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A COMPARATIVE ANALYSIS of CAPM and FAMA-FRENCH MODEL APPLICATION in the BALTIC STOCK MARKET a Thesis Presented to the Faculty O

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A COMPARATIVE ANALYSIS of CAPM and FAMA-FRENCH MODEL APPLICATION in the BALTIC STOCK MARKET a Thesis Presented to the Faculty O A COMPARATIVE ANALYSIS OF CAPM AND FAMA-FRENCH MODEL APPLICATION IN THE BALTIC STOCK MARKET A Thesis Presented to the Faculty of Finance Programme at ISM University of Management and Economics in Partial Fulfillment of the Requirements for the Degree of Bachelor of Finance by Jakub Gustav Vujčik Advised by Dokt. Dmitrij Katkov December 2020 Vilnius ANALYSIS OF CAPM AND FAMA-FRENCH MODEL APPLICATION 2 Summary Vujčik, J.G. A Comparative Analysis of CAPM and Fama-French Model Application in the Baltic Stock Market. Final Bachelor Thesis. Finance studies: Vilnius, ISM University of Management and Economics, 2020. This Bachelor thesis investigates two asset pricing models' applicability in the Baltic stock market: CAPM and the Fama-French three-factor model. The research aims to find and compare the relationship between the stock returns and market risk premium, size, and value factors under the respective models. The Baltic stock market presents many challenges in estimating a company's expected returns due to inefficiency and the lack of comparable peers. Therefore, one of the main objectives is to determine whether any particular methodology has a higher explanatory power. The study analyses the data of companies currently listed on the Nasdaq Baltic stock exchange with at least three years of operating history. The analysis uses the average 36-months returns of every company to estimate the betas of each factor. The adjusted R-squared coefficient of determination serves as a proxy for measuring expected returns' replication by the models. The research produces a mixed outcome. Although the adjusted R-squared measures are higher in the Fama-French three- factor model, both asset pricing methodologies have significant statistical data issues related to residuals' normality, heteroskedasticity, and misspecification. The findings imply that investors should apply specific pricing method after modifying an individual company's data. Keywords: Capital Asset Pricing model, Fama-French three-factor model, coefficient of determination, normality of residuals, heteroskedasticity. Total word count: 11 949 ANALYSIS OF CAPM AND FAMA-FRENCH MODEL APPLICATION 3 Table of Contents Introduction ................................................................................................................................ 7 1. Situation analysis ................................................................................................................... 9 1.1. Economic overview of Baltic countries .......................................................................... 9 1.2. Main economic indicators ............................................................................................. 10 1.3. Household savings and financial literacy ...................................................................... 12 1.4. Interest rates .................................................................................................................. 14 1.5. Overview of Baltic stock market ................................................................................... 16 1.6. Financial instruments and indexes in the Baltic financial market ................................. 18 2. Literature review .................................................................................................................. 21 2.1. Modern portfolio theory ................................................................................................ 21 2.2. Assumptions of Markowitz Portfolio selection ............................................................ 21 2.3. Risk and Return in Markowitz Portfolio selection ....................................................... 22 2.4. Markowitz portfolio with three assets .......................................................................... 23 2.5. Capital Asset Pricing Model ........................................................................................ 25 2.6. Theory of CAPM .......................................................................................................... 25 2.7. Criticism and testing of CAPM .................................................................................... 28 2.8. Fama and French Three-Factor model .......................................................................... 31 2.9. Research methodology. CAPM .................................................................................... 33 2.10. Research methodology. Fama-French Three factor model ........................................ 34 3. Empirical Research .............................................................................................................. 36 3.1. Empirical Research description .................................................................................... 36 ANALYSIS OF CAPM AND FAMA-FRENCH MODEL APPLICATION 4 3.2. Data and descriptive statistics of monthly returns ........................................................ 36 3.3. OMX Baltic All-Share Descriptive statistics and normality ........................................ 39 3.4. Risk-free rate ................................................................................................................ 40 3.5. Explanatory power of CAPM ....................................................................................... 41 3.6. Statistical issues of CAPM model. ................................................................................ 43 3.7. Sector Beta CAPM ....................................................................................................... 45 3.8. Fama-French regression ............................................................................................... 48 3.9. Fama-French regression results .................................................................................... 49 3.10. Statistical issues of the Fama-French model ............................................................... 50 3.11. Applicability, limitations, and recommendations for future research ........................ 51 Conclusions .............................................................................................................................. 54 List of References .................................................................................................................... 57 Appendices ............................................................................................................................... 61 ANALYSIS OF CAPM AND FAMA-FRENCH MODEL APPLICATION 5 List of Figures Figure 1. Euro interest rate yield curve at the end of 2019 ...................................................... 16 Figure 2. Baltic Stock market capitalization ............................................................................ 17 Figure 3. Attainable E, V combinations ................................................................................. 23 Figure 4. Attainable set of portfolios ...................................................................................... 25 Figure 5. Investment opportunities ......................................................................................... 26 Figure 6. Median stock returns and standard deviations ........................................................ 37 Figure 7. Distribution of median returns and standard deviations by lists ............................. 38 Figure 8. Summary statistics and normality of OMX Baltic All-Share monthly returns ........ 39 Figure 9. Historical returns of OMX Tallinn, OMX Riga, and OMX Vilnius 2010-2020 ...... 40 Figure 10. The weighted Baltic risk-free rate 2010-2020 ........................................................ 41 Figure 11. Stock vs. market returns 2010-2020 ....................................................................... 42 Figure 12. Frequency of CAPM market risk premium coefficients ....................................... 43 Figure 13. Autocorrelation and Partial Autocorrelation functions for market returns ........... 44 Figure 14. Frequency of CAPM market risk premium coefficients with sector beta ............. 46 Figure 15. Frequency of adjusted R-squared in the Fama-French regression ........................ 50 ANALYSIS OF CAPM AND FAMA-FRENCH MODEL APPLICATION 6 List of Tables Table 1. Export partners of Baltic countries ............................................................................. 9 Table 2. Import partners of Baltic countries ........................................................................... 10 Table 3. GDP of Baltic states. Chain linked volumes ............................................................. 11 Table 4. Correlation of macroeconomic variables between the Baltic countries and Europe 11 Table 5. Unemployment rates of Baltic states (%) .................................................................. 12 Table 6. Disposable annual income in Baltic states (Eur) ....................................................... 12 Table 7. Growth of harmonized consumer price index in Baltic states (Eur) .......................... 12 Table 8. Households' savings rates in Baltic states (%) ........................................................... 13 Table 9. EMU convergence criterion rates in Latvia and Lithuania (%) ................................. 15 Table 10. Baltic Stock market top 10 market capitalization companies .................................. 17 Table 11. Companies by sectors ............................................................................................. 45 Table 12. Sector beta regression results (median)
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