Economics, Econometrics and Finance
2 years ago

Risk driving value premium in Thai stock exchange, impacting emerging markets.

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International Journal of Monetary Economics and Finance
Is value premium driven by risk in the stock exchange of Thailand A comparison of the Fama/French three-factor model and Fama/French five-factor model
Nongnit Chancharat, Parichat Sinlapates

Paper Summary

Value stocks outperformed growth stocks in the Stock Exchange of Thailand from 2005 to 2019. The three-factor model was better at explaining this value premium than the five-factor model. When risk was taken into account, the value premium disappeared, suggesting that risk may be driving the value premium. This finding may also apply to other emerging markets in ASEAN.

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