文章基本信息

标题：Validity of FAMA and French Model: Evidence from KSE-100 Index
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作者：Babar Rafi ; Babar Rafi ; Syed Sheheryar Ali Kazmi 等
期刊名称：International Journal of Management Science
电子版ISSN：2375-3757
出版年度：2014
卷号：1
期号：3
页码：52-57
语种：English
出版社：The American Association for Science and Technology
摘要：This study is carried out with an aim to test the explanatory power of three factorial Fama and French model in explaining the expected returns for the companies listed under the umbrella of KSE-100 index for the time frame of three years i.e. from 2011 to 2013. Six portfolios were constituted by intersecting size with B/M ratio of firm. The multivariate regression model was used to find the impact of three independent variables (MRP, SMB &HML) on the dependent variable (Excess Return). The intercept of four portfolios showed insignificant results which is evidence for the validity of Fama and French model for KSE-100 index for the selected time frame. Out of six portfolios three showed significant results for market risk premium, four showed for size premium and three showed for value premium confirms the existence of effect of all three independent employed factors. Contrary to the findings of (1) for FF model this study favors FF model in explaining the returns behavior of companies trading on KSE-100 index. So the findings go in partial support for FF model for companies listed on KSE-100 index.
关键词：French Model; Expected Return; SMB; HML; KSE