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Testing the Performance of Asset Pricing Models in Different Economic and Interest Rate Regimes Using Individual Stock Returns

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...

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Main Authors: Hibbert, Ann Marie, Lawrence, Edward R.
Format: Article
Language:English
Published: Universiti Utara Malaysia 2010
Subjects:
HG Finance
Online Access:http://repo.uum.edu.my/25061/1/IJBF%207%201%202010%2079%2098.pdf
http://repo.uum.edu.my/25061/
http://ijbf.uum.edu.my/index.php/previous-issues/139-the-international-journal-of-banking-and-finance-ijbf-vol-7-no-1-feb-march-2010
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spelling my.uum.repo.250612018-10-25T02:31:16Z http://repo.uum.edu.my/25061/ Testing the Performance of Asset Pricing Models in Different Economic and Interest Rate Regimes Using Individual Stock Returns Hibbert, Ann Marie Lawrence, Edward R. HG Finance 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. Universiti Utara Malaysia 2010 Article PeerReviewed application/pdf en http://repo.uum.edu.my/25061/1/IJBF%207%201%202010%2079%2098.pdf 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 http://ijbf.uum.edu.my/index.php/previous-issues/139-the-international-journal-of-banking-and-finance-ijbf-vol-7-no-1-feb-march-2010
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
language English
topic HG Finance
spellingShingle HG Finance
Hibbert, Ann Marie
Lawrence, Edward R.
Testing the Performance of Asset Pricing Models in Different Economic and Interest Rate Regimes Using Individual Stock Returns
description 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.
format Article
author Hibbert, Ann Marie
Lawrence, Edward R.
author_facet Hibbert, Ann Marie
Lawrence, Edward R.
author_sort Hibbert, Ann Marie
title Testing the Performance of Asset Pricing Models in Different Economic and Interest Rate Regimes Using Individual Stock Returns
title_short Testing the Performance of Asset Pricing Models in Different Economic and Interest Rate Regimes Using Individual Stock Returns
title_full Testing the Performance of Asset Pricing Models in Different Economic and Interest Rate Regimes Using Individual Stock Returns
title_fullStr Testing the Performance of Asset Pricing Models in Different Economic and Interest Rate Regimes Using Individual Stock Returns
title_full_unstemmed Testing the Performance of Asset Pricing Models in Different Economic and Interest Rate Regimes Using Individual Stock Returns
title_sort testing the performance of asset pricing models in different economic and interest rate regimes using individual stock returns
publisher Universiti Utara Malaysia
publishDate 2010
url http://repo.uum.edu.my/25061/1/IJBF%207%201%202010%2079%2098.pdf
http://repo.uum.edu.my/25061/
http://ijbf.uum.edu.my/index.php/previous-issues/139-the-international-journal-of-banking-and-finance-ijbf-vol-7-no-1-feb-march-2010
_version_ 1644284215240425472
score 13.214268

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