Testing the Performance of Asset Pricing Models in Different Economic and Interest Rate Regimes Using Individual Stock Returns

Authors

  • Ann Marie Hibbert West Virginia University Morgantown, United States
  • Edward R. Lawrence Florida International University, United States

DOI:

https://doi.org/10.32890/ijbf2010.7.1.5

Keywords:

CAPM, Three-factor model, Asset pricing, Bear-bull periods, Interest rate regimes

Abstract

Using return data for all stocks continuously traded on the NYSE over the period July 1963 to December 2006, we tested the performance of the two-moment Capital Asset Pricing Model (CAPM) and the Fama French three-factor model in explaining individual stock returns. We found the performance of Fama French three-factor model to be marginally better than the CAPM. We further test the models for the significance and stability of parameters in the bull/bear periods and the Federal increasing/decreasing interest rate periods and found the performance of the two models comparable.

 

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Published

10-03-2010

Issue

Vol. 7 No. 1 (2010): International Journal of Banking and Finance (IJBF) Vol. 7, No.1, 2010

Section

Articles

How to Cite

Hibbert, A. M., & Lawrence, E. R. (2010). Testing the Performance of Asset Pricing Models in Different Economic and Interest Rate Regimes Using Individual Stock Returns. International Journal of Banking and Finance, 7(1), 79-98. https://doi.org/10.32890/ijbf2010.7.1.5

Research impact

Harvested 2026-09-07
4 citations, from OpenAlex — the highest of the sources checked

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Identifiers DOI 10.32890/ijbf2010.7.1.5 OpenAlex W50612880

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