Asset pricing and macro factors in ASEAN5

摘要

This paper focuses on five equity markets in ASEAN (i.e. Malaysia, Singapore, Thailand, Indonesia and the Philippines), henceforth the ASEAN5. Asset pricing for the ASEAN5 equity markets is the main focus of this paper. The multifactor asset pricing model that include the effects of market, size, value, momentum, three macro factors (unexpected GDP, unexpected total trade, unexpected market returns), and world excess returns is employed in testing the variation in size/book-to-market equity (size-BTME) and industry portfolio returns from the 1^st quarter of 1990 to the 1^st quarter of 2006 (q1:1990 – q1:2006). Our results suggest that macroeconomic variables appear to have little incremental effect on portfolio returns among the Asean5 equity markets.