Essays on market efficiency and asset pricing : beta risk, fundamental analysis and linkages.

This thesis examines three distinct but related issues on market efficiency and asset pricing in three separate essays. The first essay looks at the assertion that the standard CAPM is no longer valid. Using data from the Singapore and Malaysian stock markets for the period July 1988 to June 1997,...

Full description

Saved in:
Bibliographic Details
Main Author: Lee, Chee Tong.
Other Authors: Lau Sie Ting
Format: Theses and Dissertations
Language:English
Published: 2010
Subjects:
Online Access:http://hdl.handle.net/10356/42464
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Nanyang Technological University
Language: English
id sg-ntu-dr.10356-42464
record_format dspace
spelling sg-ntu-dr.10356-424642024-01-12T10:11:07Z Essays on market efficiency and asset pricing : beta risk, fundamental analysis and linkages. Lee, Chee Tong. Lau Sie Ting Nanyang Business School DRNTU::Business::Finance::Assets This thesis examines three distinct but related issues on market efficiency and asset pricing in three separate essays. The first essay looks at the assertion that the standard CAPM is no longer valid. Using data from the Singapore and Malaysian stock markets for the period July 1988 to June 1997, the study finds a fiat relationship between beta and stock returns. But when the sample is split into periods with positive and negative market excess returns, significant relationships are documented. During months with positive market excess returns, a positive relationship between beta and stock returns is found. Conversely, during months with negative market excess returns, a negative relationship between beta and stock returns is established. Hence, findings from this study show that there is a systematic but conditional relationship between beta and stock returns. Surprisingly, no positive risk-return trade-off is documented. Master of Business 2010-12-29T02:27:27Z 2010-12-29T02:27:27Z 1999 1999 Thesis http://hdl.handle.net/10356/42464 en 93 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business::Finance::Assets
spellingShingle DRNTU::Business::Finance::Assets
Lee, Chee Tong.
Essays on market efficiency and asset pricing : beta risk, fundamental analysis and linkages.
description This thesis examines three distinct but related issues on market efficiency and asset pricing in three separate essays. The first essay looks at the assertion that the standard CAPM is no longer valid. Using data from the Singapore and Malaysian stock markets for the period July 1988 to June 1997, the study finds a fiat relationship between beta and stock returns. But when the sample is split into periods with positive and negative market excess returns, significant relationships are documented. During months with positive market excess returns, a positive relationship between beta and stock returns is found. Conversely, during months with negative market excess returns, a negative relationship between beta and stock returns is established. Hence, findings from this study show that there is a systematic but conditional relationship between beta and stock returns. Surprisingly, no positive risk-return trade-off is documented.
author2 Lau Sie Ting
author_facet Lau Sie Ting
Lee, Chee Tong.
format Theses and Dissertations
author Lee, Chee Tong.
author_sort Lee, Chee Tong.
title Essays on market efficiency and asset pricing : beta risk, fundamental analysis and linkages.
title_short Essays on market efficiency and asset pricing : beta risk, fundamental analysis and linkages.
title_full Essays on market efficiency and asset pricing : beta risk, fundamental analysis and linkages.
title_fullStr Essays on market efficiency and asset pricing : beta risk, fundamental analysis and linkages.
title_full_unstemmed Essays on market efficiency and asset pricing : beta risk, fundamental analysis and linkages.
title_sort essays on market efficiency and asset pricing : beta risk, fundamental analysis and linkages.
publishDate 2010
url http://hdl.handle.net/10356/42464
_version_ 1789482921084583936