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Digesting anomalies: A q-factor approach for the Thai market

Ben Charoenwong, Sampan Nettayanun and Kanis Saengchote

Pacific-Basin Finance Journal, 2021, vol. 69, issue C

Abstract: We study the extent to which a q-factor approach explains other cross-sectional factor returns in the Thai market from 2000 to 2019. Univariate statistics of the q-factor premia show that the Thai factors have almost double the statistical and economic significance compared to US factors. While the q-factor model and the Fama-French six-factor model have similar performances in the US, they do not in Thailand. We find that the q-factor model reduces the t-statistics of the alphas for 13 out of 15 anomalies when compared to the six-factor model. Our findings suggest that the q-factor model is a better empirical asset pricing model in Thailand, showing external validity of the model even in an emerging market.

Keywords: Factor investing; Q-factor; Empirical asset pricing (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.pacfin.2021.101647

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