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Digesting anomalies: A q-factor approach for the Thai market

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  • Charoenwong, Ben
  • Nettayanun, Sampan
  • Saengchote, Kanis

Abstract

We study the extent to which a q-factor approach explains other cross-sectional factor returns in the Thai market from 2000 to 2019. Univariate statistics of the q-factor premia show that the Thai factors have almost double the statistical and economic significance compared to US factors. While the q-factor model and the Fama-French six-factor model have similar performances in the US, they do not in Thailand. We find that the q-factor model reduces the t-statistics of the alphas for 13 out of 15 anomalies when compared to the six-factor model. Our findings suggest that the q-factor model is a better empirical asset pricing model in Thailand, showing external validity of the model even in an emerging market.

Suggested Citation

  • Charoenwong, Ben & Nettayanun, Sampan & Saengchote, Kanis, 2021. "Digesting anomalies: A q-factor approach for the Thai market," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
    • Handle: RePEc:eee:pacfin:v:69:y:2021:i:c:s0927538x21001542
    DOI: 10.1016/j.pacfin.2021.101647
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    References listed on IDEAS

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    Cited by:

    1. Mbengue, Mohamed Lamine & Ndiaye, Bara & Sy, Oumar, 2023. "Which factors explain African stock returns?," Finance Research Letters, Elsevier, vol. 54(C).
    2. Nettayanun, Sampan, 2023. "Asset pricing in bull and bear markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).

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    More about this item

    Keywords

    Factor investing; Q-factor; Empirical asset pricing;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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