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

Avijit Mallik; Mrs. Syeda Marufa Bashar

Authors

Avijit Mallik
Mrs. Syeda Marufa Bashar

Keywords:

fama french, CAPM, stock market

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.

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How to Cite

Empirical Evidence of CAPM and Fama French 3 factor model at Cement Industry of DSE. (2020). Global Journal of Management and Business Research, 20(C1), 1-6. https://journalofbusiness.org/index.php/GJMBR/article/view/3040

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