The Effectiveness Of The Capital Asset Pricing Model (Capm) And Fama French 3-Factor Model - Evidence From Bursa Malaysia
| dc.contributor.author | Leong, Tony | |
| dc.date.accessioned | 2016-09-29T07:16:48Z | |
| dc.date.available | 2016-09-29T07:16:48Z | |
| dc.date.issued | 2015-05 | |
| dc.description.abstract | The stock market plays an important role as a well regulated bridge between businesses seeking to raise capital from investors and for investors to share in the gains and risks of the businesses. With the wide swings in valuation of the global and Malaysian stock markets, it has been the holy grail of investors to be able to correctly predict stock prices to maximize their returns. Through time, different theories and models have been proposed to help investors predict stock prices. These models have been tested with varying degrees of success in different parts of the world. This study aims to determine if the intuitively simple CAPM and Fama French 3-Factor models can accurately value stock prices in Bursa Malaysia. Using data from 2008 to 2014, this study demonstrated the validity of the CAPM, showing that returns were positively correlated to risk. The study also found that the Fama French 3-Factor model can be used effectively to value stock prices. It showed that returns were positively correlated to the market premium and book-to-price ratio and negatively correlated to the size of the firm. In terms of model accuracy, it was found that the CAPM gave relatively poor accuracy while the Fama French 3-Factor model was significantly better. The study also identified that there are other factors that can further increase the accuracy of the Fama French 3-Factor model. | en_US |
| dc.identifier.uri | http://hdl.handle.net/123456789/2633 | |
| dc.language.iso | en | en_US |
| dc.publisher | Universiti Sains Malaysia | en_US |
| dc.subject | Stock market | en_US |
| dc.title | The Effectiveness Of The Capital Asset Pricing Model (Capm) And Fama French 3-Factor Model - Evidence From Bursa Malaysia | en_US |
| dc.type | Thesis | en_US |
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