A simple test of the CAPM model under bull and bear market conditions : the case of Thailand
A simple test of the CAPM model under bull and bear market conditions : the case of Thailand
Files (excerpt)
Published date
2008
Resource type
Publisher
Assumption University
ISBN
ISSN
DOI
Call no.
Other identifier(s)
Edition
Copyrighted date
Language
eng
File type
application/pdf
Extent
Other title(s)
Authors
Advisor
Other Contributor(s)
Assumption University. Martin de Tours School of Management and Economics
Citation
AU Journal of Management 6, 1 (January-June 2008), 62-70
Degree name
Degree level
Degree discipline
Degree department
Degree grantor
Abstract
The current study is aimed at examining the explanatory power of the CAPM model in Bull and
Bear markets for Thailand from 2000 to 2006. Using the varying risk model suggested by Fabozzi and
Francis (1977), the study evidences that the systematic risks or betas do not differ between Bull and
Bear periods. The substantial forces of Bull and Bear markets have no impact on the CAPM model. The
CAPM is still robust. Moreover. the study observes size effect in which small stocks are found to outper-
form large stocks, regardless of market conditions. However, the reversal of size effect persists in the
Bull periods. The results of this study suggest two important implications for the Thai market. First,
investors could employ the traditional CAPM model. Second, it is not necessary to predict future Bull
and Bear market conditions when estimating the risk premium.
Table of contents
Description
In English ; only abstract in English.
punsarn.dc.description.sponsorship
Spatial Coverage
Thailand
Rights
This work is protected by copyright. Reproduction or distribution of the work in any format is prohibited without written permission of the copyright owner.