Systematic Risk, Idiosyncratic Risk, and Asset Pricing Models: Empirical Evidence from the Vietnamese Stock Market

2014 ◽  
Author(s):  
Ji (George) Wu ◽  
Nguyen Cuong ◽  
Andros Gregoriou
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Empirical Evidence ◽  
Systematic Risk ◽  
Idiosyncratic Risk ◽  
Pricing Models ◽  
Asset Pricing Models

scholarly journals Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market

Production ◽  
2016 ◽  
Vol 26 (3) ◽  
pp. 516-526 ◽  
Author(s):  
Vitor Gonçalves de Azevedo ◽  
André Alves Portela Santos ◽  
Lucila Maria de Souza Campos
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Empirical Evidence ◽  
Corporate Sustainability ◽  
Pricing Models ◽  
Asset Pricing Models

scholarly journals A Comparative Study between the Fama and French Three-Factor Model and the Fama and French Five-Factor Model: Evidence from the Egyptian Stock Market

2019 ◽  
Vol 12 (1) ◽  
pp. 52 ◽  
Author(s):  
Nada S. Ragab ◽  
Rabab K. Abdou ◽  
Ahmed M. Sakr
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Factor Model ◽  
Five Factor Model ◽  
Pricing Models ◽  
Asset Pricing Models ◽  
Time Period ◽  
Model Evidence ◽  
Fama And French ◽  
Three Factor

The focus of this paper is to test whether the Fama and French three-factor and five factor models can capture the variations of returns in the Egyptian stock market as one of the growing emerging markets over the time-period July 2005 to June 2016. To achieve this aim, following Fama and French (2015), the authors construct the Fama and French factors and three sets of test portfolios which are: 10 portfolios double-sorted on size and the BE/ME ratio, 10 portfolios double-sorted on size and operating profitability, and 10 portfolios double-sorted on size and investment for the Egyptian stock market. Using time-series regressions and the GRS test, the results show that although both models cannot be rejected as valid asset pricing models when applied to portfolios double-sorted on size and the BE/ME ratio, they still leave substantial variations in returns unexplained given their low adjusted R2 values. Similarly, when the two models are applied to portfolios double-sorted on size and investment, the results of the GRS test show that both models cannot be rejected. However, when the two models are applied to portfolios double-sorted on size and operating profitability, the results of the GRS test show that both models are strongly rejected which imply that both models leave substantial variations in returns related to size and profitability unexplained. Specifically, the biggest challenge to the two models is the big portfolio with weak profitability which generate a significantly negative intercept implying that the models overestimate its return.

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