Citation

S. Thuraiayah, Shalini Devi Pillay and Ramasamy, Suganthi and Yuen, Yee Yen (2022) The Performance of Carhart Four Factor Model Augmented by Institutional and Behavioural Factors. In: Postgraduate Colloquium December 2022, 1-15 December 2022, Multimedia University, Malaysia. (Unpublished)

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Abstract

Purpose of the study • To examine how well the existing asset pricing model captures the average returns for portfolios formed on size, value, momentum, profitability and investment based on stocks market from Malaysia, Singapore, Thailand, Indonesia and Philippines. • To propose an improvised asset pricing model by examining whether external and liquidity factors effect on the performance of the asset pricing model in describing the portfolio average excess return. • To determine how the risk factors affect the portfolio average excess return under panel data estimation.

Item Type:	Conference or Workshop Item (Poster)
Uncontrolled Keywords:	Capital assets pricing model
Subjects:	H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation > HG4621 Stockbrokers. Security dealers. Investment advisers
Divisions:	Faculty of Business (FOB)
Depositing User:	Ms Nurul Iqtiani Ahmad
Date Deposited:	27 Dec 2022 02:22
Last Modified:	27 Dec 2022 02:22
URII:	http://shdl.mmu.edu.my/id/eprint/10998

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