Research on the Comparison of Asset Pricing Models Applications in Emerging Markets
DOI:
https://doi.org/10.54691/bcpbm.v40i.4386Keywords:
asset pricing; emerging market; Fama French three factor model; capital asset pricing model.Abstract
Fama et al.'s factor model better describes the changes in the data of the cross section concerning stock yields than the capital asset pricing model. The stock data about the emerging markets (1992-07~2022-8) are adopted for the purpose of checking this three-factor model by Fama et al. in emerging securities markets. It proves that in the emerging securities markets this three-factor model is valid, and makes an empirical study on the stability of the regression coefficient of this kind of three-factor model and the forecast ability of the pattern. The research provides a certain basis for portfolio selection, prediction, decision-making and performance evaluation, and have theoretical value and application value.
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