(3.235.195.196)
Users online: 3220    [ij] [ij] [ij] 
Email id
 

Journal of Management Research
Year : 2016, Volume : 16, Issue : 4
First page : ( 230) Last page : ( 249)
Print ISSN : 0972-5814. Online ISSN : 0974-455X.

Asset Pricing Models, Cross Section of Expected Stock Returns and Financial Market Anomalies: A Review of Theories and Evidences

Mahakud Jitendra*, Dash Saumya Ranjan**

*Department of Humanities and Social Sciences, Indian Institute of Technology, Kharagpur, West Bengal, 721 302 (India)

**Indian Institute of Management, Indore Prabandh Shikhar, Rau-Pithampur Road, Indore, Madhya Pradesh, 453556 (India)

Online published on 10 February, 2017.

Abstract

This paper tries to review the theories and empirical evidences on various issues related to alternative capital asset pricing models. First it presents a brief review on various theories of capital asset pricing models followed by the review of the studies on the testing the various single and multifactor capital asset pricing models in both unconditional and conditional framework. Further, it discusses about the alternative arguments on the role of financial market anomalies on the determination of expected stock return and presents the critical review on whether alternative multifactor asset pricing models are able to capture the role of financial market anomalies in determining the expected stock return. The review of literature on these issues conclude that conditional asset pricing models perform better as compared to unconditional models, cross sectional regularity of the stock return has been associated with various financial market anomalies like size of the company, book to market ratio, momentum, and liquidity and they are not fully explained by the alternative asset pricing models.

Top

Keywords

Unconditional and conditional capital asset pricing models, Expected stock return, Single and multifactor asset pricing models, Financial market anomaly.

Top

 
║ Site map ║ Privacy Policy ║ Copyright ║ Terms & Conditions ║ Page Rank Tool
610,169,746 visitor(s) since 30th May, 2005.
All rights reserved. Site designed and maintained by DIVA ENTERPRISES PVT. LTD..
Note: Please use Internet Explorer (6.0 or above). Some functionalities may not work in other browsers.