Common risk factors in the returns on stocks : empirical evidence from Singapore.

• Main Authors: Kurniawan, Morina., Ng, Chin Thin.
• Other Authors: Low Chan Kee
• Format: Final Year Project
• Language: English
• Published: 2011
• Subjects: DRNTU::Social sciences::Economic theory
• Online Access: http://hdl.handle.net/10356/44445
• Institution: Nanyang Technological University

The purpose of this paper is to establish an asset pricing model that can explain the common variation in stock return. Five common risk factors are identified, three are stock-market factors (an overall market factor and factor related to firm size and book to market equity) and two are bond-market...