 Common risk factors in returns in Asian emerging stock marketsWai Cheong Shum and Gordon Y.N. Tang International Business Review, 2005, vol. 14, issue 6, 695-717 Abstract: This paper examines the application of the Fama and French's (1993) three-factor model in three Asian emerging markets (Hong Kong, Singapore and Taiwan). The empirical evidence is consistent with the US findings that the model can explain most of the variations in average returns. However, we find that the main contributing factor is the contemporaneous market excess returns. The impact of the size effect and book-to-market (BE/ME) factor is limited and in some cases insignificant. When the three-factor model is modified by using lagged market excess returns instead in order to check for the predictability of the market factor, the explanatory power of the model drops substantially but both the risk factors for size and BE/ME are now able to contribute significantly in explaining the cross-sectional variations of stock returns. Their explanatory powers are strongest for small-size with high BE/ME portfolios. The robustness of our results is also checked for the separation of up and down markets periods and January effect. Keywords: Three-factor; model; Emerging; markets; Size; effect; BE/ME; factor (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:iburev:v:14:y:2005:i:6:p:695-717 Ordering information: This journal article can be ordered from Access Statistics for this article International Business Review is currently edited by P. Ghauri More articles in International Business Review from Elsevier |
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