Abstract
The present study aims to analyze the three-factor asset-pricing model applicability in south Asian
countries and addressed the methodological issues by introducing alternative measure of size that
would increase the estimation competence of Three-Factor Asset-Pricing Model. The study includes
the listed companies of major players of South Asia that are China, India, and Pakistan. The sample
consist monthly stock prices of 1148 companies that cumulatively represents Pakistan, China, and
India over the period from 2001 to 2017. This study assumes the panel data models that includes
fixed effect and random effect for the estimation of three Factor Model that ultimately address the
methodological gap identified in a context under consideration. The results suggested that market
equity is a weak measure of size in emerging economies and total assets as size measure is more
efficient than market equity measure. It is also inferred that market equity measure of size is more
relevant to matured markets where the investors are well informed, while total assets measure of
size is more relevant to emerging economies where the markets are not mature and investors are not
well informed. This study provides the new insight and new path by introducing alternate size
measure that leads towards the further development in the three-factor model.
Adnan Shoaib, Muhammad Ayub Siddiqui. (2020) Revisiting Fama-French Model through Alternative Size Measures: Evidence from South Asian Countries, Abasyn Journal of Social Sciences, Volume-13, Issue-1.
-
Views
1129 -
Downloads
58
