quantile developing relationship of Islamic stock returns: empirical evidence from Indonesia using QBARDL

Purpose This study aims to investigate the determinants of Islamic stock returns listed on Jakarta Islamic Index (Indonesia) between 2008 and 2018. Design/methodology/approach This study uses a



Three-factor asset pricing model and portfolio holdings of foreign investors: evidence from an emerging market – Borsa Istanbul

This article contributes to the asset pricing literature by offering an alternative missing factor: the excess holdings of foreign investors. To incorporate this factor, we mimic the portfolio of

Fundamentals and Stock Returns in Japan

This paper relates cross-sectional differences in returns on Japanese stocks to the underlying behavior of four variables: earnings yield, size, book to market ratio, and cash flow yield. Alternative

Size, Value, and Momentum in International Stock Returns

In the four regions (North America, Europe, Japan, and Asia Pacific) we examine, there are value premiums in average stock returns that, except for Japan, decrease with size. Except for Japan, there

Risk factors in the Russian stock market

The short history, high concentration, and low liquidity of the market have hindered formal analysis of multiple-factor models of Russian stocks. This paper is the first comprehensive formal study of

Are the Fama and French Factors Global or Country-Specific?

This article examines whether country-specific or global versions of Fama and French's three-factor model better explain time-series variation in international stock returns. Regressions for

Local Return Factors and Turnover in Emerging Stock Markets

The paper shows that the factors that drive cross-sectional differences in expected stock returns in emerging equity markets are qualitatively similar to those that have been found in developed

The Cross‐Section of Expected Stock Returns

Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market 3, size, leverage, book-to-market

A Five-Factor Asset Pricing Model

A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock returns performs better than the three-factor model of Fama and French (FF 1993).

Dissecting Anomalies with a Five-Factor Model

A five-factor model that adds profitability (RMW) and investment (CMA) factors to the three-factor model of Fama and French (1993) suggests a shared story for several average-return anomalies.