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Validity of FAMA and French Model: Evidence from KSE-100 Index

机译：FAMA和法国模型的有效性：来自KSE-100指数的证据

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摘要

This study is carried out with an aim to test the explanatory power of three factorial Fama and French model in explaining the expected returns for the companies listed under the umbrella of KSE-100 index for the time frame of three years i.e. from 2011 to 2013. Six portfolios were constituted by intersecting size with B/M ratio of firm. The multivariate regression model was used to find the impact of three independent variables (MRP, SMB &HML) on the dependent variable (Excess Return). The intercept of four portfolios showed insignificant results which is evidence for the validity of Fama and French model for KSE-100 index for the selected time frame. Out of six portfolios three showed significant results for market risk premium, four showed for size premium and three showed for value premium confirms the existence of effect of all three independent employed factors. Contrary to the findings of (1) for FF model this study favors FF model in explaining the returns behavior of companies trading on KSE-100 index. So the findings go in partial support for FF model for companies listed on KSE-100 index.
机译：进行这项研究的目的是检验三阶Fama和法国模型在解释三年（即2011年至2013年）KSE-100指数伞下上市公司的预期收益方面的解释能力。六个投资组合由大小与企业的B / M比相交构成。多元回归模型用于发现三个自变量（MRP，SMB和HML）对因变量（超额收益）的影响。四个投资组合的截距显示微不足道的结果，这证明了Fama和法国模型在所选时间范围内对KSE-100指数的有效性。在六个投资组合中，三个显示出显着的市场风险溢价结果，四个显示出了规模溢价，而三个显示出了价值溢价，证实了所有三个独立雇用因素的影响。与（1）的FF模型的发现相反，本研究倾向于FF模型来解释以KSE-100指数交易的公司的回报行为。因此，研究结果部分支持了KSE-100指数上市公司的FF模型。

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