Is value premium driven by risk in the stock exchange of Thailand? A comparison of the Fama/French three-factor model and Fama/French five-factor model
by Nongnit Chancharat; Parichat Sinlapates
International Journal of Monetary Economics and Finance (IJMEF), Vol. 14, No. 4, 2021

Abstract: The value vs. growth trading strategies suggest investor going long in value stocks and short in growth stocks. The existence of value premium in SET is confirmed between September 2005 and July 2019. Using the three measures of model accuracy (i.e., mean squared error, root mean squared error, and mean absolute error), the three-factor model outperforms the five-factor model in explaining the observed value premium. The value premiums disappear after controlling for risk. Thus, risk is one possible reason driving value premium. According to close-knit networks, risk is expected to drive value premium in others emerging markets especially in ASEAN.

Online publication date: Tue, 10-Aug-2021

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Monetary Economics and Finance (IJMEF):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com