Marketing Equity using a Five-Factor Asset Pricing Model in ASEAN Countries

This research examines the impact of market risk premium, size, book-to-market equity, profitability, and investment as factors on stock return. Portfolios are formed to develop left-hand side right-hand portfolios. The objective this paper is assess performance equity enhance generalizability five-factor model. A statistical analysis applied estimate asset pricing model their in Association Southeast Asian Nations (ASEAN) market. researchers found that there were value premiums average returns all countries except Malaysia. Traces profitability premium can be observed Malaysia, Thailand Indonesia. However, was no evidence any countries. study whether models capture value, patterns capital performs better than three-factor explaining excess size–BM (book-to-market) size–profitability fares poorly size–investment