Validity of Asset Pricing Models in the PSE

Inspiration

I have always questioned the simplicity of asset pricing models (APMs) in trying to predict or understand price movements in relation to external factors, especially the most basic one which is the Capital Asset Pricing Models (CAPM).

What it does

This project tests the validity of CAPM and Fama-French Three-Factor Model on the Philippine Stock Exchange.

How I built it

I used Python and R to conduct multiple linear regressions to get different betas.

What's next for Validity of Asset Pricing Models in the PSE

This research can be expanded to study other, possibly more complex, asset pricing models.

Built With

• python
• r