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A Multifactor Model Explanation of the Anomalies in the Cross-Section of Expected Stock Returns: Evidence from Indonesia, Singapore and Taiwan
- Article from:
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Finance India
- Article date:
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March 1, 2005
- Author:
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;
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Copyright informationCopyright Finance India, Indian Institute of Finance Business School Mar 2005. Provided by ProQuest LLC. (Hide copyright information)
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Abstract
There is growing acceptance in financial economics that the beta of the Sharpe (1964), Lintner (1965) and Black (1972) Capital Asset Pricing Model (CAPM) is lacking in cross-sectional explanatory power. This paper examines the two most commonly used additional explanatory factors, size and hook to market equity in three Asia-Pacific markets where little evidence exists as to their applicability in explaining the cross-sectional of stock returns. This paper tests for evidence of multifactor risk premia from markets outside the US. We find that the overall market factor is highly significant in all the markets and the magnitude of significance of the other two factors (size and book ...
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