Cross-Section of Expected Stock Returns: An Application of Fama-French Five Factor Model in Nepal

The Batuk Pub Date : 2024-01-29 DOI:10.3126/batuk.v10i1.62299

Vishal Joshi

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引用次数: 1

Abstract

This study aimed to analyze the efficiency of Fama-French five factor model to explain cross-section stock returns in Nepalese stock market. The study adopted descriptive and analytical research design. Out of 228 firms listed in NEPSE, following judgmental sampling design, 65 firms were selected which met the sampling criteria. Panel data was collected from secondary source for the period of July 16, 2016 to July 16, 2022. Sampling frame, daily stock prices and dividends were obtained from official website of Nepal Stock Exchange (NEPSE). Firm-specific accounting data was obtained from annual reports of sample firms. 28 days weighted average Treasury bill rates were used as a proxy for risk free rate which was obtained from Economic bulletin of Nepal Rastra Bank. Three types of portfolios were constructed namely 25 Size-BM portfolios, 25 Size-ROE portfolios and 25 Size-Investment portfolios. Factor returns were created by using 2 × 3 and 2 × 2 × 2 × 2 sorting. Regression result revealed that the Fama-French five factor model is capable to capture the variation in cross-section stock returns in Nepal. Among five factors, the market risk premium found to be the most prominent factor affecting stock returns.

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预期股票回报率的横截面：法马-弗伦奇五因子模型在尼泊尔的应用

本研究旨在分析 Fama-French 五因子模型解释尼泊尔股票市场横截面股票回报率的效率。研究采用了描述性和分析性研究设计。在尼泊尔证券交易所上市的 228 家公司中，按照判断抽样设计，选出了 65 家符合抽样标准的公司。小组数据是从二手来源收集的，时间跨度为 2016 年 7 月 16 日至 2022 年 7 月 16 日。抽样框架、每日股票价格和股息来自尼泊尔证券交易所（NEPSE）官方网站。公司的具体会计数据来自样本公司的年度报告。使用 28 天加权平均国库券利率作为无风险利率的替代，该利率来自尼泊尔 Rastra 银行的经济公报。构建了三种投资组合，即 25 个规模-BM 投资组合、25 个规模-ROE 投资组合和 25 个规模-投资组合。因子收益通过 2 × 3 和 2 × 2 × 2 × 2 排序创建。回归结果表明，法玛-法式五因子模型能够捕捉尼泊尔横截面股票回报率的变化。在五个因子中，市场风险溢价是影响股票回报率的最主要因子。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Batuk

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