Citation

Pillay, Shalini Devi and Ramasamy, Suganthi and Yuen, Yee Yen (2022) Marketing Equity using a Five-Factor Asset Pricing Model in ASEAN Countries. Asian Economic and Financial Review, 12 (12). pp. 982-1001. ISSN 2305-2147

Text 70.pdf - Published Version Restricted to Repository staff only Download (625kB)

Abstract

This research examines the impact of market risk premium, size, book-to-market equity, profitability, and investment as risk factors on stock return. Portfolios are formed to develop the left-hand side and right-hand side portfolios. The objective of this paper is to assess the performance of the equity market and to enhance the generalizability of the five-factor model. A statistical analysis is applied to estimate the asset pricing model to assess their performance in the Association of Southeast Asian Nations (ASEAN) equity market. The researchers found that there were value premiums in the average stock returns in all the countries except Malaysia. Traces of profitability premium can be observed in Malaysia, Thailand and Indonesia. However, there was no evidence of investment premiums in any of the countries. The study examines whether the asset pricing models capture the value, profitability and investment patterns in the capital market. The five-factor model performs better than the three-factor model in explaining the average excess returns of the size–BM (book-to-market) and size–profitability portfolios. However, the five-factor model fares poorly in explaining the average excess returns of the size–investment portfolios.

Item Type:	Article
Uncontrolled Keywords:	Asset pricing model, Book-to-market equity, Investment, Market premium, Profitability, Size, Stock return
Subjects:	H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation
Divisions:	Faculty of Business (FOB)
Depositing User:	Ms Nurul Iqtiani Ahmad
Date Deposited:	11 Jan 2023 01:20
Last Modified:	11 Jan 2023 01:20
URII:	http://shdl.mmu.edu.my/id/eprint/11052

Downloads

Edit (login required)