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Asset Pricing In The Asian Region

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  • Michael E. Drew
  • Madhu Veeraraghavan

Abstract

In this asset pricing study, three questions are addressed. First, does the multifactor model of Fama and French (1993) capture returns in Asian stock markets in a meaningful manner? Second, do small firms and high book-to-market equity firms carry a risk premia? Third, can competing hypotheses (such as survivorship bias, data-snooping and irrationality) explain the multifactor model results? The answers from this study are as follows: The multifactor model of Fama and French (1993) provides a parsimonious description of the cross-section of returns, with the relationship between firm size, book-to-market equity and average stock returns being robust for Asian markets over the 1990s. We find that small firms and high book-to-market equity firms carry a risk premia, providing opportunities for mean-variance efficient investors. Finally, our findings reject the claim that the results of multifactor model can be explained by competing hypotheses for the Asian experience.

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Bibliographic Info

Paper provided by School of Economics and Finance, Queensland University of Technology in its series School of Economics and Finance Discussion Papers and Working Papers Series with number 094.

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Date of creation: 20 Jun 2001
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Handle: RePEc:qut:dpaper:094

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Related research

Keywords: Multifactor asset pricing models; Asian region; size effect; book-to-market equity effect.;

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References

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Cited by:
  1. Kathleen Goffey & Andrew Worthington, 2002. "Motor Vehicle Usage Patterns in Australia: A Comparative Analysis of Driver, Vehicle & Purpose Characteristics for Household & Freight Travel," School of Economics and Finance Discussion Papers and Working Papers Series 117, School of Economics and Finance, Queensland University of Technology.

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