Capital Asset Pricing Models: Comparative Study on Asset Pricing Models in Explaining Stock Returns in the Colombo Stock Exchange

Mohamed Riyath, Mohomed Ismail, Mohamed Riyath, Mohomed Isma

ISBN 10: 6200314349 / ISBN 13: 9786200314345

Published by LAP LAMBERT Academic Publishing, 2019

About this Item

NEW. SHIPS FROM MULTIPLE LOCATIONS.

Seller Inventory # ERICA82962003143496

Bibliographic Details

• Title: Capital Asset Pricing Models: Comparative Study on Asset Pricing Models in Explaining Stock Returns in the Colombo Stock Exchange
• Publisher: LAP LAMBERT Academic Publishing
• Publication Date: 2019
• Language: English
• ISBN 10: 6200314349
• ISBN 13: 9786200314345
• Binding: paperback
• Condition: New
• Book Type: book

About this title

Synopsis

This study intends to identify the better model in explaining variations of average stock returns of listed companies in the CSE when time series and cross sectional regressions are employed. The sample consists of all stocks listed in the main board of the CSE except Bank, Finance and Insurance Sector during the period from 1997 to 2014. The methodology used to form factor mimicking portfolios to estimate risk factors and portfolio returns is similar to the methodology of Fama and French 1993 and 2012 and to test the performance of asset pricing models Fama and MacBeth (1973) two step procedure is employed. The GRS F-test reveals that the Capital Asset Pricing Model (CAPM) is a poor model whereas the Fama and French (1993) Three Factor Model (FF3FM) and Carhart (1997) Four Factor Model (C4FM) are better models in explaining the cross sectional variations of stock returns of the listed companies in the CSE when time series regressions are employed. Fama-Macbeth t-test reveals that the C4FM is the only valid model in the size-BM sorted portfolios, The C4FM is found to be a superior model and performs better than FF3FM, Reward Beta Model (RBM) and CAPM.