Empirical Evidence of CAPM and Fama French 3 factor model at Cement Industry of DSE

Empirical Evidence of CAPM and Fama French 3 factor model at Cement Industry of DSE

Avijit Mallik

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Mrs. Syeda Marufa Bashar

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University of Dhaka

Empirical Evidence of CAPM and Fama French 3 factor model at Cement Industry of DSE

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Abstract

The study discusses empirical evidence on the explanatory power for cement manufacturing industries of the Dhaka Stock Exchange in light of Capital Asset Pricing Model (CAPM) and the Fama French three-factor model. For calculating the market return, both DSEX and DS30 indexes have been used. The study revealed that the Fama French three-factor model has better explanatory power compared to the CAPM model in the Dhaka Stock Exchange. Moreover, the size risk premium has a significant influence in explaining the expected return for cement industries of the Dhaka Stock Exchange for both DSEX and DS30. On the other hand, the value risk premium has significant power in explaining the expected return for cement industries in the Dhaka Stock Exchange.

References

12 Cites in Article

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No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

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No ethics committee approval was required for this article type.

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How to Cite This Article

Avijit Mallik. 2020. \u201cEmpirical Evidence of CAPM and Fama French 3 factor model at Cement Industry of DSE\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 20 (GJMBR Volume 20 Issue C1).

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GJMBR Volume 20 Issue C1

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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GJMBR-C Classification JEL Code: F65

Submission ReceivedDecember 16, 2019
Peer Review Double Blind
Handling Editor
Accepted January 4, 2020
Published January 15, 2020

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February 29, 2020

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