Hibbert, Ann Marie and Lawrence, Edward R. (2010) Testing the Performance of Asset Pricing Models in Different Economic and Interest Rate Regimes Using Individual Stock Returns. The International Journal of Banking and Finance, 7 (1). pp. 79-98. ISSN 1617-722

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Abstract

Using return data for all stocks continuously traded on the NYSE over the period July 1963 to December 2006, we tested the performance of the two-moment Capital Asset Pricing Model (CAPM) and the Fama French three-factor model in explaining individual stock returns. We found the performance of Fama French three-factor model to be marginally better than the CAPM.We further test the models for the significance and stability of parameters in the bull/bear periods and the Federal increasing/decreasing interest rate periods and found the performance of the two models comparable.

Item Type:	Article
Uncontrolled Keywords:	CAPM, Three-factor model, Asset pricing, Bear-bull periods, Interest rate regimes
Subjects:	H Social Sciences > HG Finance
Divisions:	School of Economics, Finance & Banking
Depositing User:	Mrs. Norazmilah Yaakub
Date Deposited:	25 Oct 2018 02:31
Last Modified:	25 Oct 2018 02:31
URI:	https://repo.uum.edu.my/id/eprint/25061

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