Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Feasibility of the Fama and French three factor model in explaining returns on the JSE

Feasibility of the Fama and French three factor model in explaining returns on the JSE We test the feasibility of the Fama and French (1993) three factor model on the JSE Limited (JSE) to explain the size and value effects. In time-series tests on grouped data, we show that both the models can capture a substantial amount of time-series variation in most assets, and yield small pricing errors. In tests on ungrouped data, the three factor model can explain the value effect, and goes in the right direction to explain the size effect. Given these results, we propose that our three factor model could be used in expected return estimation for firms listed on the JSE. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Investment Analysts Journal Taylor & Francis

Feasibility of the Fama and French three factor model in explaining returns on the JSE

Basiewicz, PG; Auret, CJ
Investment Analysts Journal , Volume 39 (71): 13 – Jan 1, 2010
Download PDF
13 pages

Loading next page...
 
/lp/taylor-francis/feasibility-of-the-fama-and-french-three-factor-model-in-explaining-g7MpzCtrHo

References

References for this paper are not available at this time. We will be adding them shortly, thank you for your patience.

Publisher
Taylor & Francis
Copyright
© 2010 Taylor and Francis Group, LLC
ISSN
2077-0227
eISSN
1029-3523
DOI
10.1080/10293523.2010.11082516
Publisher site
See Article on Publisher Site

Abstract

We test the feasibility of the Fama and French (1993) three factor model on the JSE Limited (JSE) to explain the size and value effects. In time-series tests on grouped data, we show that both the models can capture a substantial amount of time-series variation in most assets, and yield small pricing errors. In tests on ungrouped data, the three factor model can explain the value effect, and goes in the right direction to explain the size effect. Given these results, we propose that our three factor model could be used in expected return estimation for firms listed on the JSE.

Journal

Investment Analysts Journal – Taylor & Francis

Published: Jan 1, 2010

References

  • Asset pricing with liquidity risk.
  • The relation between return and market value of common stocks.
  • Another look at the cross-section of average returns on the JSE.
  • Investment performance of common stocks in relation to their price-earnings ratios: a test of efficient market hypothesis.
  • The relationship between earnings' yields, market value and return for NYSE common stocks: further evidence.
  • Alternative factor specifications, security characteristics and the cross-sections of expected stock returns.
  • Fundamentals and stock returns in Japan.
  • An explanatory investigation of the firm size effect.
  • Economic forces and the stock market.
  • Risk and return in an equilibrium APT: Application of a new test methodology.
  • Characteristics, covariances and average returns.
  • Risk measurement when shares are subject to infrequent trading.
  • The cross-section of expected stock returns.
  • Common risk factors in the returns of bonds and stocks.
  • Multifactor portfolio efficiency and multifactor asset pricing.
  • Size and book-to-market factors in earnings and returns.
  • Multifactor explanations of asset pricing anomalies.
  • Risk, return and equilibrium: empirical tests
  • A test of the efficiency of a given portfolio.
  • Estimates of small stock betas are much too low.
  • Evidence of predictable behaviour of security returns.
  • The performance of mutual funds in the period 1945–1964
  • Data-snooping biases in the tests of financial asset pricing models.
  • Using generalised method of moments to test mean-variance efficiency
  • An intertemporal capital asset pricing model.
  • A simple model of capital market equilibrium with incomplete information.
  • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix.
  • Do the Fama-French factors proxy for innovations in predictive variables?
  • Persuasive evidence of market inefficiency.
  • Equity style and performance persistence in South African unit trusts.
  • Transaction costs and the small firm effect.
  • Style characteristics and the cross-section of JSE returns.
  • Size, price-to-earnings and beta on the JSE Securities Exchange.
  • Explaining the cross-section of returns in South Africa: Attributes or factor loadings?
  • Market segmentation on the Johannesburg Stock Exchange.