法馬-佛倫奇五因子與六因子模型在新興經濟體的研究

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题名:	法馬-佛倫奇五因子與六因子模型在新興經濟體的研究 Assessing the Five-factor and Six-factor Fama-French Models in Emerging Economies
作者:	圖雅(BAT, TUYA)
贡献者:	國際企業管理學系
关键词:	法馬-佛倫奇模型新興經濟體資產定價股票回報動量因素人力資本因素調節效果 FAMA-FRENCH MODEL EMERGING ECONOMIES ASSET PRICING STOCK RETURNS MOMENTUM HUMAN CAPITAL MODERATION EFFECT
日期:	2022
上传时间:	2023-03-22 11:03:22 (UTC+8)
摘要:	The purpose of the study is to assess the usability of five-factor and six-factor Fama-French models in emerging economies globally as very few research has evaluated the application of asset pricing models in those countries. The Generalized Method of Moments (GMM) approach is applied to seven sets of portfolios drawn from 26 stock markets. The findings suggest that the five-factor Fama-French model outperforms the six-factor Human capital and Momentum Fama-French models. The parameters considered in this regard include systematic (market) risk, size, value, profitability, investment, momentum, and human capital. In consistence with previous studies, the market risk and size factors are significant for all three models. Moderation effects of size, value, profitability, investment, and momentum factors are present in both six-factor models which is an important finding of our study and that contributes to the extant literature on asset pricing. In terms of the moderation effect of profitability, increase in total market cap of small stocks with low profitability is perceived as a signal for further growth and indicates more positive outlook for future returns. Also, when choosing small stocks for investment, greater excess returns could be generated by firms with growing market cap size (size effect) and total assets (investment effect). Small stocks tend to generate higher returns than big stocks and, in particular, the size effect is greater for those with growth stocks (high B/M ratio). Investors in emerging stock markets should be aware that due to higher perceived risk of small stocks, losses in the previous period may continue into the next period.
显示于类别:	[企業管理學系暨國際企業管理研究所] 博碩士論文

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