文章基本信息

标题：The Cross-Section of Stock Returns: An Application of Fama-French Approach to Nepal
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作者：Sabin Bikram Panta ; Niranjan Phuyal ; Rajesh Sharma 等
期刊名称：Modern Economy
印刷版ISSN：2152-7245
电子版ISSN：2152-7261
出版年度：2016
卷号：07
期号：02
页码：223-231
DOI：10.4236/me.2016.72024
语种：English
出版社：Scientific Research Publishing
摘要：We study a sample of the companies listed on the Nepal Stock Exchange (NEPSE) for the predictors of the returns on these companies’ stocks. Using the sample period of December 2004 through July 2011, we study the sample of 134 companies out of a universe of 176 companies. We construct the marketwide indicators of Fama-French approach: capitalization (Small and Big) and book-to-market ratio (Low, Middle and High). The standard CAPM and three-factor regression equations are estimated. The typical Fama and French results are not obtained. At best, the results are mixed. They show that Nepalese capital market provides excess return for big value-stocks and lower excess return for small growth-stocks. It is possible that this result is attributable to the biases in the listed corporate sector. Financial sector companies dominate the listing on the Nepal Stock Exchange. Because of the impossibility of elimination financial companies from the sample, it is impossible to be categorical about this attribution. We recommend that the study be replicated after a few years when either more companies become available or longer time series of data becomes available.
关键词：Nepal Stock Exchange;Cross-Sectional Asset Pricing;CAPM;Fama-French Three-Factor Model